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Anthony,sorry I have not tried it,
now I think it is Ok
Buy=Cross(C,EMA(C,19));
Sell=Cross(EMA(C,19),C) ;//Month()==1;
CumCSC=0;
poslong=1;posshort=0;
for (i=1; i<BarCount; i++)
{
if( Buy[i])
{
poslong=1;posshort=0;
}
if(Sell[i])
{
poslong=0;posshort=1;
}
Rlong[i]=poslong;
RShort[i]=posshort;
if(Rlong[i])
{
if(Buy[i])
CumCSC[i]=0.1;
else
{
if(C[i]>C[i-1])
CumCSc[i]=Cumcsc[i-1] + 0.003;
else
CumCSc[i]=Cumcsc[i-1];
}
}
if (RShort[i])
{
if(Sell[i])
CumCSC[i]=0.1;
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(Cumcsc,"",colorBlue,1);
> 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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