Re: [EquisMetaStock Group] EMA - BB volatility adjusted

[le corbeaux masque <lecorbeauxmasque7@xxxxxxxxx>]

jose, would it be possible to also code an SMA version
(not using the "prev" function,- for those of us using
it to backtest strategies)....?


thanks in advance...


--- Jose <josesilva22@xxxxxxxxx> wrote:
> Any feedback on this variable EMA variation
> appreciated:
> 
> ============================
> EMA - BB volatility adjusted
> ============================
> 
> ---8<-------------------------------
> 
> { Bollinger band volatility-adjusted,
>   dynamic-period EMA v1.0 }
> 
> { Positive sensitivity:
>  EMA periodicity shortens on high BB volatility 
>  - increases on low BB volatility }
> { Negative sensitivity:
>  EMA periodicity shortens on low BB volatility
>  - increases on high BB volatility }
> 
> { [1]EMA:         BB volatility-adjusted EMA }
> { [2]Dyn periods: EMA periodicity used }
> { [3]BB vlty:    BB 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("BB volatility sensitivity (+100 to
> -100)%",-100,100,50)
> /100;
> pdsVlty:=Input("BB voltility sampling periods",
>  2,2520,126);
> pdsBB:=Input("Bollinger Band periods",
>  2,2520,10);
> 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]BB 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)))));
> y:=(BBandTop(x,pdsBB,S,2)-BBandBot(x,pdsBB,S,2))
>  /Mov(x,pdsBB,S);
> BBvlty:=(y-LLV(y,pdsVlty))/(HHV(y,pdsVlty)
>  -LLV(y,pdsVlty)+.000001);
> multi:=If(BBvlty<=.5,
>  10*Power(BBvlty,3.4739)+.1,
>  10*Power(BBvlty,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(pds>Cum(x<>-101)-(pdsVlty+pdsBB),
>  Cum(x<>-101)-(pdsVlty+pdsBB),pds);
> pds:=If(pds<1,1,pds);
> BBema:=x*2/(pds+1)+PREV*(1-2/(pds+1));
> signals:=Cross(x,BBema)+-Cross(BBema,x);
> 
> If(plot=2,pds,If(plot=3,BBvlty*100,
>  If(plot=4,signals,BBema)))
> 
> ---8<-------------------------------
> 
> jose '-)
> 
> 
> 


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