The problem starts with the AB WMA assigning
values to the empty spaces in WMA values at the beginning of the data series.
It keeps doing that until there are approximately WMA period * (Expand Period +
1) bars available which is apparently considered the 1st bar with
good or usable data. In addition I really don’t understand why so many
bars are required: One would think that to plot the first expansion bar only (WMA
Period + Expansion Period) bars are required. Also the expandperiod itself
seems to be off: When selecting expandperiod =n it expands n+1. This is easy
to check with the new XBar indicator of the cross Hair. It seems a typical
case of 5 trees and 5 spaces. Below an AFL which demonstrates it in grinding
detail.
Before I switched over for compatibility,
when it became available, to TJ’s Timeset/restore/expand stuff I used my
own time compressed formulas. Thise had the additional advantage that I could
select a rolling week, month what provided me with half an interval earlier
data. However, I have no idea on all my hard drives where they are. All I know
I have them, the question is:where?
/*
1. Click first on WMAFormVerON|Off
parameter to see the difference between the common WMA and the AB-WMA
2. Thereafter turn the parameter off and
play with the WMAON_Off parameter with various periods
3. For comparison an EMA is included.
4. Minimum # of bars required = WMA
period * (Expand Period + 1) bars (approximately).
*/
Title = EncodeColor(4)+ _DEFAULT_NAME()+";
"+EncodeColor(1) + StrFormat("{{NAME}} -
{{INTERVAL}}; {{DATE}}; O=%g, H=%g, L=%g, C=%g (%.1f%%)
{{VALUES}}", O, H, L, C,
SelectedValue( ROC( C, 1 ) ) );
WMAFormulaVerON_Off=ParamToggle("WMAFormVerON|Off","WMAVerON|Off",1);
WMAON_Off=ParamToggle("WMA
ON|Off","WMAON|Off",1);
MAPeriod=Param("MAPeriod",9,1,40,1);
ExpandPeriod=Param("ExpandPeriod",5,1,100,1);
///////////////////////////WMA Formula
Verification////////////////////////////////////////
if (WMAFormulaVerON_Off==0)
{
C1=Ref(C,-1);C2=Ref(C,-2);C3=Ref(C,-3);C4=Ref(C,-4);
WMASelf5 = (5*C+ 4*C1+ 3*C2+ 2*C3+ 1*C4)/15;
Plot(WMASelf5,"WMA - Joris",colorGreen,5);
Plot(WMA(C,5),"WMA - AB",colorRed,5);
}
///////////////////////////TimeFrameSet/Restore/Expand()
Verification////////////////////////////////////////
if (WMAFormulaVerON_Off==1)
{
TimeFrameSet( inDaily
); //
switch now to Daily
maDEMA = EMA( C, MAPeriod); TimeFrameRestore(); // restore time
frame to original
TimeFrameSet( inDaily*ExpandPeriod);
//
switch now to Daily
maD5EMA = EMA( C, MAPeriod);
TimeFrameRestore(); // restore time
frame to original
Plot( Close, "Price", colorBlack,
styleCandle );
// plot expanded average
Plot( TimeFrameExpand( maDEMA , inDaily
),"\n"+ WriteVal(MAPeriod,1.0)+"bar EMA
from Daily bars", colorRed );
Plot( TimeFrameExpand( maD5EMA , inDaily*ExpandPeriod),
WriteVal(MAPeriod,1.0)+" bar EMA
from Daily*"+WriteVal(ExpandPeriod,1.0)+" bars", colorGreen,expandFirst
);
if(WMAON_Off==0)
{
TimeFrameSet( inDaily
); //
switch now to Daily
maD = WMA( C, MAPeriod);
TimeFrameRestore(); // restore time
frame to original
TimeFrameSet( inDaily*ExpandPeriod);
//
switch now to Daily
maD5 = WMA( C, MAPeriod);
TimeFrameRestore(); // restore time
frame to original
MinBarsReq = MAPeriod * (ExpandPeriod + 1);
Plot( Close, "Price", colorBlack,
styleCandle );
// plot expanded average
Plot( TimeFrameExpand( maD, inDaily
),"\n"+ WriteVal(MAPeriod,1.0)+" bar WMA
from Daily bars", colorBlue );
Plot( TimeFrameExpand( maD5, inDaily*ExpandPeriod),
WriteVal(MAPeriod,1.0)+" bar WMA
from Daily*"+WriteVal(ExpandPeriod,1.0)+" bars", colorViolet );
Plot( TimeFrameExpand( maD5, inDaily*ExpandPeriod),
"Minimum
bars required = "+WriteVal( MinBarsReq,1.0), colorViolet );
}
}
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of johncw_97
Sent: Wednesday, September 16, 2009 5:46 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: WMA problem
--- In amibroker@xxxxxxxxxxxxxxx,
"rkp1" <ralphpatriquin@xxx> wrote:
>
> Hi folks. I'm having a problem with the WMA function in TimeFrames. When I
use the following code in the default Price chart:
>
> TimeFrameSet(inDaily * 5);
> mw = WMA(C, 39);
> TimeFrameRestore();
> mwx = TimeFrameExpand(mw, inDaily * 5);
> Plot(mwx, "WMA", colorRed, styleThick);
>
> I get 4 {EMPTY} bars followed by almost 200 bars starting at
-9,500,000,256.00 to -12,820,173.00 before the WMA settles down. Could others
verify this, and is there a way to eliminate it?
>
> Thanks,
>
> Ralph
>
About 6 years ago, I had the same experience. My workaround
is an AFL function wrapper for WMA() so that when used with
TF functions, produces what I expect. I am not on my own
computer now - email if you want the wrapper and I will send it
to you.
No virus
found in this incoming message.
Checked by AVG - www.avg.com
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05:51:00
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