|
PureBytes Links
Trading Reference Links
|
In the June issue of TASC is an article by Christian Fries on the development of a "Elastic Moving Average", a volume sensitive moving average. The basic formula to make the indicator is:
n:=Input("Enter the number of shares: ",1,1000000,1); eVWMA:=((n-V)*PREV+(V*C))/n; eVWMA;
It has interesting possibilities and provides good opportunities to play with, however I have two problems with it:
1) applying it to the QQQ I get an "Overflow in MUL() function". I think this is due to the high volumes of the QQQ. Any ideas how to fix this?
2) the QQQ has a rather wide range of volumes since its inception and the eVWMA changes character rather drastically over a period of several years for this equity. With a number of shares of 1000000 it starts off rather smooth but in the end it is hardly distinguishable from the price. As is, its usefulness appears short term...
I would like it to maintain its filtering characteristic more constant over time with EOD prices, i.e. its usefulness as compared to the price, by scaling the "no. Shares" input with a volume derived factor (perhaps MA?). Any ideas on this?
Best regards, Herman.
|