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<DIV><FONT face=Arial size=2>Has any one been able to code the "adaptive
stochastic oscillator " as mentioned in page 10 of the S&C July
issue.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Here's the tradestation code as written by Tushar
Chande:</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>
<P>I was the first to propose adaptive indicators, and my article "Stochastic
RSI And Dynamic Momentum Index" (S<FONT size=-1>TOCKS</FONT> & C<FONT
size=-1>OMMODITIES</FONT>, December 1992) explains how to do it. My book <I>The
New Technical Trader </I>(John Wiley & Sons) also contains a good
explanation of it. The strategy is to change the lookback length of the
indicator by connecting it to market volatility. We would like the indicator to
have a long lookback period when prices are in a trading range (volatility is
low). Conversely, we want a short lookback length when prices are moving
rapidly. I feel that changing the lookback length for calculating indicators is
more responsive than smoothing them with adaptive moving averages. The actual
definition of long and short lookback lengths depends on your trading horizon.
<P>Here is some simple TradeStation code to create an adaptive stochastic
oscillator that uses the 20-day standard deviation of closing prices to vary the
length between seven and 28 days. First, determine if the 20-day standard
deviation is at its highest level. To do so, compute a stochastic oscillator
using the 20-day standard deviation (variables v1 through v4). If the 20-day
standard deviation is at its highest level (v1=v2), then v4=1 and the oscillator
length is set at its shortest value, that is, set to the variable lenmin (=7
days). If the 20-day standard deviation is at its lowest value (v1=v3), then
v4=0 and the current length is set to the maximum length, that is, the variable
lenmax (= 28 days). All that remains is to calculate the stochastic oscillator,
Stoch, for the close and smooth it using a three-day exponential moving average.
The same approach can be used to develop other adaptive indicators or averages.
<P>
<HR width="100%">
<H3><B>TRADESTATION CODE FOR ADAPTIVE STOCHASTIC
OSCILLATOR</B></H3><B>Editor,</B> <BR> <PRE>{-- © 2K Tushar Chande; Adaptive Stochastic Oscillator --}
vars: v1(0), v2(0), v3(0), v4(0) ;
vars: lenmax(28), lenmin(7), currlen(0) ;
vars: hh(0), ll(0), stoch(0), stochma(0) ;
{-- Calculate 20-day std. Dev. And its 20-day range --}
v1 = stddev(c,20) ;
v2 = highest(v1, 20) ;
v3 = lowest(v1, 20) ;
{-- Create v4: stochastic oscillator for 20-day std. dev. --}
{-- if v1=v2 (highest level) => v4 = 1; if v1=v3 (lowest level) => v4=0 --}
if (v2-v3) > 0 then v4 = ((v1 - v3)/(v2-v3)) Else v4 = 0 ;
{-- Calculate current effective length; if v4 = 1, then length = mininum --}
currlen = IntPortion(lenmin + (lenmax-lenmin)*(1-v4)) ;
{-- Calculate stochastic oscillator and its 3-day exponential average --}
hh = highest(h, currlen) ;
ll = lowest(l, currlen) ;
if (hh-ll) > 0 then stoch = ((close - ll)/(hh - ll)) * 100 ;
if currentbar = 1 then stochma = 0 else
stochma = 0.5*stoch + 0.5*stochma[1] ;
{-- Plot data --}
plot1(stoch, "adapt_stoch") ;
plot2(stochma, "stochma") ;
plot3(80, "hi_ref") ;
plot4(20, "lo_ref") ;
{ -- End of code --}</PRE></FONT></DIV></BODY></HTML>
</x-html>From ???@??? Wed Jun 28 20:36:50 2000
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From: "Michael Gilbert" <tradermike@xxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
References: <003701bfe16f$d92a22e0$0c8958ca@xxxxxxxxxxx>
Subject: Re: adaptive stochastic oscillator
Date: Wed, 28 Jun 2000 19:58:27 -0700
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<DIV><FONT face=Arial size=2>isn't this a METASTOCK list????</FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
Anil Chugani
</DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
href="mailto:metastock@xxxxxxxxxxxxx"; title=metastock@xxxxxxxxxxxxx>metastock
list</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Wednesday, June 28, 2000 7:15
PM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> adaptive stochastic oscillator
</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>Has any one been able to code the "adaptive
stochastic oscillator " as mentioned in page 10 of the S&C July
issue.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Here's the tradestation code as written by Tushar
Chande:</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>
<P>I was the first to propose adaptive indicators, and my article "Stochastic
RSI And Dynamic Momentum Index" (S<FONT size=-1>TOCKS</FONT> & C<FONT
size=-1>OMMODITIES</FONT>, December 1992) explains how to do it. My book
<I>The New Technical Trader </I>(John Wiley & Sons) also contains a good
explanation of it. The strategy is to change the lookback length of the
indicator by connecting it to market volatility. We would like the indicator
to have a long lookback period when prices are in a trading range (volatility
is low). Conversely, we want a short lookback length when prices are moving
rapidly. I feel that changing the lookback length for calculating indicators
is more responsive than smoothing them with adaptive moving averages. The
actual definition of long and short lookback lengths depends on your trading
horizon.
