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DD,
I have done much research on creating adaptive-length indicators, and
have found that the most common methods for changing the length of
indicators are:
- Dominant Cycle Measurement Indicators (MESA, Homodyne Cycle Period,
and Cybernetic Cycle Period, all developed by John Ehlers)
- Trend Measurement indicators (for example, VHF, and Jurik's CFB)
- Volatility (Ehlers Signal-to-Noise Ratio, STDEV, and the Efficiency
Ratio used in Kaufmann's adaptive moving average).
- Finally, a combination of any of the three measured properties.
We find the methods above work well on both oscillators and averages.
- Of course, there is no reason to believe other measurments will not
also work, such as momentum, especially on averages.
However, when considering how you will create an adaptive indicator,
consider using a method proposed by John Ehlers called "Ehlers
Filters". This is a generic term for a filter that basically
"weights" the coeffients of the filter based on some measured value, a
common one being momentum. Think of this method as changing the
actual shape of the filter, instead of just its length. This method
really allows you to have more drastic results on the output of the
filter.
Here is a link to some example code that shows an Ehlers filter based
on Momentum, and then made adaptive based on his best Cycle Period
measurement, the Cybernetic Cycle Period. It is more reactive and has
less lag than the Homodyne Cycle Period.
http://thedml.com/pages/knowbase/formulas/AdaptiveEhlersNonLinear.html
Check out this link for the dll required:
http://forum.equis.com/drm_main.php?mode=drm_cat_view&cat=8
It contains a DLL called ASI.dll. Like the ForumDLL, it contains
adaptive indicators that can accept a variable period. I work for a
company called The Dynamic Market Lab, LLC (www.thedml.com) that
created this dll, so keep in mind, my opinions may be biased.
There a couple of advantages of using this dll over the ForumDLL:
- It contains many more adaptive indicators
- Most of the indicators calculate faster than the forum Dll's,
especially when using long period values.
- It contains the "HomodyneCyclePeriod", developed by John Ehlers. In
fact, the example above uses the Cybernetic Period, so you will need
to replace it with the Homodyne.
Actually, I see the MS forum contains an old copy of ASI.dll, but you
can get the one with the Homodyne function free from our website:
http://thedml.com/trials.php
I will try and have Equis update their file, to avoid confusion.
You can find the Cybernetic Cycle Period in ADSI, our main product.
You can download a free trial at our website, and we will have a new
version release in the next 3-4 weeks. It contains a 100+ pg manual
which goes into detail on Ehlers techniques and methodology, as well
as more detail on the reasearch that I have briefly mentioned above.
It also has many indicators and some experts that pre-load into
Metastock. We will probably make the information in the manual
regarding ASI free to the public, so keep a look out here and on the
MS forum for that.
I hope this helps. Good luck is you quest for creating adaptive
indicators. I'm interested to learn how you research and techniques
develop.
Regards,
Brad Ulrich
Devloper
The Dynamic Market Lab, LLC
www.thedml.com
--- In equismetastock@xxxxxxxxxxxxxxx, "draggiedriver"
<draggiedriver@xxxx> wrote:
>
> Thanks Preston.
>
> I was looking at how a variable period would affect the plotting of,
> say, the Hull moving average, whose default period is 20 or so, but
> which might usefully be varied according to other conditions.
>
> Your help much appreciated.
>
> Ultimately, I feel that the default settings of many indicators are
> a rough stab at curve fitting across a range of stocks - look at
> MACD's 12-26-9 as an example - and the idea of using the quasi-
> periodic nature of individual stocks to fit their own plots has some
> attraction.
>
> I wonder if you've had a look at whether there is any way to apply
> MS's fourier analysis of individual stocks to derive (and ultimately
> automate) individual Price Oscillators which might be 12-26-9, but
> might also be, say, 13-29-9?
>
> As an aside, I've been reading some stuff from John Slauson about
> developing a system that is non-collinear. I wondered if you could
> point me to a consolidated resource which classifies common
> indicators according to their focus as Momentum, Strength or
> Volatility tools?
>
> Once again, thanks for your help.
>
> DD
>
> ---- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxxx>
> wrote:
> >
> > dd,
> >
> > Go to the files section or the Equis Forum and get the Forum Dll,
> then
> > use
> > ExtFml( "ForumDLL.VarMOV", Data Array, Variable Period, Method)
> >
> >
> > Preston
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "draggiedriver"
> > <draggiedriver@xxxx> wrote:
> > >
> > > Hi everyone.
> > >
> > > I get the feeling this may have been covered a month ago, but at
> a
> > > level well above my ken. I'm looking for a bit of hand-holding.
> > >
> > > Essentially, I want to code for mov(c, fmlvar, e), but I get a
> > message
> > > that I can't have the variable. What do I need to do here? (As
> always
> > > a question of my learning the language, rather than any inherent
> > > utility in the code. Ha!)
> > >
> > > Thanks all
> > >
> >
>
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