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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"?
>From my archives (second achive) untested:
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Lane's Stochastic - "Momentum, Direction and Divergence", William
Blau, Publisher: John Wiley& Sons, Chapter 3 - p.25+
Lane's Stochastic
Unsmoothed (fast) stochastic
k=100*(close-LL(q)) / (HH(q)-LL(q))
q = {lookback period}
HH(q) = highest high in last q bars
LL(q) = lowest low in last q bars
one form of slow stochastic = 3 day SMA smoothing
d% = 100*(SMA(3) of (close-LL(q)) / (SMA(3) of (HH(q)-LL(q))
double (EMA) smoothed stochastic
DS(q,r,s) = 100*(EMA(EMA(close-LL(q),r),s)) /
(EMA(EMA(HH(q)-LL(q),r),s))
Stochastic Momentum = SM {distance of close - midpoint}
SM(q) = close - 0.5 * (HH(q) + LL(q))
Stochastic Momentum Index = SMI
SMI = 100*(EMA(EMA(SM(q),r),s)) / (0.5*EMA(EMA(HH(q)-LL(q),r),s))
threshholds set at +100 & -100
basic configuration
q {lookback} = 13 days
EMA smoothing of 25 days
Signal line is the EMA of SMI(q,r,s) set in the range of 3 to 12 bars
Double smoothing of SMI(q,r,s) is obtained by using any two of q,r,s
parameters while holding the remaining parameter fixed.
Stochastic Momentum Index = SMI(13,25,1) plus signal line
thresholds set at +40 & -40
cumulative sum of Stoachastic Momentum with q = 20 day lookback is
similiar to 20 day EMA of close but ineresting
Stochastic momentum for large intervals = SMI(300,5,1)
first smoothing for q = 300
second EMA smoothing of 5 days
only lag was due to r day EMA
shorter time periods produce divergences compare 20 day stochastic
momentum with 5 day smoothing with stochastic momentum index
SMI(20,5,1) disparity is due to 5 day EMA for SMI Vs 3 day SMA for
slow stochastic
EMA smoothing can be increased from 5 to 20 days SMI(20,20,1) trends
as prices trend
SMI can be increased to SMI(20,60,1) to define trend in prices with
slow stochastic used as entry (exit) vehicle
Long trend SMI = SMI(20,150,1) corrects any anomalities by increasing
r from 20 to 150 smooth and with very little lag
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