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Kaufmann AMA...



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<font size=3>thanks for the help...will work on this over the weekend...a
few q's..how exactly do i use this in an exploration...what is the
filter...and are their any specific columns used...thanks... <br>
<br>
<br>
At 09:48 PM 5/30/00 -0400, you wrote:<br>
<blockquote type=cite cite>On Tue, 30 May 2000 19:40:20 -0400, you
wrote:<br>
<br>
&gt; I'll take you up on that offer...i am trying to code Kaufmann AMA
and <br>
&gt; having a problem getting it to work..I will send you the code if you
need <br>
&gt; it to figure out....<br>
<br>
Hi Jim,<br>
<br>
Expanding on HHP:<br>
====================================================<br>
Adaptive Moving Average - Perry Kauffman, TASC Bonus/1998 Equis<br>
<br>
For MetaStock 6.5, Adaptive Moving Average system, akin to VIDYA.<br>
Choose Indicator Builder from the Tools menu and then click on the
New<br>
button. Enter the following formulas.<br>
<br>
Adaptive Moving Average Binary Wave<br>
<br>
Periods := Input(&quot;Time Periods&quot;,1,1000, 10);&nbsp; {10 is the
lookback<br>
period}<br>
<br>
{The value &quot;1000&quot; looks very large, 10 as a default seems to
make more<br>
sense.<br>
1000 days (bars) correspond to 4 trading years.}<br>
<br>
Direction := CLOSE - Ref(Close,-periods);<br>
<br>
{&quot;Direction&quot; is nothing but the &quot;periods&quot;-day
momentum: the difference<br>
between today's Close and the close periods days ago.}<br>
<br>
Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);<br>
<br>
{This is the sum of daily changes (absolut values) of the close
prices<br>
over &quot;periods&quot; days (bars).}<br>
<br>
ER := Abs(Direction/Volatility);&nbsp; {ER = Efficiency Ratio}<br>
<br>
{ER will be between 0 and 1. If the close moves from its current
level<br>
in a constant move up to a value periods days later, Direction and<br>
Volatility will be equal (in value), dito for a down move. If the<br>
prices oscillate, and the close is equal to the close periods days<br>
ago, Direction will be 0. As a rule, Volatility will be greater 
than<br>
Direction. If You take a period of 1 day, then Volatility =<br>
abs(Direction) and ER = 1.}<br>
<br>
FastSC := 2/(2 + 1); {2=2 EMA which is the fastest MA in the
variable<br>
average basic formula is 2/(n+1)?}<br>
SlowSC := 2/(30 + 1); {30 = 30 EMA is the slowest MA in the 
variable<br>
average}<br>
SSC := ER * (FastSC - SlowSC) + SlowSC;<br>
<br>
{As ER is a value between 0 and 1, You will get as SSC (Smoothed<br>
Scaling Constant? I really don't know) a value between SlowSC and<br>
FastSC. If ER is 0, then SSC is equal to SlowSC, if ER is 1, then
SSC<br>
is equal to FastSC. So SSC is a value between 0.66 and 0.0645<br>
(approximately), a range of about 10 to 1.<br>
<br>
So an oscillating market corresponds to a slow MA, a trending 
market<br>
to a fast MA? At a first glance, this does not make sense.}<br>
<br>
Constant := Pwr(SSC,2);<br>
<br>
{That's SSC squared. Squaring a number smaller than 1 makes it<br>
smaller: Constant is a value between 0.444... and 0.00416, now You<br>
have a range of 100 to 1.}<br>
<br>
AMA := If(Cum(1) = periods +1, ref(Close,-1) + constant * (CLOSE -<br>
ref(Close,-1)),Prev + constant * (CLOSE - PREV));<br>
AMA<br>
<br>
{The main portion of the formula is
&quot;PREV+constant*(close-PREV)&quot;: You<br>
take the difference between today's close and yesterdays value of
the<br>
AMA, multiply it by Constant and add it to yesterday's AMA (the<br>
difference could be negative). In a trending market, You will take<br>
about 44% of the difference between today's close and PREV, in an<br>
oscillating market 0.4%.<br>
<br>
You have to provide a starting value for AMA (to be used as PREV)<br>
hence the term&nbsp;
&quot;Ref(CLOSE,-1)+constant*(CLOSE-Ref(CLOSE,-1))&quot;, which<br>
