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Tomasz,
Yes, it was
http://groups.yahoo.com/group/amibroker/message/17601
from May20, 2002 [you created a cute simulator with this opportunity,
remember ?]
The subject was attractive indeed, the results were far from the
expected.
The market is faster than the "realistic peak", the first bars after
the real peak were dramatic [for the bearish years]
and, practically useless [for the bullish recent period], since the
stock will go higher soon...
Perhaps it is interesting for low volatility conditions, but it is
totally out of my interests [boring...]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Dimitris,
>
> You are welcome. By the way, you may be interested in the recent
article
> in Stocks&Commodities (11/2003) that I have written Traders Tips
for.
> (http://www.amibroker.com/members/)
>
> The author (Spyros Raftopoulos) presented zig zag validity
technique very similar to one that you have presented
> months ago on AmiBroker mailing list.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 15, 2003 10:38 PM
> Subject: [amibroker] Re: MA, DEMA and TEMA can take array
parameters, but EMA can't?
>
>
> > Tomasz,
> > thank you for the explanations [and the interesting ref].
> > I have no misunderstanding about the recursive mechanism of AMA
etc.
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> > wrote:
> > > Dimitris,
> > >
> > > Yes we can call them equivalent because Wilders( array, 1/x)
> > function uses
> > > exactly the same formula as AMA( array, 1/ x):
> > >
> > > WildersToday = ( Array + ( Periods - 1 ) * WildersYesterday ) /
> > Periods.
> > >
> > > This is mathematically strictly the same as:
> > >
> > > WildersToday = Array * ( 1/ Periods ) + (1 - (1/Periods) ) *
> > WildersYesterday;
> > >
> > > Now AMA is:
> > >
> > > AMAToday = Array * Factor + (1-Factor) * AMAYesterday
> > >
> > > When Factor = 1/periods those two are mathematically strictly
> > equivalent.
> > >
> > > There is no magic, just pure math.
> > >
> > > It does not really matters if Factor is variable or not because
the
> > formula
> > > is constant.
> >
> > This is exactly my point : A formula may be constant [the same]
but
> > the procedure may be meaningless.
> > The y=x^2-2 is well defined in integers, rationals and real
numbers,
> > the solution of x^2-2=0 is N/A for integers or rationals.
> > We may have, in AFL, variable per for MA(C,per), but what is the
> > meaning ?
> > The definition of a 10-bar MA is
> > MA(C,10)=sum(C,10)/10
> > After this, the MA(C,9.3) is meaningless.
> > Now, if we make an internal agreement and "define" for every x,
> > 9<=x<10 the MA(C,x) equal to MA(C,9), then we say that we have
> > variable MA but it is not true, it does not fit to the definition
of
> > MA.
> > So, before looking at the maths, we have to give some meaning to
this
> > variable period for Wilders, EMA etc.
> > This is my point, if a variable per MA, EMA exists or not.
> > We can not transfer in T/A the continuous functions without some
> > special [and usually not declared] agreement, T/A time is not
> > continuous, the beatiful continuous lines we see are nothing but
> > illusions, the real thing is discrete dots without the
intermediate
> > points. You, as a creator, use a special technique to give us
> > these "continuous" lines. And you need this technique, because
your
> > initial material is discontinuous [and a bit ugly...].
> > The continuous lines we see in an RSI graph is not a proof that
our
> > RSI arrays are continuous and it should be clear.
> > Thank you for the interesting dialogue, I will revert when you
> > implement the variable period EMA in some future AFL edition.
> > Now, it would be better to come back to the final tests of the
most
> > interesting Equity Inspection Points application.
> > Dimitris Tsokakis
> >
> > > You are making false assumption thinking that
> > >
> > > evenbar = BarIndex()%2 == 0;
> > >
> > > AMA( C, IIF( evenbar, 10, 11 ) )
> > >
> > > will work like
> > >
> > > IIF( evenbar, AMA( C, 10 ), AMA( C,11 ) )
> > >
> > > but this is just that - false assumption. You assume that
> > > switching periods would cause all calculations to start from
the
> > very beginning,
> > > but it is not the case.
