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This technique, fitting a quadratic regression, lies at the heart of
some TRIX based trading systems I've seen. A tipple exponential
smooth is useed to smooth the data and this is fitted and used to
project that smooth into the future. The guy who developed it says
that many years of research went into it and it works like a dream.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Ed Hoopes" <reefbreak_sd@xxxx>
wrote:
> The way I got around this problem is to use a simpler approach.
> Instead of computing the ArcTan I use the % change per day.
>
> In my application, I compute a Regression fit to a Quadratic equation
> y = a + bx + cx^2, then take the first derivative of the equation
> which of course is the slope d/dx = b + 2cx. With this equation, I
> can compute the instaneous slope at any bar (x) of interest.
>
> We're not quite there yet, however. Another way of looking at %
> change per day, is that you are normalizing the stock price to
> $100/share. This enables you to compare the Canadian dollar futures
> price around 0.8000 to the dow mini futures price around 10,000.
>
> I use a simple EMA of the close over the same number of bars that is
> used for the quadratic fit like %/day = (100 * (d/dx)) / (EMA(close ).
>
> This has produced a reliable, quiet rate of change indicator, that is
> independent of price.
>
>
> Reef-Break
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xxxx>
> wrote:
> > CNxxx, this is the same problem that plagues Elliot Wave & Fib
> followers.
> >
> > When you really think about it, it is not possible to derive an
> absolute
> > value for the slope of any indicator or price on a chart. Any pseudo
> > slope, such as the AmiBroker & MetaStock code sample plots, cannot
> > provide absolute slope values.
> >
> > An absolute slope requires two absolute values: x (horizontal, time)
> and
> > y (vertical, price) axis. The vertical component of a plot can be
> absolute
> > (price, indicator/oscillator values), but the horizontal axis is not
> - it shifts
> > from chart to chart, from user to user.
> >
> > Since the reference x-axis (date bar) is not constant or absolute,
the
> > slope of an indicator being relative to the x-axis, slope values will
> > depend on how far one stretches the total number of bars viewed on a
> > chart.
> >
> > In other words, an EMA will look much steeper on a compressed chart
> > (say, 260 bars from left to right edges), than it would on a more
> diluted
> > chart (say, a 60 bar chart).
> >
> > In any case, the MetaStock sample code below provides a constant
> > pseudo-slope in degrees. Perhaps this can be of use.
> >
> > ==================
> > EMA - slope degrees
> > ==================
> > ---8<---------------------------
> >
> > { EMA slope % v2.1, +/- 0~90deg }
> > { ©Copyright 2005 Jose Silva }
> > { For personal use only }
> > { http://www.metastocktools.com }
> >
> > pds:=Input("EMA periods",2,2600,34);
> > x:=Input("use Open=1 High=2 Low=3 Close=4 Volume=5",1,5,4);
> >
> > x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,C))));
> > EMA:=Mov(x,pds,E);
> > EMAprev:=Ref(EMA,-1);
> >
> > y:=Min(EMA,EMAprev)/Max(EMA,EMAprev);
> > EMAratio:=(If(EMA>EMAprev,2-y,y)-1)*100;
> > EMAdeg:=If(EMAratio<0,Atan(EMAratio,1)-360,
> > Atan(EMAratio,1)){*10/9};
> > signal:=Mov(EMAdeg,pds,E);
> >
> > 0;signal;EMAdeg
> >
> > ---8<---------------------------
> >
> >
> > jose '-)
> > http://www.metastocktools.com
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "cn001532"
> > <cn001532@xxxx> wrote:
> > > If been having a devil of a time trying to calculate the actual
> > > number of degrees of the slope of the 34 EMA and 25 LSMA. I've got
> > > some opensource AMIbroker code and was able to get some
> > > information from www.metastocktools.com which get me close but
> > > not quite there.
> > >
> > > I have no trouble creating an exploration using the slope, to
produce
> > > an equivalent results that I require, however I really would
like to
> > > be able to calculate the actual number of degrees of both slopes
for
> > > other purposes.
> > >
> > > A simple atan function of the slope does not do the trick.
> > >
> > > Posted below is the relavent open source amibroker code that
> > > caclulates the actual number of degrees of the angle of the 34 ema
> > > and 25 LSMA.
> > >
> > > Any help would be most appreciated.
