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Let us suppose a stock goes from 100 to 110 in one day.
We shall examine the response of DEMA, TEMA and Ti3 averages.
These smoothers catch the new price in some days, then go higher and
find again [asymptotically] the final price.
For a given DEMA/TEMA period we may calibrate the Ti3 period to
obtain the same Maximum Divergence from the final price.
EXAMPLE
For DEMA/TEMA period=20, we need Ti3 periods x=4 and x=7
respectively to avoid exceeding the DEMA/TEMA MaxDiv.
// Ti3 crash test and Maximum Divergence, by D. Tsokakis, March 2004
function T3(price,periods)//According to Jayson´s message 59811
{
s = 0.83;
e1=EMA(price,periods);
e2=EMA(e1,Periods);
e3=EMA(e2,Periods);
e4=EMA(e3,Periods);
e5=EMA(e4,Periods);
e6=EMA(e5,Periods);
c1=-s*s*s;
c2=3*s*s+3*s*s*s;
c3=-6*s*s-3*s-3*s*s*s;
c4=1+3*s+s*s*s+3*s*s;
Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return ti3;
}
L1=LastValue(Cum(1));D=100;DD=110;
C1=IIf(Cum(1)<L1-D,D,DD);
Plot(C1,"\nCLOSE",1,8);
PERIOD=20;
S1=DEMA(C1,PERIOD);
S2=TEMA(C1,PERIOD);
X=Param("X",3,3,20,1);
Ti3=T3(C1,X);
//The maximum divergence
Div1=100*(s1-C1)/LastValue(C1);MaxDiv1=LastValue(Highest(Div1));
Div2=100*(s2-C1)/LastValue(C1);MaxDiv2=LastValue(Highest(Div2));
Div3=100*(Ti3-C1)/LastValue(C1);MaxDiv3=LastValue(Highest(Div3));
Plot(S1,"\nDEMA",colorRed,1);
Plot(S2,"\nTEMA",colorBrightGreen,1);
Plot(Ti3,"\nT3",colorBlue,1);
z=WriteVal(period,1.0);
Title="Maximum Divergence for \nDEMA("+z+") ="+WriteVal(MaxDiv1,1.2)
+"%"+"\nTEMA("+z+")="+WriteVal(Maxdiv2,1.2)+"%"+"\n Ti3("+WriteVal
(x,1.0)+")="+WriteVal(maxDiv3,1.2)+"%";
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