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Barry,
Metastock and tradestation do these indicators
different.
Linear regression is different because TS uses 32
bit arithmatic and MS uses 16 bit.
ATR is different because of different
formula. To get MS to be the same as TS you need to take
a X period SMA of a 1 period ATR in metastock to
equal X period ATR in TS code.
I have not played with these in a while so I hope I
got that description correct.
-- Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Roy
Larsen
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Monday, April 21, 2003 7:42
PM
Subject: Re: [EquisMetaStock Group]
Inaccurate Indicators
BarryI can't comment on the accuracy of Trade
Station indicators. I think thathow an indicator is constructed is
sometimes open to interpretation, andthis can lead to slightly different
implementations. Which is right andwhich is wrong is difficult to say
without checking the underlying code. Ifthe underlying code is known then
it should be possible to recreate anindicator in discrete MS code and
verify that it conforms to the authorsspecs. Sorry I can't be much more
help, though I'm quite happy toinvestigate 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
PMSubject: 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> <A
href="">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> >>
>> >>>>>>>>
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