|
PureBytes Links
Trading Reference Links
|
Hi Richard,
I ranted several months back to Equis and others on the list that the MS
implementation of VMA was botched. I based this by just eyeballing a chart
and being puzzled by the VMA's lack of sensitivity compared to equivalent
"slower" MAs like the EMA and SMA. Moreover, after reading the formula
presented on p.461 of the MS6.5 manual I felt vindicated in my assumption.
Fortunately, someone did the grunt work (I'm habitually lazy!) of manually
checking the VMA indicator output and confirmed the MS6.5 implementation of
the VMA using Chande's 9-day absCMO was dead-on. The user manual was just in
error.
That got me thinking about why the VMA indexed to the CMO didn't deliver on
sensitivity. The answer then hit me over the head! The absCMO is bounded
between 0-1. Using this as the indexing factor would naturally lead to a
less sensitive indicator. Why Chande suggests on p68 of his book that using
any index that varies between 0-1 is appropriate has mystified me,
especially since the other indexing examples he provides clearly aren't
bounded.
It seems to me then that using VMA indexed to standard deviation or other
unbounded indicators is more appropriate. Any ideas as to why absCMO is seen
as a better choice? Is the math just evading me?
regards,
rick
-----Original Message-----
From: Richard Estes <restes@xxxxxxxxx>
To: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>; George
Stevenson <george@xxxxxxxxxxxx>
Date: Thursday, February 12, 1998 5:52 AM
Subject: Re: Multi-Period Indicators
>A variable moving average where a constant is put into the exponential MA
>formula to adjust for volatility. When the price trends it moves faster
when
>it ranges the MA slows down.
>
>Equis has told me that Chande approved the VAR MA in 6.5 for VIDYA. I think
>the use of VHF rather than CMO is better for stocks.
>
>Another MA that many seem not to notice they have is the volume adjusted
>which works the same as VAR except it uses volume. The best way to see what
>MA you prefer is just load them all on same chart using same # of periods.
>And see how they react with Price. I like to think of the distance between
>Price and the MA as Risk. I find TimeSeries, VOL, and VariableMA511( C ,
>periods) to be the best MAs to use.
>
>Richard Estes
>
>-----Original Message-----
>From: George Stevenson <george@xxxxxxxxxxxx>
>To: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>
>Date: Wednesday, February 11, 1998 2:32 PM
>Subject: Re: Multi-Period Indicators
>
>
>>At 02:04 PM 2/11/98 -0600, Richard Estes wrote:
>>>Chande's VIDYA is in place in 6.5 with the VAR MA. There are many other
>ways
>>>to get there, such as:
>>
>>I just subscribed to the list yesterday. Could you explain what VIDYA
>means.
>>
>>
>>--------------
>>George Stevenson
>>george@xxxxxxxxxxxx
>>
>
>
|