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My last posted code may have generated some confusion - better to change
"JMA" for "PMA" just in case some of these good people get upset:
JMA Inc.
JMA Forensics
JMA Groups
JMA Graphics
JMA Software
JMA Legal
JMA Consulting
JMA Engineering
Japan Medical Association
Japan Meteorological Agency
Japan Management Association
Japan Marketing Association
Jamaica Manufacturers' Association
John Mitchell & Associates
Jurik Moving Average
MetaStock -> Tools -> Indicator Builder -> New
-> copy & paste complete formula between "---8<---" lines.
===========
MA - phased
===========
---8<-----------------------------------------
{ PMA v1.0 -- Phased Moving Average.
As suggested by Mark Jurik of Jurik Research,
http://www.jurikres.com
©Copyright 2007 Jose Silva.
For personal use only.
http://www.metastocktools.com }
{ User inputs }
pds:=Input("PMA periods",1,2600,21);
factor:=Input("Lag reduction scaling factor [-1 = Auto]",-1,1000,-1);
x:=Input("use [1]Open [2]High [3]Low [4]Close [5]WCl [6]Vol",1,6,4);
type:=Input("[1]EMA [2]SMA [3]TmSr [4]Tri [5]Var [6]Vol [7]Wght",1,7,2);
shift:=Input("PMA bands spread %",0,100,5)/100;
plot:=Input("[1]PMA, [2]PMA+Bands, [3]Band crossover Signals",1,3,1);
{ Data array }
x:=If(x=1,O,
If(x=2,H,
If(x=3,L,
If(x=4,C,
If(x=5,WC(),
V)))));
{ MovAvg type:
1 - Exponential MA
2 - Simple MA
3 - Time Series MA
4 - Triangular MA
5 - Variable MA
6 - Volume adjusted MA
7 - Weighted MA }
ma:=
If(type=1,Mov(x,pds,E),
If(type=2,Mov(x,pds,S),
If(type=3,Mov(x,pds,T),
If(type=4,Mov(x,pds,TRI),
If(type=5,Mov(x,pds,VAR),
If(type=6,Mov(x,pds,VOL),
Mov(x,pds,W)))))));
{ PMA approximation }
factor:=If(factor>=0,factor,pds/4);
PMA:=(ma+LinRegSlope(x,pds)*factor);
{ PMA % bands }
upper:=PMA*(1+shift);
lower:=PMA*(1-shift);
{ PMA bands crossover signals }
entry:=Cross(C,upper);
exit:=Cross(lower,C);
{ Clean signals }
init:=Cum(IsDefined(entry+exit))=1;
bin:=ValueWhen(1,entry-exit<>0 OR init,entry);
long:=bin*(Alert(bin=0,2)
OR entry*Cum(entry)=1);
short:=(bin=0)*(Alert(bin,2)
OR exit*Cum(exit)=1);
signals:=long-short;
{Plot PMA on price chart, signals in own window}
If(plot=1,PMA,If(plot=2,upper,0));
If(plot=1,PMA,If(plot=2,lower,0));
If(plot=3,signals,PMA)
---8<-----------------------------------------
jose
http://www.metastocktools.com
> --- In equismetastock@xxxxxxxxxxxxxxx, "Mark
> Jurik" <mark_yahoo_equismetastock@> wrote:
>
> The code is simply a combination of a simple moving average and one
> way of approximating overall slope:
>
> Result = SMA + slope
>
> You can get the desired slope calc in MS by using the built-in linear
> regression slope function. This way, ...
>
> Result = mov( data array, periods, simple )
> +
> linregslope( data array, periods ) * scaling_factor
>
> You set the scaling factor as in input parameter, which allows you to
> adjust the amount of lag reduction. This approach to achieving low
> lag smoothing is NOT adaptive and has a significant overshoot penalty
> in proportion to the amount of lag reduction you request.
>
> This formula poorly approximates JMA, which is adaptive, non-linear
> and has better lag/overshoot tradeoff properties. If you want the
> real thing, go to http://www.jurikres.com .
>
> Mark Jurik
> Jurik Research
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