<P>Here is some simple TradeStation code to create an adaptive stochastic
oscillator that uses the 20-day standard deviation of closing prices to vary
the length between seven and 28 days. First, determine if the 20-day standard
deviation is at its highest level. To do so, compute a stochastic oscillator
using the 20-day standard deviation (variables v1 through v4). If the 20-day
standard deviation is at its highest level (v1=v2), then v4=1 and the
oscillator length is set at its shortest value, that is, set to the variable
lenmin (=7 days). If the 20-day standard deviation is at its lowest value
(v1=v3), then v4=0 and the current length is set to the maximum length, that
is, the variable lenmax (= 28 days). All that remains is to calculate the
stochastic oscillator, Stoch, for the close and smooth it using a three-day
exponential moving average. The same approach can be used to develop other
adaptive indicators or averages.
<P>
<HR width="100%">
<H3><B>TRADESTATION CODE FOR ADAPTIVE STOCHASTIC
OSCILLATOR</B></H3><B>Editor,</B> <BR> <PRE>{-- © 2K Tushar Chande; Adaptive Stochastic Oscillator --}
vars: v1(0), v2(0), v3(0), v4(0) ;
vars: lenmax(28), lenmin(7), currlen(0) ;
vars: hh(0), ll(0), stoch(0), stochma(0) ;
{-- Calculate 20-day std. Dev. And its 20-day range --}
v1 = stddev(c,20) ;
v2 = highest(v1, 20) ;
v3 = lowest(v1, 20) ;
{-- Create v4: stochastic oscillator for 20-day std. dev. --}
{-- if v1=v2 (highest level) => v4 = 1; if v1=v3 (lowest level) => v4=0 --}
if (v2-v3) > 0 then v4 = ((v1 - v3)/(v2-v3)) Else v4 = 0 ;
{-- Calculate current effective length; if v4 = 1, then length = mininum --}
currlen = IntPortion(lenmin + (lenmax-lenmin)*(1-v4)) ;
{-- Calculate stochastic oscillator and its 3-day exponential average --}
hh = highest(h, currlen) ;
ll = lowest(l, currlen) ;
if (hh-ll) > 0 then stoch = ((close - ll)/(hh - ll)) * 100 ;
if currentbar = 1 then stochma = 0 else
stochma = 0.5*stoch + 0.5*stochma[1] ;
{-- Plot data --}
plot1(stoch, "adapt_stoch") ;
plot2(stochma, "stochma") ;
plot3(80, "hi_ref") ;
plot4(20, "lo_ref") ;
{ -- End of code --}</PRE></FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Thu Jun 29 00:02:22 2000
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From: "j seed" <jseed_10@xxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx
Subject: Re: adaptive stochastic oscillator
Date: Thu, 29 Jun 2000 03:58:53 GMT
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Status:
Michael,
I believe he is asking for the Metastock code. I understand that it can be
converted with MSDK.
J.
>From: "Michael Gilbert" <tradermike@xxxxxxxxxxxxxxxx>
>Reply-To: metastock@xxxxxxxxxxxxx
>To: <metastock@xxxxxxxxxxxxx>
>Subject: Re: adaptive stochastic oscillator
>Date: Wed, 28 Jun 2000 19:58:27 -0700
>
>isn't this a METASTOCK list????
> ----- Original Message -----
> From: Anil Chugani
> To: metastock list
> Sent: Wednesday, June 28, 2000 7:15 PM
> Subject: adaptive stochastic oscillator
>
>
> Has any one been able to code the "adaptive stochastic oscillator " as
>mentioned in page 10 of the S&C July issue.
>
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