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With much interest i read the contributions
regarding the Kirshenbaum indicator. Special thanks to Ed (Emp62) his
contributions gave me a valuable insight how loops actually
work...
When thorougly checking the calculated values, i
came across different values (LinReg values)
In my opinion the formula should be slightly
changed as follows:
Original Empc posting:
aaa = LinRegIntercept(C, LPeriod);
bbb = LinRegSlope(C, LPeriod);
in my
opinion should be changed to:
aaa = LinRegIntercept(C, LPeriod-1);
bbb = LinRegSlope(C, LPeriod-1);
Another thought when studying
the indicator:
The "standard error calculation" measures
the distance (C-Regpoint) for Lperiod days.
Obviously it make a huge difference whether the symbol is a
10$ trading stock or the Dow Index of 11000 points.
So my suggestion is to normalize the
calculation for instance (C/Regpoint-1)*100 to calculate the procentual
change.
Fred
SetBarsRequired(10000,10000);
PPeriod = Param( "P
Period", 12, 2,
100, 1 );
LPeriod = Param( "L
Period", 12, 2,
100, 1 );
NPeriod = Param( "N
Period", 2, 0,
10, 0.25 );
Bandwidth = 0;
EmaP = EMA(C,PPeriod);
aaa = LinRegIntercept(C, LPeriod);
bbb = LinRegSlope(C, LPeriod);
for (i = LPeriod; i <
BarCount; i++) {
AE =
0;
for (j = 0; j < LPeriod; j++) {
// calculate point on regression line
RegPoint = aaa[ i ] + bbb[ i ] * j;
//
calculate the standard error using the distance from
line
AE = AE + (C[ (i - LPeriod) + j +
1 ] - RegPoint) ^
2;
}
// standard error
avErr = (AE /
LPeriod) ^ 0.5;
// save the bandwidth
Bandwidth[ i ] =
avErr * NPeriod;
}
Buy = Ref(Cross(EmaP - Bandwidth,C),-1); BuyPrice = O;
Sell = Ref(Cross(C, EmaP +
Bandwidth),-1);
SellPrice =
O;
SetChartOptions(0, chartShowDates);
GraphXSpace = 5;
Plot(C,"",colorWhite,64);
Plot(EmaP,"",colorWhite,1);
Plot(EmaP + Bandwidth,"",colorRed,1);
Plot(EmaP - Bandwidth,"",colorBrightGreen,1);
PlotShapes(IIf(Buy,shapeUpTriangle,0),colorWhite, layer =
0, yposition =
BuyPrice, offset
= 0 );
PlotShapes(IIf(Sell,shapeDownTriangle,0),colorYellow, layer =
0, yposition =
SellPrice, offset
= 0 );
----- Original Message -----
Sent: Saturday, March 04, 2006 11:14
PM
Subject: RE: [amibroker] Help with
Kirshenbaum indicator
With those settings
I do not see there being a buy or sell on the chart since the close price is
not out of the bands anywhere
Am I missing
something?
Mark
I changed 1 line in the code. I
think it is good now. See chart below which resembles your original chart
very good (settings I use for that chart are: 5, 7, 4.5)
SetBarsRequired(10000,10000);
PPeriod = Param(
"P
Period",
12,
2,
100,
1 );
LPeriod = Param(
"L
Period",
12,
2,
100,
1 );
NPeriod = Param(
"N
Period",
2,
0,
10,
0.25 );
Bandwidth = 0;
EmaP = EMA(C,PPeriod);
aaa =
LinRegIntercept(C, LPeriod);
bbb =
LinRegSlope(C, LPeriod);
for (i =
LPeriod; i < BarCount; i++)
{
AE =
0;
for (j =
0; j <
LPeriod; j++) {
//
calculate point on regression line
RegPoint = aaa[ i ] + bbb[ i ] * j;
//
calculate the standard error using the distance from line
AE = AE + (C[ (i - LPeriod) + j +
1 ] -
RegPoint) ^ 2;
}
//
standard error
avErr
= (AE / LPeriod) ^ 0.5;
// save
the bandwidth
Bandwidth[ i ] = avErr * NPeriod;
}
SetChartOptions(0, chartShowDates);
GraphXSpace = 5;
Plot(C,"",colorWhite,64);
Plot(EmaP,"",colorWhite,1);
Plot(EmaP +
Bandwidth,"",colorRed,1);
Plot(EmaP -
Bandwidth,"",colorBrightGreen,1);
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