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Anthony, your code looks very much like the one Wayne posted
earlier. I repeat below part of the remarks i made re that code
that basically apply to yours as well. What I am curious about is
this: do you know who made this code and in particular for what
reason the 3-period WMA was added? Do you have any insight into
whether or not this WMA is part of Kase's proprietary code?
//
First, as Byron mentioned the code posted earlier by Wayne is not
> > looking for the optimum up/down cyclelength but uses Param to
> > manually set different lookbacks. The code also sets one lookback
> > for both up and down trends. This is definitely not in line with
> > Kase: the power is in looping for the strongest up and strongest
> > downtrend separately.
> >
> > Further the PeakOsc there is smoothed with a 3-period WMA. I
> > don't
> > know who initiated this but Kase indeed (in BridgeTrader) says:
> > "the
> > PeakOscillator is the difference between KSDIup and KSDIdn with
some
> > smoothing added". Nowhere could I find how she implements this
> > smoothing but I guess that is the WMA. To me it seemed somewhat
> > irrational to top off so much statistical scrutiny with some
> > arbitrary WMA with a fixed lookback. Also it turned out this WMA
> > somehow interfered with the SD calculations for some very weird
> > plots. Two reasons for not smoothing the KPO.
//
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> Here is a version I have:
>
> //Peak Oscillator by Cynthia KASE
>
> //Version 1.0, 7/07/2002
>
> Per1=30;
>
> RWH=(H-Ref(L,-Per1))/(ATR(Per1)*sqrt(Per1));
>
> RWL=(Ref(H,-Per1)-L)/(ATR(Per1)*sqrt(Per1));
>
> Pk=WMA((RWH-RWL),3);
>
> MN=MA(Pk,Per1);
>
> SD=StDev(Pk,Per1);
>
> Val1=IIf(MN+(1.33*SD)>2.08,MN+(1.33*SD),2.08);
>
> Val2=IIf(MN-(1.33*SD)<-1.92,MN-(1.33*SD),-1.92);
>
> ln1=IIf(Ref(Pk,-1)>=0 AND Pk>0,Val1,0);
>
> ln2=IIf(Ref(Pk,-1)<=0 AND Pk<0,Val2,0);
>
> Red=IIf(Ref(Pk,-1)>Pk,Pk,0);
>
> Green=IIf(Pk>Ref(Pk,-1),Pk,0);
>
> Plot(red,"RED",4,2+4);
>
> Plot(Green,"GREEN",5,2+4);
>
> Plot(ln1,"LN1",5,styleDots);
>
> Plot(ln2,"ln2",4,styleDots);
>
> Anthony
>
>
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