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Graham,
I have tried the different loop statements and they all give the same
error when trying to use an Array in the statement line.
Here is the original code for the AmiBroker formula (found in the
Members Area of the AmiBroker website).
//--------------------------------------------------
Price = ( H + L ) /2;
Threshold = 0.002;
Smooth = (Price + 2 * Ref( Price, -1 ) + 2 * Ref( Price, -2 ) + Ref(
Price, -3 ) )/6;
Length = 39;
Value3 = 0.2;
AvgLength = 39;
for( Length = 39; Length >= 3; Length = Length - 2 )
{
alpha = 2 / ( Length + 1 );
Value1 = Median( Smooth, Length );
Value2 = AMA( Smooth, alpha );
Value3 = Nz( abs( Value1 - Value2 )/Value1 );
AvgLength = IIf( Value3 > Threshold, Length, AvgLength );
}
alpha = 2 / (AvgLength + 1);
Filt = AMA( Smooth, alpha );
Plot( C, "Price", colorBlack, styleCandle );
Plot( Filt, "Filt", colorRed );
//----------------------------------------------------
Below is the EasyLanguage code from Ehlers. You will notice that the
Ehlers' loop exits on the first occurence of Value3 <= Threshold.
The AmiBroker code continues to loop through the entire range of
Length = 39 down to 3, and records the shortest Length value that
meets the condition of Value3 > Threshold. Reading the magazine
article, it seems that this is what Ehlers had intended, but the
EasyLanguage code tells a different story.
Upon closer investigation, I found that Value3 can cross under the
Threshold more than once over the Length range in the loop.
Therefore, the AmiBroker formula will sometimes select a lower Length
value (always picks the shortest Length that stays above Threshold)
than Ehlers' formula (always picks the first cross under Threshold).
As to which is better, I am not really sure, but Ehlers' AMA seems to
flatten out more during periods of sideways price movement.
EasyLanguage Code to Compute the Median-Average Adaptive Filter
{***************************************************
Median-Average Adaptive Filter
John Ehlers
****************************************************}
Inputs: Price((H+L)/2),
Threshold(.002);
Vars: Smooth(0),
Length(30),
alpha(0),
Filt(0);
Smooth = (Price + 2*Price[1] + 2*Price[2] + Price[3]) / 6;
Length = 39;
Value3 = .2;
While Value3 > Threshold begin
alpha = 2 / (Length + 1);
Value1 = Median(Smooth, Length);
Value2 = alpha*Smooth + (1 - alpha)*Value2[1];
If Value1 <> 0 then Value3 = AbsValue(Value1 - Value2) /
Value1;
Length = Length - 2;
End;
If Length < 3 then Length = 3;
alpha = 2 / (Length + 1);
Filt = alpha*Smooth + (1 - alpha)*Filt[1];
Plot1(Filt);
-John Ehlers
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> Not familiar iwth the original code you refer to so can only make
> rough statements and assistance. Best if you go back to original AB
> code, can you refer that to me. I don't know other chart pacage
> languages so not much use converting unless they are obvious. If in
> members only area of AB site, then just send the link address to me
>
> sometimes you should use the While function/statement. Unfortunately
> not real knowledgeable on this, but maybe something
>
>
> While(Value3<0.002)
> {
> etc
>
> On 7/4/05, pakaypakay <pakaypakay@xxxx> wrote:
> > Graham,
> > Thank you for trying to help with this. I guess I didn't get far
> > enough to discover the mixed variable issue in the for statement.
> > However, I think that can be easily remedied. The main problem
seems
> > to be how to get any loop statement to work using this criteria
for
> > exiting the loop: Value3 <= 0.002, where Value3 is calculated from
> > Array values.
> >
> > I actually rewrote the code using the "for( i = Start; i <
BarCount;
> > i++)" approach, but having this loop nested within the main loop
> > resulted in a inordinate amount of calculation time (although it
did
> > produce the desired result). So, I was hoping that someone has a
> > better solution.
> >
> > The original code that I modified was taken from the S&C Trader's
> > Tips - Issue 3, 2005 (the AmiBroker code for Ehler's Median-
Average
> > Adaptive Filter). However, that original code deviates slightly
from
> > the algorithm presented in the S&C magazine article, shown in Easy
> > Language format. The Amibroker code results in a substantially
> > different adaptive moving average, so I was hoping to get closer
to
> > Ehler's version, which determines the Length value used to
calculate
> > alpha by exiting this loop when Value3 is less than or equal to
the
> > specified threshold of 0.002.
> >
> > pakay
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx>
wrote:
> > > to start with compare the basic statement construction with
those in
> > > the help files
> > >
> > > for( Value3 = 0.2; Value3 > 0.002; Length = Length - 2 )
> > > This should have the same variable in each part
> > > you cannot mix Value3 and length, so which one should it be?
> > >
> > > Then insode the loop the variables need to be identified
against the
> > > basic for variable
> > >
> > > Perhaps you should explain what exactly you are trying to
achieve
> > with
> > > the code so we can help with creating it
> > >
> > > On 7/4/05, pakaypakay <pakaypakay@xxxx> wrote:
> > > > Does anyone know how to work around this problem? Since the
loop
> > > > statement does not allow array type variables (Value3), this
code
> > > > will not work.
> > > >
> > > >
> > > > Price = ( H + L ) /2;
> > > > Smooth = (Price + 2 * Ref( Price, -1 ) + 2 * Ref( Price, -2 )
+
> > Ref(
> > > > Price, -3 ) )/6;
> > > >
> > > >
> > > > Length = 39;
> > > >
> > > > for( Value3 = 0.2; Value3 > 0.002; Length = Length - 2 )
> > > > {
> > > > alpha = 2 / ( Length + 1 );
> > > >
> > > > Value1 = Median( Smooth, Length );
> > > > Value2 = AMA( Smooth, alpha );
> > > >
> > > > Value3 = Nz( abs( Value1 - Value2 )/Value1 );
> > > >
> > > > }
> > > >
> > > > AvgLength = IIf( Length < 3, 3, Length );
> > > > AvgAlpha = 2 / (AvgLength + 1);
> > > >
> > > > Filt = AMA( Smooth, AvgAlpha);
> > > >
> > > > Plot( C, "Price", colorBlack, styleBar );
> > > > Plot( Filt, "Filt", colorRed, styleThick );[/code]
> > > >
> > > >
> > > >
> > > >
> > > > Please note that this group is for discussion between users
only.
> > > >
> > > > To get support from AmiBroker please send an e-mail directly
to
> > > > SUPPORT {at} amibroker.com
> > > >
> > > > For other support material please check also:
> > > > http://www.amibroker.com/support.html
> > > >
> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> > >
> > > --
> > > Cheers
> > > Graham
> > > http://e-wire.net.au/~eb_kavan/
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
Please note that this group is for discussion between users only.
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SUPPORT {at} amibroker.com
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