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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Originally described by Buff Dormeier in an unpublished CMT paper.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@xxxxxxxxx]
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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