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"(bbandtop(mp(),peri,s,2)-bbandbot(mp(),peri,s,2)/mov(mp(),peri,s)"
A bollinger-volatility EMA has some merit.
The volatility component is smoother, but it's not normalized to
0~100% as it stands:
---8<------------------------------
pds:=Input("BBand periods",2,252,10);
x:=C;
Volatility:=(BBandTop(x,pds,S,2)-BBandBot(x,pds,S,2))/Mov(x,pds,S)
*100;
Volatility
---8<------------------------------
I'll post some code on it soon anyway.
"why not normalize atr(n) ? (like atr(peri)/mov(mp(),peri,s)"
Here, there doesn't seem to be any advantage over the original
volatility code, and it's not normalized to 0~100%:
---8<------------------------------
pds:=Input("ATR voltility sampling periods",
2,2520,126);
pdsATR:=Input("ATR periods",1,2520,10);
x:=C;
Volatility:=ATR(pdsATR)/Mov(x,pds,S)*100;
Volatility
---8<------------------------------
Compare to original volatility code:
---8<------------------------------
pds:=Input("ATR voltility sampling periods",
2,2520,126);
pdsATR:=Input("ATR periods",1,2520,10);
Volatility:=(ATR(pdsATR)-LLV(ATR(pdsATR),pds))
/(HHV(ATR(pdsATR),pds)
-LLV(ATR(pdsATR),pds)+.000001)*100;
Volatility
---8<------------------------------
"better idea (?):> creat a MA based on (using only) high atr(peri)
reading..."
You'll have to post some MS code example before I can understand this.
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, le corbeaux masque
<lecorbeauxmasque7@xxxx> wrote:
>
> -why not use a more objective measurment of volatility
>
> (like (bbandtop(mp(),peri,s,2)-bbandbot(mp(),peri,s,
> 2)/mov(mp(),peri,s)
> -why not normalize atr(n) ? (like
> atr(peri)/mov(mp(),peri,s)
> -better idea (?):> creat a MA based on (using only)
> high atr(peri) reading....
>
>
> thanks seems a good idic,
>
> regards
>
>
> --- Jose <josesilva22@xxxx> wrote:
> > Any feedback on this indicator appreciated:
> >
> > =============================
> > EMA - ATR volatility adjusted
> > =============================
> >
> > ---8<---------------------------
> >
> > { ATR volatility-adjusted, dyn-period EMA v2.0 }
> >
> > { Positive sensitivity:
> > EMA periodicity shortens on high ATR volatility
> > - increases on low ATR volatility }
> > { Negative sensitivity:
> > EMA periodicity shortens on low ATR volatility
> > - increases on high ATR volatility }
> >
> > { [1]EMA: ATR volatility-adjusted EMA }
> > { [2]Dyn periods: EMA periodicity used }
> > { [3]ATR vlty: ATR volatility 0~100% }
> > { [4]Signals: EMA/price crossover signals }
> >
> > { ©Copyright 2004 Jose Silva }
> > { http://users.bigpond.com/prominex/pegasus.htm }
> >
> > pds:=Input("EMA avg periods",1,2520,21);
> > sens:=Input("ATR volatility sensitivity (+100 to
> > -100)%",-100,100,100)
> > /100;
> > pdsVlty:=Input("ATR voltility sampling periods",
> > 2,2520,126);
> > pdsATR:=Input("ATR periods",1,2520,10);
> > x:=Input("[1]Open [2]High [3]Low [4]Close [5]Vol
> > [6]P",1,6,4);
> > plot:=Input("[1]EMA, [2]Dyn periods, [3]ATR vlty,
> > [4]Signals",1,4,
> > 1);
> >
> >
> x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,If(x=6,P,C)))));
> > ATRvlty:=(ATR(pdsATR)-LLV(ATR(pdsATR),pdsVlty))
> > /(HHV(ATR(pdsATR),pdsVlty)
> > -LLV(ATR(pdsATR),pdsVlty)+.000001);
> > multi:=If(ATRvlty<=.5,
> > 10*Power(ATRvlty,3.4739)+.1,
> > 10*Power(ATRvlty,3.32)+.000001);
> > multi:=If(sens>0,1/multi,multi);
> > multi:=If(multi<1,1-(1-multi)*Abs(sens),
> > (multi-1)*Abs(sens)+1);
> > pds:=pds*multi;
> > pds:=If(Cum(x<>-101)-(pdsVlty+pdsATR)<pds,
> > Cum(x<>-101)-(pdsVlty+pdsATR),pds);
> > pds:=If(pds<1,1,pds);
> > ATREma:=x*2/(pds+1)+PREV*(1-2/(pds+1));
> > signals:=Cross(x,ATREma)+-Cross(ATREma,x);
> >
> > If(plot=2,pds,If(plot=3,ATRvlty*100,
> > If(plot=4,signals,ATREma)))
> >
> > ---8<---------------------------
> >
> > jose '-)
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