> > >
> > >
> > >
> > > I would like to replicate these in Metastock:
> > >
> > > EMA34 = EMA(C,34);
> > > PI = 3.141593;
> > > periods = 30;
> > > HighHigh = HHV(H, periods);
> > > LowLow = LLV(L, periods);
> > > range = 25 / (HighHigh - LowLow) * LowLow;
> > >
> > > x1_EMA34 = 0;
> > > x2_EMA34 = 2;
> > > y1_EMA34 = 0;
> > > y2_EMA34 = (Ref(EMA34, -2) - EMA34) / Avg * range;
> > >
> > > c_EMA34 = sqrt((x2_EMA34 - x1_EMA34)*(x2_EMA34 - x1_EMA34) +
> > > (y2_EMA34 - y1_EMA34)*(y2_EMA34 - y1_EMA34));
> > > angle_EMA34 = round(180 * acos((x2_EMA34 -
> > x1_EMA34)/c_EMA34) / PI);
> > >
> > >
> > > x1_LSMA25 = 0;
> > > x2_LSMA25 = 2;
> > > y1_LSMA25 = 0;
> > > y2_LSMA25 = (Ref(LSMA25, -2) - LSMA25) / Avg * range;
> > >
> > > c_LSMA25 = sqrt((x2_LSMA25 - x1_LSMA25)*(x2_LSMA25 -
> > x1_LSMA25) +
> > > (y2_LSMA25 - y1_LSMA25)*(y2_LSMA25 - y1_LSMA25));
> > > angle_LSMA25 = round(180 * acos((x2_LSMA25 -
> > x1_LSMA25)/c_LSMA25) /
> > > PI);
> > >
> > >
> > > I tried using/modifying the following code from metastocktools.com
> > > with no luck:
> > > MetaStock -> Tools -> Indicator Builder -> New
> > > Copy and paste formula below.
> > >
> > >
> > > ============================
> > > Linear Regression true slope
> > > ============================
> > > ---8<---------------------------
> > >
> > > { Linear Regression true Slope v3.5 }
> > > { -100~+100% / -90~+90 degrees }
> > > { ©Copyright 2003-2004 Jose Silva }
> > > { http://www.metastocktools.com }
> > >
> > > pds:=Input("Linear Regression periods",2,2520,21);
> > > pds1:=Input("Lin Reg Signal periods",1,252,5);
> > > x:=Input("Open=1, High=2, Low=3, Close=4, Volume=5,
> > P=6",1,6,4);
> > > display:=Input("display -100~100%=1, -90~90 degrees=2",1,2,1);
> > > hist:=Input("display positive histogram fill (on=1, off=0)",0,1,1);
> > > plot:=Input("[1] LinReg Slope, [2] signals",1,2,1);
> > >
> > > x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,If(x=6,P,C)))));
> > > LRlast:=LinearReg(x,pds);
> > > LRS:=LinRegSlope(x,pds);
> > > LRprev:=LRlast-LRS;
> > > {LRstart:=Ref(LRlast-LRS*(pds-1),pds-1);}
> > >
> > > a:=Min(LRlast,LRprev)/Max(LRlast,LRprev);
> > > LRratio:=(If(LRlast>LRprev,2-a,a)-1)*80;
> > > LRSdeg:=If(LRratio<0,Atan(LRratio,1)-360,
> > > Atan(LRratio,1));
> > > LRSper:=LRSdeg*10/9;
> > > LRStrue:=If(display=2,LRSdeg,LRSper);
> > > signal:=Mov(LRStrue,pds1,E);
> > > BuySell:=Cross(LRStrue,signal)-Cross(signal,LRStrue);
> > > odd:=Cum(1)/2=Int(Cum(1)/2);
> > > odd:=If(hist=1 AND LRStrue>signal,If(odd,signal,LRStrue),LRStrue);
> > >
> > > If(plot=1,odd,0);
> > > If(plot=1,signal,0);
> > > If(plot=1,LRStrue,BuySell)
> > >
> > > ---8<---------------------------
> > >
> > >
> > > http://www.metastocktools.com
> > >
> > >
> > > and
> > >
> > > MetaStock -> Tools -> Indicator Builder -> New
> > > Copy and paste formula below.
> > >
> > >
> > > =============
> > > EMA - slope %
> > > =============
> > > ---8<---------------------------
> > >
> > > { EMA slope % v2.0, +/- 0~100% }
> > > { ©Copyright 2003 Jose Silva }
> > > { http://www.metastocktools.com }
> > >
> > > pds:=Input("EMA periods",2,2520,21);
> > > x:=Input("use Open=1 High=2 Low=3 Close=4 Volume=5
> > P=6",1,6,4);
> > >
> > > x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,If(x=6,P,C)))));
> > > EMA:=Mov(x,pds,E);
> > > EMAprev:=Ref(EMA,-1);
> > >
> > > y:=Min(EMA,EMAprev)/Max(EMA,EMAprev);
> > > EMAratio:=(If(EMA>EMAprev,2-y,y)-1)*100;
> > > EMAper:=If(EMAratio<0,Atan(EMAratio,1)-360,
> > > Atan(EMAratio,1))*10/9;
> > > signal:=Mov(EMAper,pds,E);
> > >
> > > 0;signal;EMAper
> > >
> > > ---8<---------------------------
> > >
> > >
> > > http://www.metastocktools.com
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