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Thanks Roy-
I did some exploration tests and my "8 period exponential moving
average using daily data with PREV" function took about 50 times
longer to calculate than a simple "C > O" (Explorate options set to
load 50 periods for both tests).
I have not been able to figure out how to calculate an exponential
moving average without a self-referencing formula - I don't see how
cum can help me. The method I've devised uses the following 3
formulas (.FIRSTDAYOFWEEK, .8PERIODWEEKLYEMA.T
and .8PERIODWEEKLYEMA). I have pasted them below with the rather
tedious documentation that I write to myself.
If anyone knows how to replace my formulas so that I can avoid using
PREV, any help would be appreciated.
With Regards-
Sam
--------------------------------------------------------------
--------------------------------------------------------------
{
.FIRSTDAYOFWEEK
NOTE: NEED TO SELECT START DATE THAT IS 2 NON-HOLIDAY DAYS PRIOR TO
THE NEXT WEEK FOR .8PERIODWEEKLYEMA TO WORK
Setting Cum(1) = 2 flags the last bar of the first week assuming I
have chosen a start date per NOTE above. Needed because
8PERIODWEEKLYEMA uses ValueWhen( 1, FIRSTDAYOFWEEK , PREV ) which is
N/A on FIRSTDAYOFWEEK if PREV is N/A (i.e, I need to assign a value
to the bar prior to the first real FIRSTDAYOFWEEK (i.e. Cum(1)=2 is
not a real FIRSTDAYOFWEEK) so that on the first real ValueWhen( 1,
FIRSTDAYOFWEEK , PREV ),PREV will have a valid Close value to use
}
FIRSTDAYOFWEEK:=
Cum(1)=2
OR
DayOfWeek()<Ref(DayOfWeek(),-1)
;
FIRSTDAYOFWEEK
--------------------------------------------------------------
{
.8PERIODWEEKLYEMA.T
Start date must be 2 trading days before the first day of the
following week for this formula to work properly
}
FIRSTDAYOFWEEK:= Fml( ".FIRSTDAYOFWEEK" )
;
If(
FIRSTDAYOFWEEK AND PREV = 0 {this should
be when Cum(1)=2}
{then},
C
{else},
ValueWhen( 1, FIRSTDAYOFWEEK , PREV ) * ( 1 - ( 2 / ( 8 + 1 ))) +
C * ( 2 / ( 8 + 1 )) {the formula MetaStock uses to
calculate an 8 period exponential moving average}
)
--------------------------------------------------------------
{
.8PERIODWEEKLYEMA
}
FIRSTDAYOFWEEK:= Fml( ".FIRSTDAYOFWEEK" )
;
8PERIODWEEKLYEMA.T:= Fml( ".8PERIODWEEKLYEMA.T" )
;
8PERIODWEEKLYEMA:=
8PERIODWEEKLYEMA.T * ValueWhen( 8 , FIRSTDAYOFWEEK, 1 ) {Set
data array to N/A for first 7 weeks}
;
8PERIODWEEKLYEMA
--------------------------------------------------------------
--------------------------------------------------------------
--- In equismetastock@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
wrote:
> Sam
>
> For weekly values on daily charts I think you should stay away from
the PREV based code. The
> difference in accuracy is minimal but the processing overheads are
significant. I'm still hoping to
> come up with a method that doesn't need to Cum() all weekly data
but for now I still believe that's
> the best way to go.
>
> Roy
>
> ----- Original Message -----
> From: "sabboushi2000" <Yahoo@xxxx>
> To: <equismetastock@xxxxxxxxxxxxxxx>
> Sent: Monday, February 09, 2004 5:37 AM
> Subject: Re: [EquisMetaStock Group] Simple Moving Average using
first bar of each week
>
>
> > Thanks Roy - I appreciate your assistance.
> >
> > I don't understand the basis behind how the LastValue ( J + PREV -
> > PREV ) converts J into a constant (or exactly what that means to
> > MS).
> > Although this certainly works as you've outlined, I cannot get it
to
> > work for my specific case:
> >
> > EMAPERIODS:= Fml(".EMAPERIODS"); {where EMAPERIODS is a constant
> > (8)}
> >
> > J:= LastValue( EMAPERIODS + PREV - PREV );
> >
> > Mov( C , J , E )
> >
> > Error message: This variable or expression must contain only
> > constant data.
> >
> > Any ideas why your trick won't work for my case?
> >
> > With Regards-
> > Sam
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
> > wrote:
> > > Here are three versions of a weekly Monday CLOSE SMA. The first
> > formula is less accurate than the
> > > other two because of the errors introduced by cumulating the
data
> > for every Monday on the chart then
> > > subtracting the unwanted Monday data. The advantage of this
code is
> > that it does not require PREV.
