|
PureBytes Links
Trading Reference Links
|
Barry
I can't comment on the accuracy of Trade Station indicators. I think that
how an indicator is constructed is sometimes open to interpretation, and
this can lead to slightly different implementations. Which is right and
which is wrong is difficult to say without checking the underlying code. If
the underlying code is known then it should be possible to recreate an
indicator in discrete MS code and verify that it conforms to the authors
specs. Sorry I can't be much more help, though I'm quite happy to
investigate any example you have as far as I can.
Roy
----- Original Message -----
From: "Barry Seeger" <barry.seeger@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Tuesday, April 22, 2003 2:05 PM
Subject: RE: [EquisMetaStock Group] Inaccurate Indicators
> Roy,
> Many thanks for pulling that information together for me. I see now that
> you were writing about the difference in calculated values between an
> Indicator and an Exploration in MS, and how that can be corrected by
> forcing the exploration to use a longer data series.
>
> My issue is different from that. It concerns MS calculating a different
> value for an indicator that incorporates Linear Regression and Average
> True Range than another program (Trade Station) does. It has been
> suggested to me that the other program is right, and MS gets it just a
> few cents wrong.
>
> Any idea whether that would be the case, and if so, how to correct it?
> Thanks again,
> Barry
>
>
> -----Original Message-----
> From: Roy Larsen [mailto:rlarsen@xxxxxxxxxxxxxx]
> Sent: Monday, 21 April 2003 1:50 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] Inaccurate Indicators
>
> Barry
>
> Many standard MS indicators use a form of exponential smoothing as part
> as
> an integral part of the indicator. Exponential moving averages don't
> "drop
> off" old data in the same way that Simple moving averages do, so a part
> of
> ALL historical data available to the EMA is included in it. With each
> new
> bar some of the new data is added, this replacing a proportion of the
> old
> data, but not ALL. The retained data still has SOME of all previous
> data.
> Addmittedly the oldest data is just a very small fraction of the current
> EMA
> value, but the absence of old retained data in an exploration that only
> requires "minimum" periods can cause a significant variation in value
> than
> the same EMA observed on a chart.
>
> Suppose your exploration uses "minimum" periods, and the longest period
> indicator isa a 14 period EMA. Now if your charts are set to load 1000
> bars
> then then a 14 period EMA will calculate using 1000 bars of data.
> However
> the exploration will only be forced to use 14 bars of data. In such a
> situation the chart EMA is much more accurate. Put another way, the
> exploration EMA could be off by several percent.
>
> The easiest solution to this problem is to "force" all explorations to
> scan
> at least 5 times the number of periods of the longest EMA affected
> indicator. I seldom use less than 400 bars in an exploration, and never
> use
> "minimum" unless I am testing for the very situation discussed here.
>
> What you must realize is that many indicators include EMA, Wilders, or
> some
> other form of exponential smoothing as part of the internal calculation.
>
> The following post I made at StockCentral some time ago may also be
> helpful.
> See
> http://www.stockcentral.com.au/forum/machine/Forum32/HTML/000414.html
> From the number of questions that I have seen posted recently about
> exploration events not coinciding with charted events I thought it might
> be
> useful to discuss further the major cause of the problem, and to
> identify
> many of the MetaStock functions that can contribute to it.
>
> The problem does not lie with the MetaStock formula language but with
> the
> way that individual users set up their explorations.
>
> There seems to be a general lack of understanding, even among
> experienced
> users, that EXPONENTIAL moving averages require much more data than the
> "PERIODS" value of any affected function will supply. When using the
> Explorer with the "Minimum Periods" option set we need to be aware that
> the
> number of records explored will not exceed the highest "PERIODS" value
> used
> in the active exploration formulas.
>
> An EMA displayed on a chart has access to ALL loaded data, regardless of
> the
> "PERIODS" value of the indicator. However an exploration will only have
> access to the amount of data that the user has specified. The point to
> remember with an exponential MA is that new data is added with each bar,
> but
> old data is never dropped out (as happens with a simple MA). The old EMA
> data becomes less significant with each new bar but it continues to be a
> component of the final EMA value. This is the essential factor that
> causes
> differences between chart and exploration values.
>
> Quite a number of MetaStock functions use internal smoothing, and this
> is
> usually (but not always) exponential in nature. Some functions allow
> user
> control over the smoothing method employed, Mov() being an obvious
> example.
>
> The following list cannot be guaranteed as 100% accurate but these are
> the
> MS functions to watch out for that appear to use, or are in themselves,
> a
> form of exponential smoothing.
>
> adx()
> adxr()
> atr()
> bbandbot()
> bbandtop()
> dema()
> dx()
> emv()
> forecastosc()
> imi()
> inertia()
> macd()
> mass()
> mdi()
> mov()
> oscp()
> oscv()
> pdi()
> pfe()
> projosc()
> qstick()
> rangeindicator()
> rmi()
> rvi()
> sar()
> stoch()
> tema()
> trix()
> wilders()
>
> When using any of these functions in an exploration the accuracy of the
> reported results will require the number of records explored to be set
> appropriately. As a rule of thumb I would suggest multiplying the
> highest
> "PERIODS" value by a factor of 5.
>
> Another trick that should force the exploration to include the required
> minimum number of records without actually specifying that number is to
> add
> the following code to the filter and adjust "PERIODS" to a suitable
> value.
> " AND Mov(C,PERIODS,S)>0"
>
> Roy
>
>
>
> > I recall that Roy Larsen has responded on this listserv to queries
> about
> > why indicators in MetaStock can give inaccurate results. From memory
> it
> > occurs when insufficient data is loaded.
> >
> > I didn't take much notice of the discussion at the time, but I have
> now
> > experienced that problem.
> >
> > I can't see a document covering the issue with this group's files, yet
> I
> > recall there was such a document. Can Roy or anyone direct me to it
> > please?
> > Thanks,
> > Barry
> >
> >
> >
>
>
>
>
>
>
> Yahoo! Groups Sponsor
>
>
> <http://rd.yahoo.com/M=250099.3088638.4504503.1728375/D=egroupweb/S=1705
> 375617:HM/A=1546002/R=0/*http:/ads.track-star.com/linker.ts?ts=1;2;315;1
> 5_1_48>
>
>
> <http://us.adserver.yahoo.com/l?M=250099.3088638.4504503.1728375/D=egrou
> pmail/S=:HM/A=1546002/rand=160114629>
>
> To unsubscribe from this group, send an email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to the Yahoo!
> <http://docs.yahoo.com/info/terms/> Terms of Service.
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/i5gGAA/BefplB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|