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1.Agreed, in that you are selecting price for an up or down EMA by volume,
rather than weighting by volume, among other things. I was just wanting to
make you aware of the other approach, also based on combining moving average
and volume and taking differentials.
2. Looking at your formula, am I right in thinking that
Mov(xHiVol,21,S) (avoiding the added complexity of the exponential)
averages the price on the last 21 occurrences of HiVol?
And that therefore the HiVol and LoVol MAs will cover different calendar
periods?
Best
Andrew
-----Original Message-----
From: Jose [mailto:josesilva22@xxxxxxxxx]
Sent: Tuesday, December 14, 2004 9:49 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: a new volume-adjusted MA
Nope, different beasts. The basic engine of the "EMA - Volume
adaptable Mk III" is not a volume-weighted MA.
The easiest way to see the difference is to compare the two plots.
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> Hate to tell you, but...
>
> Bollinger describes a volume weighted MACD (VWMACD), where you
substitute
> volume-weighted moving averages for the exponential averages used in
the
> MACD, with the signal line remaining an exponential MA. Looks pretty
> similar.
>
> Originally described by Buff Dormeier in an unpublished CMT paper.
>
> Bollinger on Bollinger bands, p.39.
>
> Andrew
>
>
>
>
> -----Original Message-----
> From: Jose [mailto:josesilva22@x...]
> Sent: Tuesday, December 14, 2004 7:38 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: a new volume-adjusted MA
>
>
>
>
> Interesting indeed... I'm tempted to keep this one to myself.
>
> =============================
> EMA - Volume adaptable Mk III
> =============================
> ---8<------------------------
>
> { Volume adaptable EMA v3.0 }
> { EMA samples bars with above/below-avg Volume }
> { CCopyright 2004 Jose Silva }
> { For personal use only }
> { http://users.bigpond.com/prominex/pegasus.htm#metastock }
>
> { User inputs }
> pds:=Input("EMA periods",2,2520,21);
> x:=Input("use Open=1 High=2 Low=3 Close=4 WClose=5 P=6",1,6,4);
> shift:=Input("EMA vertical shift %", -100,100,0)/100+1;
> plot:=Input("[1]HiEMA, [2]LoEMA, [3]Both,[4]Diff, [5]Signals",1,5,3)
;
>
> { Select price field }
> x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,WC(),If(x=6,P,C)))));
>
> { Above/Below average Volume points }
> HiVol:=V>Mov(V,pds,E);
> LoVol:=V<Mov(V,pds,E);
>
> { Select above/below-avg bars for EMA } xHiVol:=ValueWhen(1,HiVol,x)
;
> xLoVol:=ValueWhen(1,LoVol,x);
>
> { EMAs }
> EmaHiVol:=Mov(xHiVol,pds,E);
> EmaHiVol:=EmaHiVol*shift;
> EmaLoVol:=Mov(xLoVol,pds,E);
> EmaLoVol:=EmaLoVol*shift;
>
> { EMA +/- difference }
> diff:=EmaHiVol-EmaLoVol;
>
> { EMA +/- difference crossover signals }
> signals:=Cross(diff,0)-Cross(0,diff);
>
> { Plot on price chart } If(plot=1,EmaHiVol,If(plot=2,EmaLoVol,
> If(plot=3,EmaLoVol,If(plot=4,0,0))));
> If(plot=1,EmaHiVol,If(plot=2,EmaLoVol,
> If(plot=3,EmaHiVol,If(plot=4,diff,signals))))
>
> ---8<------------------------
>
> jose '-)
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, Code 2 <Code2@xxxx> wrote:
> > Nice idea.
> >
> > You are analyzing the effect on price of high volume days (or
whatever
> > the periodicity). Equally telling is what happens to price on
> > low-volume days. Typically, a stock will rise on higher volume
and
> > drift lower on low volume, but not always. Perhaps it would be
useful
> > to compare high-volume average price to low-volume average price.
> >
> > Another variation would be to examine the spread between the
> > high-volume and low-volume averages. Yet another variation would
be
> > to plot the spread between the high-volume EMA and standard EMA,
as
> > well the spread between the low-volume EMA and standard EMA. If
the
> > moving averages are responsive enough, they might be able to
highlight
> > fundamental shifts. A kind of Ease of Movement indicator.
> >
> > Interesting stuff.
> >
> >
> >
> > From: Jose <josesilva22@xxxx>
> > To: equismetastock@xxxxxxxxxxxxxxx
> > Date: Tuesday, December 14, 2004, 2:35:35 PM
> > Subject: [EquisMetaStock Group] Re: a new volume-adjusted MA
> >
> > Ok, this is what I have so far:
> >
> > ======================
> > EMA - Volume adaptable
> > ======================
> > ---8<-----------------
> >
> > { Volume adaptable EMA v1.0 }
> > { EMA samples bars with above-avg Volume }
> > { CCopyright 2004 Jose Silva }
> > { For personal use only }
> > { http://users.bigpond.com/prominex/pegasus.htm#metastock }
> >
> > { User inputs }
> > pds:=Input("EMA periods",1,2520,21);
> > x:=Input("use Open=1 High=2 Low=3 Close=4 WClose=5 P=6",1,6,4);
> > shift:=Input("EMA vertical shift %", -100,100,0)/100+1;
> > plot:=Input("[1]EMA, [2]Data, [3]Sampling bars, [4]Crossovers",
1,
> > 4,1);
> >
> > { Select price field }
> > x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,WC(),If(x=6,P,C)))));
> >
> > { Above average Volume points }
> > VolAvgPlus:=V>Mov(V,pds,E);
> >
> > { Select above-avg bars for EMA } x:=ValueWhen(1,VolAvgPlus,x);
> >
> > { Reduce periodicity on low bar count } pds:
=If(pds>Cum(IsDefined(x)),
> > Cum(IsDefined(x)),pds);
> >
> > { EMA }
> > Ema:=x*2/(pds+1)+PREV*(1-2/(pds+1));
> > Ema:=Ema*shift;
> >
> > { Crossover signals }
> > signals:=Cross(x,Ema)-Cross(Ema,x);
> >
> > { Plot on price chart }
> > If(plot=1,Ema,If(plot=2,x,
> > If(plot=3,VolAvgPlus,signals)))
> >
> > ---8<-----------------
> >
> > jose '-)
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "Jose" <josesilva22@xxxx>
> > wrote:
> >
> > This excellent post has given me an idea for coding a unique
Moving
> > Avg:
> > http://finance.groups.yahoo.com/group/equismetastock/message/15254
> >
> > How about a MA that only considers data on those days when the
volume
> > is x-periods above the average? Any further ideas/suggestions
before I
> > begin coding it?
> >
> > jose '-)
>
>
>
>
>
>
>
> Yahoo! Groups Links
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