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Preston
Very nice explanation!
AW
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Gladly Paul,
>
> The theory:
> In order to establish a normal value for something we need to look
> at its extreme low and high values over a period of time. It
really
> doesn't matter what it is. In the case of rain we look at the
Palmer
> Index, which is what Mark had asked about. Its another way of
saying
> on average what value should we be seeing...are we above or below
> that. 50 is the norm.
>
> The principle:
> Let's look at the indicator line by line using the following
>
> {1}(Fml( "Zero Lag MACD" )
> {2}-LLV(Fml( "Zero Lag MACD" ),48))
> {3}/(HHV(Fml( "Zero Lag MACD" ),48)
> {4}-LLV(Fml( "Zero Lag MACD" ),48)
> {5}+.0000001)*100
>
> Lets first look at line 3 and 4. Here we take the highest value
over
> 48 days and the lowest value over 48 days. This is now our range.
>
> Lines 1 and 2 establish where we are today. It will tell us how
far
> we are from the bottom.
>
> Next we need to establish some type of value that we can relate to
> in a percent. So in line 3 you will note a division sign which is
> used to divide our range into our present position. The resulting
> output would be in decimals.
>
> In line 5 we do two very important things. We first add .0000001
to
> our range value. This is done to eliminate a division by zero
error.
> We could have also used +prev-prev to do the same thing, again for
> the same reason. Finally we are going to multiply our result by
100.
> This gives us a scale that is from 0 to 100.
>
> Normalizing or indexing in this fashion is a great way to
determine
> what an indicator is doing. There are problems with the method
> though that you should consider. One is the period of time. In our
> case we are only looking at 48 days worth of values. You really
need
> to consider whether this is going to be an appropriate amount of
> time to establish a norm. A true statistician may feel that this
is
> not enough time and may wish to increase the lookback period.
>
> Another problem with this form of normalizing is the range. We are
> basically range bound between 0 and 100. You will notice often
times
> that the indicator flatlines at either the top or bottom. This is
> when you are range bound. Its important to consider what is
> happening at these points. If it happens often then it is possible
> that you are using a lookback that is too short.
>
> Another way of correcting the problem is to use a different scale.
> Instead of the 0 to 100 scale where 50 is your midpoint, you could
> use a bipolar scale. The midpoint of a bipolar scale is 0 with a
> positive and a negative deflection. The beauty of using this scale
> is that you now are using a +/- scale of 100. It will allow for a
> much wider scale.
>
>
> Hope this helps,
>
> Preston
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> <paul_vicmar@> wrote:
> >
> > Preston
> >
> > Many thanks for your help and effort in this problem. However if
> you
> > don´t mind I would like to ask about logic behind
> > (Fml( "Zero Lag MACD" )
> > > -LLV(Fml( "Zero Lag MACD" ),48))
> > > /(HHV(Fml( "Zero Lag MACD" ),48)
> > > -LLV(Fml( "Zero Lag MACD" ),48)
> > > +.0000001)*100.
> > Could you in English just explain what it means?
> > Yours gratefully
> > PAUL
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> > >
> > > Paul,
> > >
> > > That's great!
> > >
> > > Okay, I had a chance to look at it with Metastock open and I
> think
> > > you will like this one better.
> > >
> > > (Fml( "Zero Lag MACD" )
> > > -LLV(Fml( "Zero Lag MACD" ),48))
> > > /(HHV(Fml( "Zero Lag MACD" ),48)
> > > -LLV(Fml( "Zero Lag MACD" ),48)
> > > +.0000001)*100
> > >
> > >
> > > Basically a normalized Zero Lag MACD. As an indicator you can
> use
> > > the following with any indicator, just place your indicator
> where
> > > noted and remove the brackets.
> > >
> > > {Normalized Indicator}
> > > Ind:= {your indicator here};
> > > Npds:=Input("periods to normalize",
> > > 1,500,48);
> > > Norm:=(Ind-LLV(Ind,Npds))
> > > /(HHV(Ind,Npds)-LLV(Ind,Npds)+.0000001)*100;
> > > Norm
> > >
> > > Enjoy,
> > >
> > > Preston
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> > > <paul_vicmar@> wrote:
> > > >
> > > > Thanxs success.
> > > >
> > > > PAUL
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
> wrote:
> > > > >
> > > > > Try this:
> > > > >
> > > > > (Fml( "Zero Lag MACD" ) -
> > > > > Mov( Fml( "Zero Lag MACD"),9,EXPONENTIAL)/
> > > > > Fml( "Zero Lag MACD" ) +
> > > > > Mov( Fml( "Zero Lag MACD"),9,EXPONENTIAL))* 100
> > > > >
> > > > > If not I'm check it out later this pm.
> > > > >
> > > > > Preston
> > > > >
> > > > >
> > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> > > > > <paul_vicmar@> wrote:
> > > > > >
> > > > > > Preston
> > > > > >
> > > > > > Thanxs for the repsonse. Columm E is OK however Column F
> is
> > > still
> > > > > > incorrect.
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh
<no_reply@>
> > > wrote:
> > > > > > >
> > > > > > > Paul,
> > > > > > >
> > > > > > > I will be away from my computer until late afternoon
so
> I
> > > can
> > > > > only
> > > > > > > give some glancing views right now. I do see one
> immediate
> > > > > problem.