> > > As for analogy: it is well known thing in electroacustics.
> > >
> > > The EMA (AMA, etc) is single pole recursive low pass filter aka
> > > as infinite impulse response filter (IIR)
> > >
> >
http://www.ece.utexas.edu/~bevans/courses/realtime/lectures/06_IIR_Fil
> > ters/lecture6.pdf
> > >
> > >
> > > If you have PHYSICAL single pole low pass filter (for example
> > simple RC or LC circuit) and you change
> > > the 'cut-off' frequency (by changing capacity of condenser for
> > example)
> > > then you are not able to 'start from the beginning'
> > > because physical filter has it's state and if you change
> > > the parameters these parameters are applied to current state.
> > > This is *exactly* how variable period AMA works.
> > > AMA and others work in 'real time'. They preserve its state
> > (previous value of AMA)
> > > and apply parameters (smoothing factor) to produce next value.
> > Exactly like physical circuit.
> > > Physical RC circuit can not go back and take the series voltage
> > numbers from past year to calculate
> > > todays value. It just remembers its current state.
> > > Exactly the same AMA - all it needs is CURRENT data (price) and
its
> > previous state (single number
> > > representing previous value of AMA). It does not re-start
> > calculations from the very beginning, ever.
> > >
> > > And this is fundamentally different from FIR filter (Finite
impulse
> > > response) like MA that is re-calculated for N-bars, not for
> > infinite number of bars.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Wednesday, October 15, 2003 2:47 PM
> > > Subject: [amibroker] Re: MA, DEMA and TEMA can take array
> > parameters, but EMA can't?
> > >
> > >
> > > > Tomasz,
> > > > I clearly understand the recursive nature of these functions.
> > > > This is not the subject.
> > > > The question is : Can we call "equivalent" two never touching
> > lines ?
> > > > It is somehow tricky to ask from the user to accept the
following
> > > > story:
> > > > 1. Wilders(C,x) is N/A for variable x
> > > > 2. For fixed x the Wilders(C,x)=AMA(C,1/x) is true
> > > > 3. Please accept the "analog" meaning for the argument
> > > > Arg. 1 : Wilders(C,x) is *also* AMA(C,1/x) *even when* x is
> > variable
> > > > or
> > > > Arg. 2 : You may call AMA(C,1/x) as Wilders(C,x), x variable,
> > > > *because* AMA(C,1/x) *is* Wilders(C,x), when x=fixed !!
> > > >
> > > > We have no evidence that this "analogy" exists and, form my
> > experiece
> > > > in Physics, it is dangerous to speak [and use] for analogies
just
> > > > because we like them.
> > > > >From this point of view, it is better not to have variable
> > periods
> > > > for EMA, Wilders. Now, AMA(C,1/x) , 10<=x<=20 is an
interesting
> > > > line "between" AMA(C,1/10) and AMA(C,1/20) and this could be
the
> > > > happy end of the story. If someone needs to call it Wilders
with
> > > > variable period, it is OK, but there is no evidence to do it.
> > > > Dimitris Tsokakis
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> > > > wrote:
> > > > > Dimitris,
> > > > >
> > > > > The explanation should be obvious to someone with the deep
> > > > background
> > > > > in physics and mathematics as you.
> > > > >
> > > > > The reason is that AMA, EMA, TEMA, DEMA, Wilders
> > > > > are all recursive functions. See
> > > > > http://www.amibroker.com/guide/afl/afl_view.php?name=AMA
> > > > > and
> > > > > http://www.amibroker.com/guide/afl/afl_view.php?name=DEMA
> > > > >
> > > > > for detailed recursive algorithm.
> > > > >
> > > > > What does it mean? It means that current value depends
> > > > > on input data array and PREVIOUS value of the indicator.
