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Andrew, for the best way to see what these indicators are actually
averaging, go to the original "MA - Volume adaptable" indicator and
choose option [2]Data in the "[1]EMA, [2]Data, [3]Sampling bars, [4]
Crossovers" user input.
> 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?
That's an average of the last 21 bars, each bar being the price of the
last ocurrence of a HiVolume condition. If there were to be only one
past bar with high Volume in the last 21, then that single price value
would be averaged over the last 21 bars.
Both the HighVol & LowVol cover exactly the same period, the last 21
bars in this case (one month).
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> 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@x...]
> 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 Originally described by Buff Dormeier in an unpublished CMT paper.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 '-)
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