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Johan
After taking the time to put that long winded explanation together, I
finally realized why the end value on my Volatility Check plot isn't
equal to the end value for your Volatility calculation (i think).
Sorry for being such a knucklehead - and thanks again for the code.
Final exploration is forthcoming.
Tim
--- In amibroker@xxxxxxxxxxxxxxx, Tim Gadd <timgadd@xxx> wrote:
>
> Thanks for staying with me, Johan : )
>
> Just to make sure we are "on the same page", let me
> use an example. First, I'll re-insert your code here
> ...
>
> ////////////////////////////////////////////////////////////////////
///////
> Periods = 40;
>
> end = LinearReg( C, periods );
> start = LinRegIntercept( C, periods );
> slope = LinRegSlope( C, periods );
>
> for( n = x = 0; n < periods; n++ )
> x = x + abs( Ref( C, - n ) - ( end - n * slope ) );
>
> Direction = end - start;
> Volatility = x;
> ER = (Direction / Volatility);
> ////////////////////////////////////////////////////////////////////
///////
>
> If I insert a "static" 40-period linear regression
> channel drawing object (with a start date of 16Feb06
> and end date of 13Apr06) on the price of symbol SPY,
> the end point (the 40th point) on the linear
> regression line has a y value of 130.056. If I use the
> code Plot(LinearReg(Close, 40),"", colorBlack,
> styleLine) on the same chart, the end value for this
> "moving" linear regression line (the same as your
> "end" variable) is also 130.056. Other values along
> the 2 plots will probably not be the same, of course.
>
> It is along the "static" linear regression line that I
> want to compute the Efficiency Ratio. At the last/40th
> point, the value for scatter = abs(Close - 40th_y) =
> abs(Close - end) = abs(128.71 - 130.056) = 1.346. I'm
> not using proper AFL here, of course, but i'm trying
> to convey my thinking in my own ignorant way. At the
> 39th point along the 40-period linear regression line,
> the value for scatter would be abs(Close - 39th_y). I
> want to calculate this value for scatter (the absolute
> value of the difference between each day's closing
> price and the y value on that static linear regression
> line) and then sum the 40 values for scatter to get
> the value for Volatility (the denominator in the ER
> calculation).
>
> In essence, what I want to do is look at a x-period
> segment of various price plots and compare the
> volatility-adjusted rate of change of each by
> measuring the rate of change along the x-period linear
> regression line and the scatter along this line.
> Again, i know there are other ways that i might do it,
> but this is an approach i wanted to look at, but don't
> begin to know how to code.
>
> tia for your (or any one else's) help.
>
> Tim
>
> --- johsun <joh.sun@xxx> wrote:
>
> > No, because in this case end will be a different
> > value for each of
> > the bars in the lookback period; a new endpoint of a
> > different
> > regression line. You want to calculate the
> > difference between the
> > previous 40 closes and the current bars 40-bar
> > regline. Hope I'm
> > making sense;)
> >
> > Johan
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "timgadd"
> > <timgadd@> wrote:
> > >
> > > Johan,
> > >
> > > I may have been over-enthusiastic in thinking that
> > your code
> > worked
> > > as I had planned. The numerator (Direction) is
> > fine. I'm not sure
> > > that the denominator (Volatility) is working as
> > planned. It's
> > > definitely close.
> > >
> > > Assuming that the calculation for the "scatter" at
> > the last point
> > on
> > > the linear regression line should be abs(Close -
> > End), shouldn't
> > the
> > > following line return the same value for
> > "Volatility" (the sum of
> > the
> > > scatter) at the last/end point?
> > >
> > > AddColumn(Sum(abs(Close-end),40),"Volatility
> > Check");
> > >
> > >
> >
> >
> >
> >
> >
> >
>
>
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