> > >
> > > The second and third formulas are more accurate because there
is no
> > fractional component in the 'J'
> > > variable cumulations. This variable calculates the look-back
> > periods (in bars, not weeks) for Sum()
> > > or Mov(). In both formulas the 'J' variable is converted to
operate
> > legitimately as a constant in
> > > either the Sum() or Mov() functions.
> > >
> > > The last line of the third formula can be broken down as
follows.
> > >
> > > Mov( {moving average of}
> > > K*M, {data array includes only the CLOSE when Monday is true}
> > > LastValue(J+PREV-PREV), {'J' periods in the form of a
constant
> > as required by Mov()}
> > > S) {simple moving average}
> > > *J/D; {multiply MA by look-back periods and divide result
by
> > weeks}
> > >
> > > It is clear from the makeup of this last line that moving
between
> > different periodises on the one
> > > chart is rarely a matter of making simple changes. As you've
> > already discovered the data array needs
> > > to created, the sampling of that data needs to be managed, and
the
> > number of look-back periods also
> > > need to adjusted to allow for holidays. The basic functions just
> > can't cut it.
> > >
> > > Roy
> > >
> > > {Monday Close SMA 1}
> > > {for use on daily charts}
> > > D:=Input("Periods in Weeks",1,100,10);
> > > M:=DayOfWeek()<=ValueWhen(2,1,DayOfWeek());
> > > K:=ValueWhen(1,M,C);
> > > G:=Cum(M*K);
> > > X:=(G-ValueWhen(D+1,M,G))/D;
> > > X;
> > >
> > > {Monday Close SMA 2}
> > > {for use on daily charts}
> > > D:=Input("Periods in Weeks",1,100,10);
> > > M:=DayOfWeek()<=ValueWhen(2,1,DayOfWeek());
> > > J:=Cum(1)-ValueWhen(D+1,M,Cum(1));
> > > K:=ValueWhen(1,M,C);
> > > Sum(K*M,LastValue(J+PREV-PREV))/D;
> > >
> > > {Monday Close SMA 3}
> > > {for use on daily charts}
> > > D:=Input("Periods in Weeks",1,100,10);
> > > M:=DayOfWeek()<=ValueWhen(2,1,DayOfWeek());
> > > J:=Cum(1)-ValueWhen(D+1,M,Cum(1));
> > > K:=ValueWhen(1,M,C);
> > > Mov(K*M,LastValue(J+PREV-PREV),S)*J/D;
> > >
> > >
> > > ----- Original Message -----
> > > From: "sabboushi2000" <Yahoo@xxxx>
> > > To: <equismetastock@xxxxxxxxxxxxxxx>
> > > Sent: Friday, February 06, 2004 2:53 AM
> > > Subject: [EquisMetaStock Group] Simple Moving Average using
first
> > bar of each week
> > >
> > >
> > > > Hi-
> > > >
> > > > Am trying to use EOD daily data to create a Moving Average
for the
> > > > previous 3 weeks - by using the Close of the first bar of each
> > > > week AND by using the MOV function.
> > > >
> > > > Example: Today is Wednesday. I want a simple 3 day moving
> > average
> > > > using the following data:
> > > >
> > > >
> > > >
> > > > 2/17 Wednesday
> > > > 2/16
> > > > 2/15 Monday Close: 10
> > > >
> > > > 2/12 Friday
> > > > 2/11
> > > > 2/10
> > > > 2/9 Tuesday Close: 15
> > > > 2/8 Monday Holiday
> > > >
> > > > 2/5 Friday
> > > > 2/4
> > > > 2/3
> > > > 2/2
> > > > 2/1 Monday Close: 20
> > > >
> > > > The result I am looking for in this example would be (10 + 15
+
> > > > 20) / 3 = 15
> > > >
> > > > (2/9 Tuesday was first trading day of that week since Monday
was a
> > > > trading Holiday)
> > > >
> > > >
> > > > NOTE: I know I can create a formula to create this moving
average
> > > > without using the MOV function, but I don't really want to
create
> > a
> > > > simple moving average using 3 data points - I just used this
as a
> > > > simple example for discussion purposes.
> > > >
> > > > I've tried using valuewhen to identify the first close value I
> > want
> > > > MS8.01 EOD to use, wishing that the formula would "increment"
to
> > each
> > > > previous bar that met the condition - but no such luck. The
> > formula
> > > > I tried:
> > > > Mov(ValueWhen(1,FIRSTDAYOFWEEK, C) ,3 ,S )
> > > > where FIRSTDAYOFWEEK is a custom indicator that is true on the
> > first
> > > > trading day of each week. My problem would be solved if MS
> > > > incremented the "1" in my formula to 2 and 3 to get the data
> > points I
> > > > want it to use - but of course I'm being naive...
> > > >
> > > > Any geniuses out there that can think outside my box?
> > > >
> > > > With Regards-
> > > > Sam
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
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