|
PureBytes Links
Trading Reference Links
|
Hmmm... adaptive to what?
Actually, by default the PMA's "Lag reduction scaling factor" is adaptive
to the MA's periodicity.
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Or JMO for just my opinion.
>
> Seriously, I tried the code and enjoyed the plot it gave. Thanks to
> you and Mark for the help with it. Kinda suprised that no one has
> jumped on making it adaptive though.
>
> Preston
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva"
> <josesilva22@> wrote:
>
> 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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/equismetastock/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:equismetastock-digest@xxxxxxxxxxxxxxx
mailto:equismetastock-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|