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Hi Roy
Its good of you to take the time to go through this. Thanks a lot.
If it isnt too much trouble a commented weekly MACD code would be
very useful to exactly understand how the weekly timing mechanism
works.
On a separate but related note: whats the difference between using
the PREV function and using say a REF(XXX,-1) function, given that
the PREV function can be slow?
Best regards
cav
--- In Metastockusers@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
wrote:
> Hi cav
>
> For your interest here's a 5-bar rolling frame MACD. Frame
boundaries are based on the last bar of
> data.
>
> {Rolling 5-Bar-Frame MACD}
> {2005 Roy Larsen, rlarsen@xxxx}
> N:=Input("MACD Signal Frames",1,19,9);
> BarCount:=LastValue(Cum(1))-Cum(1);
> J:=Frac(BarCount/5)=0; {end of frame}
> K:=ValueWhen(1,J,C); {frame CLOSE}
> X:=0.15; Y:=0.075; N:=2/(N+1);
> X:=If(Cum(J>0)=1,K,ValueWhen(1,J,PREV)*(1-X)+K*X);
> Y:=If(Cum(J>0)=1,K,ValueWhen(1,J,PREV)*(1-Y)+K*Y);
> R:=X-Y;
> Z:=If(Cum(J>0)=1,R,ValueWhen(1,J,PREV)*(1-N)+R*N);
> R; {MACD}
> Z; {Signal}
>
> Change the BarCount variable to this to tie frame boundaries to
the first bar of data in a chart or
> exploration.
>
> BarCount:=Cum(1);
>
>
> > Thanks for the input. Understand what you mean about "most of
the
> > code defining the weekly timeframe" .. lol, tried unpicking it,
but
> > haven't done it right.
>
> Defining frame boundries for weekly data means identifying the
first and last bar of each week, and
> compensating when the last bar is other than Friday. To replicate
MetaStock's weekly data the last
> week must also be dynamic - i.e. the end of the frame rolls from
Monday to Friday. That in itself is
> something of a problem. Consider the Easter holiday weekend when
both Friday and Monday are
> non-trading days. Calculating an EMA, for example, is a little
tricky when both Thursday and the
> following Tuesady must each be regarded as the end of their
respective weeks, assuming Tuesday is
> the last bar of data. Just using Tuesday to signal a new week, and
looking back to the previous bar
> for the end of the previous week isn't sufficient to retrieve the
two data samples required.
>
> Would a commented Weekly MACD code help your understanding of how
the weekly timing mechanism works?
>
> > I take your point about tying the frame to the first bar - no
> > point. Sorry if this sounds dumb, but by tying the frame to the
> > last bar - yes, every new bit of data will change the picture
every
> > day, but isn't this what happens in a moving average anyway?
>
> No it isn't what happens with a moving average. Existing values in
a moving average stay fixed as
> new data is added, regardless of the periodicity, because the
contents of each frame (bar or week)
> stays fixed. A rolling frame keeps moving the start and end points
of each frame. It's quite
> different.
>
> > I guess where my thinking is leading me is that a Mon-Fri MACD
is a
> > bit artificial? Fridays trend change is relevant to the
following
> > Monday? So why set up the frame as Mon-Fri, rather than the
last 5
> > trading days? Any views would be most welcome ..
>
> Maybe, but I think not. I guess most of the worlds population base
their activity on a very rigid
> 7-day cycle. Everyone has a start of the week, and everyone has a
finish of the week. This is so
> deeply ingrained into our psyche that it has a huge influence on
how traders and everyone else acts.
>
>
> Kind regards
>
> Roy
> www.metstocktips.co.nz
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