> > > > > The PREVIOUS value includes the value of "previous-
previous"
> > value
> > > > > and so on.
> > > > > Now if you change the period every bar all these changes
(for
> > all
> > > > previous bars)
> > > > > affect current bar value and that's why variable period AMA
is
> > > > smooth and
> > > > > does not jump from Wilders10-Wilders11.
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > > ----- Original Message -----
> > > > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Wednesday, October 15, 2003 1:36 PM
> > > > > Subject: [amibroker] Re: MA, DEMA and TEMA can take array
> > > > parameters, but EMA can't?
> > > > >
> > > > >
> > > > > > Tomasz,
> > > > > > How do we understand this equivalence ?
> > > > > > x=10+(Cum(1)%11);
> > > > > > is equal to 10 every 11 bars.
> > > > > > The
> > > > > > Wp=10;Plot(Wilders(C,Wp),"Wilders",1,1);
> > > > > > and
> > > > > > Plot(AMA(C,1/x),"AMA",7,8);
> > > > > > do not touch every 11 bars...
> > > > > > The same with Wilders(c,20).
> > > > > > See, for example the
> > > > > >
> > > > > > x=10+(Cum(1)%11);
> > > > > > Wp10=10;Plot(Wilders(C,Wp10),"Wilders10",1,1);
> > > > > > Wp20=20;Plot(Wilders(C,Wp20),"Wilders20",1,1);
> > > > > > Plot(AMA(C,1/X),"AMA",7,1);
> > > > > > Plot(AMA(C,1/10),"AMA 1/10",4,8);
> > > > > > Plot(AMA(C,1/20),"AMA 1/20",4,8);
> > > > > >
> > > > > > AMA(C,1/10) is 1-1 equivalent to Wilders(C,10).
> > > > > > On the other side, AMA(C,1/X) touches only by coincidence
the
> > > > Wp10 or
> > > > > > Wp20.
> > > > > >
> > > > > > Dimitris Tsokakis
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > > > <amibroker@xxxx>
> > > > > > wrote:
> > > > > > > Stephane,
> > > > > > >
> > > > > > > That's true but Wilders is nothing more nothing less
than
> > just
> > > > AMA
> > > > > > > with 1/n smoothing factor.
> > > > > > >
> > > > > > > Wilders( array, N ) =>>> AMA( array, 1 / N )
> > > > > > >
> > > > > > >
> > > > > > > Best regards,
> > > > > > > Tomasz Janeczko
> > > > > > > amibroker.com
> > > > > > > ----- Original Message -----
> > > > > > > From: "Stephane Carrasset" <nenapacwanfr@xxxx>
> > > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > > > Sent: Wednesday, October 15, 2003 1:03 PM
> > > > > > > Subject: [amibroker] Re: MA, DEMA and TEMA can take
array
> > > > > > parameters, but EMA can't?
> > > > > > >
> > > > > > >
> > > > > > > > Hi, Dimitri,
> > > > > > > >
> > > > > > > > Wilders does not accept variable period
> > > > > > > >
> > > > > > > > Plot(Wilders(C,RSI(3)),"",2,1);
> > > > > > > >
> > > > > > > > return a bad argument
> > > > > > > >
> > > > > > > > stepghane
> > > > > > > >
> > > > > > > >
> > > > > > > > <nenapacwanfr@xxxx> wrote:
> > > > > > > > > Dimitri,
> > > > > > > > >
> > > > > > > > > I didn't know that wilders accept variable period...
> > > > > > > > > Thanks
> > > > > > > > >
> > > > > > > > > Stephane
> > > > > > > > >
> > > > > > > > > > Dave,
> > > > > > > > > > I have posted in the files section the varPER.txt
> > with
> > > > the
> > > > > > EMA,
> > > > > > > > AMA
> > > > > > > > > > and WILDERS smoothing relations.
