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On Wed, 16 Jun 1999 11:38:21 -0500, you wrote:
>> Anyone have some/all of the Metastock equivalents for
>> Bill Blau's formulas/systems as outlined in "Momentum,
>> Direction, & Divergence"?
Untested, from my archives (1st Archive):
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True Strength Index (TSI) - "Momentum, Direction and Divergence",
William Blau, Pub: John Wiley& Sons (see also TASC 1/1993,
"Stochastic Momentum" which gives the formula for the true strength
index. This article refers to an older article by Blau in the TASC
1/1991 "Double Smoothed Stochastics")
TSI(close,r,s) = 100*EMA(EMA(mtm,r),s / EMA(EMA(ImtmI,r),s)
Numerator
mtm = one-day momentum of close
r-day EMA of mtm {25 day}
s-day EMA {13 day double smoothing}
Denominator
ImtmI = absolute value of mtm
r-day EMA of ImtmI
s-day EMA {double smoothing}
Try using TSI along with a ( 9 day ) EMA of TSI as a trigger line,
similar to a MACD & trigger line. Experiment with the moving average
periods inside the TSI. In his book Blau recommended using one MA much
longer than the other.
TSI(close,25,13)
Signal Line = EMA(TSI,7)
thresholds at +25, 0, -25
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5 day EMA of 20 day EMA of 1 day momentum {little lag Vs. smoothing of
price}
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Ergodic Oscillator = Ergodic + Signal line {TSI version of Slow
Stochastic}
Ergodic(close,r) = TSI(close,r,5) {double smoothing is fixed at 5}
Signal Line(close,r) = EMA(TSI(close,r,5),5)
r = 20days
thresholds are +20, -20
interesting comparison chart between 20 Slow Stochastic and 20 Ergodic
{more head room in oversold-bought areas}
another chart showing Ergodic Osc = TSI(close,32,5) with 5-day EMA
signal
line
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Trading Ergodics with the Trend - Rules
1. Enter or hold position only when slope of Ergodic Signal line has
the
same direction as the trend
2. Stand aside when slope of Ergodic Signal Line is in the opposite
direction of trend
3. Enter or exit position when Ergodic and its Signal Line cross
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Slow TSI Trend = TSI(close,64,64) {? weekly looking chart - very
little lag}
Thresholds set at +15 & -15
Trading Ergodics with Slow TSI Trend
1st window - Slow TSI Trend = TSI(close,64,64)
2nd window - Ergodic Osc = TSI(close,64,5)
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100*(Mov(Mov(ROC(C,1,$),25,E),13,E)/Mov(Mov(Abs(ROC(C,1,$)),25,E),13,E))
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