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On Sat, 22 Jan 2000 12:51:18 EST, you wrote:
>From my "archives".
-= Chris ß =-
Using FastTrack/FastRUBE/FastTools/Trade/EZPnF/PSM/MetaStock
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Breaking out of Price Channels - VIDYA - Gerald Marisch, TASC 01/1998,
p. 93.
"Here's a technique based upon Tushar Chande's variable-length moving
average. The indicator is more responsive to market price movements
than a conventional simple or exponential moving average, and can be
used for position trading."
Wasn't Chande's original a 9 day lookback and 12 day smoothing or a
CMO(9) and VIDYA(12).
As I understand it, VIDYA uses a Volitility measure (CMO) to modify
the Smoothing Constant (SC) used in the Exponential Moving Average
(EMA). (Chande used several other measures beside CMO, i.e., r
squared, etc.)
The following formula will match the authors slight modification to
the variable moving average:
VIDYA 21,5 Indicator - Variable Index Dynamic Moving Average, by
Tushar Chande
Length:=Input("Length",1,200,21); {21 = the lookback period, try
also 10 for Forrest Ho}
Smooth:=Input("Smoothing",1,200,5); {5 = the smoothing period)
AbsCMO:=(Abs(CMO(C,Length)))/100; {used to adjust the Smoothing
Constant = 2/(n+1)?}
SC:=2/(Smooth+1); {? is SC = Smoothing Constant or Scaled Constant}
VIDYA:=If(Cum(1)<=(Length+1),C,(SC*AbsCMO*CLOSE)+(1-(SC*AbsCMO))*PREV);
upperband:=1.01*VIDYA;
lowerband:=.99*VIDYA;
VIDYA;
upperband;
lowerband;
The following Expert highlights will show you when the price has
undergone trend changes as discussed in the article. Enter each
section as a separate highlight in an Expert Advisor. To do this,
create a new Expert and select Highlights from the tab dialog. Then
select New and name it Bull. Paste the Bull trend formula into the
condition box within the editor and set the color to green. Do this
for the Bear and the Pause conditions as well, selecting the matching
colors, Attach this Expert to your chart and if the conditions are
met, the price bars will be displayed in the proper colors.
To add the time period variable "n"
n:=10 {Time periods};
Length:=Input("Length",1,200,n); etc.
For a system test:
In systemtester, add a new system. I called it Forrest Ho's
VIDYA...using 10 in above as the look back)
Enter long:
Length:=opt1;
Smooth:=5;
AbsCMO:=(Abs(CMO(C,Length)))/100;
SC:=2/(Smooth+1);
VIDYA:=If(Cum(1)<=(Length+1),C,(SC*AbsCMO*CLOSE)+(1-(SC*AbsCMO))*PREV);
Cross(C,VIDYA)
Optimize: min2 max10 step1
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