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Andreas,
Nice work! The momentum index is indeed the CMO. Just in case anyone is
interested here is the Chande Momentum Oscillator:
PD:= Input("Lookback Period", 5, 220, 30);
MI:= {Chande Momentum Osc (C,PD)}
((Sum(If(CLOSE,>,Ref(CLOSE,-1),
(CLOSE-Ref(CLOSE,-1)),0),pd))-
(Sum(If(CLOSE,<,Ref(CLOSE,-1),
(Ref(CLOSE,-1)- CLOSE),0),pd))) /
((Sum(If(CLOSE,>,Ref(CLOSE,-1),
(CLOSE-Ref(CLOSE,-1)),0),pd)+
(Sum(If(CLOSE,<,Ref(CLOSE,-1),
(Ref(CLOSE,-1)- CLOSE),0),pd))))*100;
MI;
J.
>From: "Andreas Grau" <agrau@xxxxxxxxxxxxxxxxxxxx>
>Reply-To: metastock@xxxxxxxxxxxxx
>To: <metastock@xxxxxxxxxxxxx>
>Subject: AW: boll01.html
>Date: Mon, 13 Nov 2000 08:36:12 +0100
>
>Hello List,
>
>below is what I believe is the Flexible Pivot with Upper and Lower band as
>described in the paper. Any improvements are more than
>welcome.
>
><SNIP>
>
>N:=Input("Lookback Period", 9, 220, 90);
>M:=N; {Period used for Momentum Index}
>SD:=1.5; {Number of Stdev's around FlexPivot}
>
>MI:= CMO(C ,M ) / 100; { Momentum Index }
>
>MA:= Mov(C, N, S); { Moving Average }
>
>FlxP := If( MI > 0,
> { THEN }
> MA + (MI * (HHV(C, M) - MA)),
> { ELSE }
> MA + (MI * (MA - LLV(C, M)))
>); { ENDIF }
>
>LBand := FlxP - SD * Stdev(INDICATOR, N);
>UBand := FlxP + SD * Stdev(INDICATOR, N);
>
>UBand;
>FlxP;
>LBand;
>
></SNIP>
>
>
>Andreas
>
>---
>Andreas Grau aka agrau@xxxxxxxxxxxxxxxxxxxx
>
>I know you believe you understand what you think I said,
>but I am not sure you realize that what you read is not
>what I meant. -- Found in an English pub
>
>
> > -----Ursprüngliche Nachricht-----
> > Von: owner-metastock@xxxxxxxxxxxxx
> > [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Adam Hefner
> > Gesendet am: Sonntag, 12. November 2000 15:22
> > An: metastock@xxxxxxxxxxxxx
> > Betreff: Re: boll01.html
> >
> > J.,
> >
> > Below is some of the information that describes the system:
> >
> >
> >
> >
> > Designing a Flexible-Parameter Bollinger Band System:
> > Since the pivot point and stop-setting process in the
> > flexible-parameter approach is based on the directionality of the
>market, we
> > begin by introducing an index of market momentum or directionality over
>the
> > past n periods as defined by Chande and Kroll (1994) and given below:
> >
> > Total "Up" days - Total "Down" days
> >
> > Momentum index = ----------------------------------
> > Total "Up" days + Total "Down"
>days
> >
> > A higher close today as compared to yesterday results in an "Up"
> > day. Conversely, a lower close today as compared to yesterday results in
>a
> > "Down" day. The sum of all "Up" days ("Down" days) over the past n
>periods
> > gives us the total "Up" days ("Down" days) in the above formula. The
> > momentum index as defined above ranges anywhere from +1 (a perfect up
>trend,
> > as in case of data set 1) to -1 (a perfect down trend). A value close to
> > zero implies a lack of directionality in the market.
> > In an up-trending market, when the momentum index is positive,
>the
> > pivot point of the current trend ought to be higher than the moving
>average,
> > somewhere near the high end of the trading range (Ruggiero 1996;
>Ruggiero
> > 1998). This will allow for a faster reversal from a buy to a sell, when
>the
> > up trend reverses. Accordingly, a flexible pivot point is defined as the
>n
> > period moving average of prices plus some fraction of the difference
>between
> > the n period highest price and the n period moving average. The fraction
>in
> > question is given by the current n period momentum of the market.
>Therefore,
> > the stronger the directionality of the up trend, the closer the pivot
>point
> > is to the highest high over the past n periods. The formula for the n
>period
> > flexible pivot in an up trending market, when the momentum is positive,
>is
> > as under:
> >
> > Flexible pivot = Moving Average + Momentum * (Highest High - Moving
> > Average).
> >
> >
> >
> > Should be able to recreate this......but I havn't taken the time to
>try
> > yet!
> > Adam Hefner
> >
> >
> >
> > ----- Original Message -----
> > From: j seed <jseed_10@xxxxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Sunday, November 12, 2000 7:16 AM
> > Subject: Re: boll01.html
> >
> >
> > > Adam,
> > > Any idea what the flexible system is?
> > >
> > > J.
> > >
> > >
> > > >From: "Adam Hefner" <vonhef@xxxxxxxxxxxx>
> > > >Reply-To: metastock@xxxxxxxxxxxxx
> > > >To: <metastock@xxxxxxxxxxxxx>
> > > >Subject: boll01.html
> > > >Date: Fri, 10 Nov 2000 07:41:30 -0600
> > > >
> > > >Here is a link to some research I found interesting.
> > > >
> > > > http://orion.neiu.edu/~agkanali/Research/boll01.html
> > > ><< boll01.html.url >>
> > >
> > >
>_________________________________________________________________________
> > > Get Your Private, Free E-mail from MSN Hotmail at
>http://www.hotmail.com.
> > >
> > > Share information about yourself, create your own public profile at
> > > http://profiles.msn.com.
> > >
> > >
> >
>
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