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Stephane,
Thank you for trying, but unfortunately it is not working....the CUMCST value is always .13 and does not reset to .10 with a new buy or sell signal .
Anthony
----- Original Message -----
From: s.carrasset
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, October 25, 2004 3:34 PM
Subject: Re: [amibroker] Optimizing your Moving average
Anthony
this must do the job
Buy=Cross(C,EMA(C,19));
Sell=Cross(EMA(C,19),C) ;
CumCst=0.0;
poslong=0;
posshort=0;
for (i=1; i<BarCount; i++)
{
if(Buy[i])
{
poslong=1;
posshort=0;
CumCst[i]=0.1;
}
if(Sell[i])
{
poslong=0;
posshort=1;
CumCst[i]=0.1;
}
if(posshort==1)
{
if(C[i]<C[i-1])
CumCst[i]=CumCst[i-1] + 0.003;
else
CumCst[i]=CumCst[i-1];
}
else // if(poslong==1)
{
if(C[i]>C[i-1])
CumCst[i]=CumCst[i-1] + 0.003;
else
CumCst[i]=CumCst[i-1];
}
if(CumCst[i]>0.13)
CumCst[i]=0.13;
}
per=19;
Smth=2/(per+1)+CumCst;
MovAvg=AMA(C,Smth);
Plot(movavg,"",colorBlue,1);
Plot(C,"",1,64);
PlotShapes(Buy*shapeUpArrow,colorGreen,0,L,-20);
PlotShapes(Sell* shapeDownArrow,colorRed,0,H,-20);
Faragasso a écrit :
> Thanks Stephane,
>
> unfortunately I am at a loss as to how to finish this...
>
>
> Buy=Cross(C,EMA(C,19));
>
> Sell=Cross(EMA(C,19),C) ;//Month()==1;
>
> CumCSC=0;
>
> for (i=1; i<BarCount; i++)
>
> {
>
> if(Buy[i])
>
> CumCSC[i]=0;
>
> else
>
> {
>
> if(C[i]>C[i-1])
>
> CumCSc[i]=Cumcsc[i-1] + 0.003;
>
> else
>
> CumCSc[i]=Cumcsc[i-1];
>
> }
>
> if(CumCSc[i]>0.13)
>
> CumCSc[i]=0.13;
>
> }
>
> per=19;
>
> Smth=2/(per+1)+CumCSc;
>
> MovAvg=AMA(C,Smth);
>
> Plot(movavg,"",colorBlue,1);
>
> Plot(C,"",1,64);
>
> Filter=1;
>
> AddColumn(Buy,"buy");
>
> AddColumn(Cumcsc,"cst");
>
> AddColumn(smth,"smth");
>
>
> Anthony
>
>
> ----- Original Message -----
> From: s.carrasset
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, October 24, 2004 5:26 PM
> Subject: Re: [amibroker] Optimizing your Moving average
>
>
> Hello,
>
>
> Anthony, this code can be a starting point
>
> Sell=Month()==1;
> Cumcst=0.1;
> for (i=1; i<BarCount; i++)
> {
> if(Sell[i])
> CumCST[i]=0.10;
> else
> {
> if(C[i]>C[i-1])
> CumCST[i]=Cumcst[i-1] + 0.003;
> else
> CumCST[i]=Cumcst[i-1];
> }
>
> if(CumCST[i]>0.13)
> CumCST[i]=0.13;
>
> }
>
> per=19;
> Smth=2/(per+1)+CumCST;
>
> MovAvg=AMA(C,Smth);
>
> Plot(movavg,"",colorBlue,1);
> Plot(C,"",1,64);Anthony Faragasso a écrit :
>
> > Anyone ?
> >
> > This seems a perfect time for AMA(array, factor ) but unfortunately I
> > have
> > never applied the AMA function, I would like the Smth to be adjusting;
> >
> > Lets work with a 19 period moving average...
> >
> >
> > Per=19;
> >
> > BuySignal=cross(c,Ema(c,per);
> > SellSignal=cross(Ema(c,per),c);
> >
> > additionalSmthConstant=
> >
> > CumSmthConstant=2/(per+1) + additonalSmthConstant;
> >
> > MovAvg=AMA(C,Smth);
> >
> > Here are the Details:
> >
> > After a buy signal is generated, assign additional smoothing
> constant of
> > .003 when a stock or commodity makes a new higher close.
> >
> > The new Cumulative Smoothing Constant is calculated by adding daily
> > additional smoothing constant to previous Cumulative Smoothing
> Constant
> > until a maximum of .13 is reached.
> >
> > After a Sell signal return the Cumulative Smoothing Constant to the
> > starting
> > value of .10
> >
> > After a sell signal is generated, assign additional smoothing
> constant of
> > .003 when a stock or commodity makes a new lower close.
> >
> > The new Cumulative Smoothing Constant is calculated by adding daily
> > additional smoothing constant to previous Cumulative Smoothing
> Constant
> > until a maximum of .13 is reached.
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
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> >
> >
> >
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