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I've just started using MetaStock as an "upgrade" (I think) from Window
on Wall Street and need some help with the optimization function in the
system tester. I hope this doesn't seem like a "lazy" question, because
I have looked for the answer in the manual and have tried various
methods to no avail.
I'm trying to optimize a variable in a custom indicator - Perry
Kaufman's Adaptive Moving Average. I would like to test for the optimal
lookback period ("Periods"). I have pasted the formula for the AMA
below. Any assistance is much appreciated.
Periods := Input("Time Periods",1,1000, 10);
Direction := CLOSE - Ref(CLOSE,-periods);
Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);
ER := Abs(Direction/Volatility);
FastSC := 2/(2 + 1);
SlowSC := 2/(30 + 1);
SSC := ER * (FastSC - SlowSC) + SlowSC;
Constant := Pwr(SSC,2);
AMA := If(Cum(1) = periods +1, Ref(CLOSE,-1) + constant * (CLOSE -
Ref(CLOSE,-1)),PREV + constant * (CLOSE - PREV));
AMA
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