> > > > > > > > > > AMA and WILDERS do accept variable periods, like
MA.
> > > > > > > > > > You will also find some RSI applications there.
> > > > > > > > > > Dimitris Tsokakis
> > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
> > > > > > <dmerrill@xxxx>
> > > > > > > > > > wrote:
> > > > > > > > > > > thanks, much appreciated. seems like there's a
new
> > > > version
> > > > > > just
> > > > > > > > > out
> > > > > > > > > > too (:-)
> > > > > > > > > > >
> > > > > > > > > > > any chance of variable period RSI, CCI, ROC and
the
> > > > rest of
> > > > > > the
> > > > > > > > AB
> > > > > > > > > > > indicators I'm forgetting right now? some of
these
> > I've
> > > > > > coded
> > > > > > > > up
> > > > > > > > > > myself in
> > > > > > > > > > > AFL, but they're much slower than the built in
> > > > versions.
> > > > > > I'd
> > > > > > > > > > imagine your
> > > > > > > > > > > dll would be pretty close to built in speed,
yes?
> > > > > > > > > > >
> > > > > > > > > > > dave
> > > > > > > > > > > In Indicators.dll varperiod Indicators are
> > > > > > > > > > > Stochastic
> > > > > > > > > > > GraphXSpace=1;
> > > > > > > > > > > Plot(StochK(9,1),"",colorBlue,1);
> > > > > > > > > > > Plot(scStoch(9),"",colorGreen,1+8);
> > > > > > > > > > > Plot(scStoch(RSI(14)),"",colorRed,1);
> > > > > > > > > > >
> > > > > > > > > > > Ema
> > > > > > > > > > > Plot(EMA(C,21),"",colorBlue,1);
> > > > > > > > > > > Plot(scEMA(C,21),"",colorGreen,1+8);
> > > > > > > > > > > Plot(scEMA(C,RSI(14)),"",colorRed,1);
> > > > > > > > > > > Plot(C,"",1,64);
> > > > > > > > > > >
> > > > > > > > > > > Linregslope
> > > > > > > > > > > Plot(LinRegSlope(C,21),"",colorBlue,1);
> > > > > > > > > > > Plot(scLinRegSlope(C,21),"",colorGreen,1+8);
> > > > > > > > > > > Plot(scLinRegSlope(C,RSI(14)),"",colorRed,1);
> > > > > > > > > > >
> > > > > > > > > > > MFI // just added today
> > > > > > > > > > > Plot(MFI(21),"",colorBlue,1);
> > > > > > > > > > > Plot(scMFI(21),"",colorGreen,1+8);
> > > > > > > > > > > Plot(scMFI(RSI(14)),"",colorRed,1);
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > > thanks stephane, I'll take a look. until I
do,
> > can
> > > > you
> > > > > > tell
> > > > > > > > > me
> > > > > > > > > > if
> > > > > > > > > > > it also
> > > > > > > > > > > > contains variable period versions of other
> > built in
> > > > AB
> > > > > > > > > > indicators?
> > > > > > > > > > > other
> > > > > > > > > > > > than allowing variable periods, do they
perform
> > the
> > > > > > same as
> > > > > > > > > the
> > > > > > > > > > > native
> > > > > > > > > > > > versions? if so, that'd be a nice
workaround
> > until
> > > > > > variable
> > > > > > > > > > periods
> > > > > > > > > > > are a
> > > > > > > > > > > > native AB capability for everything.
> > > > > > > > > > > >
> > > > > > > > > > > > dave
> > > > > > > > > > > > if you want, in indicators.dll there is a
Ema
> > > > with
> > > > > > > > variable
> > > > > > > > > > period
> > > > > > > > > > > >
> > > > > > > > > > > > Plot(scEMA(C,RSI(14)),"",colorRed,1);
> > > > > > > > > > > > Plot(C,"",1,64);
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > > stephane
> > > > > > > > > > >
> > > > > > > > > > >
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