is computed after periods+1 days. Before periods days are elapsed,<br>
Direction and Volatility and hence ER are not defined.<br>
<br>
The result looks as expected: speeding up in trends long enough<br>
compared to periods, and ignoring oscillations short in comparison
to<br>
periods, though they are very strong (but maybe that's the idea
behind<br>
AMA?).<br>
<br>
It doesn't look very useful to me: Do You have any hints as how to<br>
build trading rules around AMA?<br>
<br>
BTW, VIDYA can be indexed to CMO or r-squared.}<br>
<br>
FilterPercent := Input(&quot;Filter Percentage&quot;, 
0,100,15)/100;<br>
<br>
Filter := FilterPercent * Std(AMA - Ref(AMA,-1),Periods);<br>
<br>
AMALow := If(AMA &lt; Ref(AMA,-1),AMA,PREV);<br>
<br>
AMAHigh := If(AMA &gt; Ref(AMA,-1),AMA,PREV);<br>
<br>
If(AMA - AMALow &gt; Filter, 1 {Buy Signal}, If(AMAHigh - AMA &gt;
Filter,<br>
-1 {Sell Signal}, 0<br>
{No Signal}))<br>
<br>
Adaptive Moving Average<br>
<br>
Periods := Input(&quot;Time Periods&quot;,1,1000, 10); {Periods :=
Input(&quot;Time<br>
Periods&quot;,1,1000, 20);}<br>
Direction := CLOSE - Ref(CLOSE,-periods);<br>
Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);<br>
ER := Abs(Direction/Volatility);<br>
FastSC := 2/(2 + 1);<br>
SlowSC := 2/(30 + 1);<br>
SSC := ER * (FastSC - SlowSC) + SlowSC;<br>
Constant := Pwr(SSC,2);<br>
AMA := If(Cum(1) = periods +1, ref(Close,-1) + constant * (CLOSE -<br>
ref(Close,-1)),Prev +<br>
constant * (CLOSE - PREV));<br>
AMA<br>
<br>
If you want to see the adaptive moving average, just plot it on any<br>
chart in MetaStock. If you want to see the buy and sell signals 
from<br>
the adaptive moving average system, plot the adaptive moving 
average<br>
binary wave. This binary wave plots a &quot;1&quot; when there's a buy
signal, a<br>
&quot;-1&quot; for a sell signal and a zero when there's no signal.<br>
===========================<br>
This is a cut an paste from various messages on this SIG and the
TASC<br>
site.<br>
<br>
Maybe we could try to place a better subject header.&nbsp; I left it
alone<br>
to keet the e-mailer programs consistent with the thread.<br>
<br>
-÷ Chris ß ÷-</font></blockquote><br>
Jim....Atlanta, ga
</html>
</x-html>From ???@??? Fri Jun 02 06:31:54 2000
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Message-ID: <005801bfcc31$88ef2120$b48e6395@xxxxxxx>
From: "Walter Lake" <wlake@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
References: <NDBBIBLNMOPJDGHEOACJGEDCCMAA.MikeSuesserott@xxxxxxxxxxx>
Subject: Re: ? opening data in .gif pictures
Date: Thu, 1 Jun 2000 21:26:09 -0400
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Status:   

Hi Michael

I downloaded "Kleptomania" and have not had any luck ... but then again
that's typical ... given my "hands of stone"<G>

Have enclosed a portion of a ".gif" file from one of the web pages. I would
appreciate it if you would try "Klepto" on it to see if you have any
success.

Thanks to Scheier and others who wrote with suggestions. Nothing is working
so far.

Best regards

Walter


----- Original Message -----
From: "Michael Suesserott" <MikeSuesserott@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, June 01, 2000 2:58 PM
Subject: RE: ? opening data in .gif pictures


| Walter,
|
| a screen capture OCR tool would do the trick. You might want to have a
look
| at "Kleptomania", one of the best OCR tools I know.
| http://www.structurise.com/kleptomania/
|
| Kind regards,
|
| Michael
|
|
| -----Original Message-----
| From: owner-metastock@xxxxxxxxxxxxx
| [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
| Sent: Thursday, June 01, 2000 20:29
| To: Metastock bulletin board
| Subject: ? opening data in .gif pictures
|
|
| Several of the web sites that I want to download data from have the data
in
| "gif" or picture format. Does anyone know how to open .gif files into text
| or ".xls" files?
|
| Best regards
|
| Walter
|

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