> > > > > > >
> > > > > > > Col E Prev MA
> > > > > > > Ref Mov(Fml( "Zero Lag MACD" ),9,EXPONENTIAL),-1)
> > > > > > >
> > > > > > > should be
> > > > > > >
> > > > > > > Col E Prev MA
> > > > > > > Ref(Mov(Fml( "Zero Lag MACD" ),9,EXPONENTIAL),-1)
> > > > > > >
> > > > > > > I also think column F should be changed to
> > > > > > >
> > > > > > > Col F %
> > > > > > > ((Fml( "Zero Lag MACD" ) - Mov( Fml( "Zero Lag MACD"
> > > > > > > ),9,EXPONENTIAL))/ ((Fml( "Zero Lag MACD" ) + Mov( Fml
> > > ( "Zero Lag
> > > > > > > MACD"),9,EXPONENTIAL))* 100
> > > > > > >
> > > > > > > I don't have Metastock right now so that may not be
> correct.
> > > > > > >
> > > > > > > I'm not sure about the code not working. The original
> > > discussion
> > > > > was
> > > > > > > in January of 2007, so you could go back to
> > > > > > > http://www.purebytes.com/cgi-local/swish/swish-cgi.pl
> > > > > > > and look at the original discussion about it. Part of
> the
> > > code
> > > > > given
> > > > > > > is Amibroker and won't work in Metastock.
> > > > > > >
> > > > > > > hope this helps,
> > > > > > >
> > > > > > > Preston
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> > > > > > > <paul_vicmar@> wrote:
> > > > > > > >
> > > > > > > > Preston
> > > > > > > >
> > > > > > > > Thanxs for the heads up on the discussion of lag in
> moving
> > > > > > > averages. I
> > > > > > > > had a read through.
> > > > > > > > So I thought I would go ahead and see if I could not
> use
> > > the
> > > > > > > existing
> > > > > > > > MACD exploration in Metastock and just substitute
> normal
> > > MACD
> > > > > with
> > > > > > > > Zero lag MACD. And keep the trigger signal as a 9
day
> EMA,
> > > as it
> > > > > > > > produces fewer whipsaws than for example the Zero
lag
> MACD
> > > > > Trigger
> > > > > > > > Signal. However there seems to be a problem.
> > > > > > > >
> > > > > > > > Zero Lag MACD Exploration
> > > > > > > > Col A Close
> > > > > > > > CLOSE
> > > > > > > > Col B Zero Lag MACD
> > > > > > > > Fml( "Zero Lag MACD" )
> > > > > > > > Col C Previous MACD
> > > > > > > > Ref( Fml( "Zero Lag MACD" ),-1)
> > > > > > > > Col D Mov Ave
> > > > > > > > Mov( Fml( "Zero Lag MACD" ),9,EXPONENTIAL)
> > > > > > > > Col E Prev MA
> > > > > > > > Ref Mov(Fml( "Zero Lag MACD" ),9,EXPONENTIAL),-1)
> > > > > > > > Col F %
> > > > > > > > ((Fml( "Zero Lag MACD" ) - Mov( Fml( "Zero Lag MACD"
> > > > > > > > ),9,EXPONENTIAL))/ Mov( Fml( "Zero Lag
> > > MACD" ),9,EXPONENTIAL))
> > > > > *
> > > > > > > 100
> > > > > > > > Filter
> > > > > > > > CROSS (Fml( "Zero Lag MACD" ),Mov( Fml( "Zero Lag
> > > > > > > MACD" ),9,EXPONENTIAL)
> > > > > > > > Any advice to solve the problem would be helpful.
> > > > > > > > I also had a look at the JMA equivalent PMA, but I
was
> > > unable
> > > > > to
> > > > > > > copy
> > > > > > > > and paste the PMA into Metastock.
> > > > > > > > http://trader.online.pl/MSZ/e-w-
> Moving_Average_Phased.html
> > > > > > > > I am using Metastock 6.52.
> > > > > > > >
> > > > > > > > Yours
> > > > > > > > PAUL
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh
> <no_reply@>
> > > > > wrote:
> > > > > > > > >
> > > > > > > > > Paul,
> > > > > > > > >
> > > > > > > > > The original discussion was about lag in moving
> averages
> > > and
> > > > > > > occurred
> > > > > > > > > in 2001.
> > > > > > > > > Go here
> > > > > > > > > http://www.purebytes.com/cgi-local/swish/swish-
cgi.pl
> > > > > > > > > and look under metastock and 2001 for all the
> > > discussions.
> > > > > > > > >
> > > > > > > > > I'm not aware of the zerolag being part of the
> canned
> > > > > metastock
> > > > > > > > > package.
> > > > > > > > >
> > > > > > > > > It's easy enough though to write it but you might
> want
> > > to
> > > > > > > consider
> > > > > > > > > using the smoothed version of a Jurik type MA that
> we
> > > came up
> > > > > > > with
> > > > > > > > > earlier this year.
> > > > > > > > >
> > > > > > > > > The mechanics of the exploration will be the same
no
> > > matter
> > > > > > > whether
> > > > > > > > > you use an EMA, a Zerolag EMA, or a Jurik type
EMA.
> Its
> > > just
> > > > > a
> > > > > > > matter
> > > > > > > > > of deciding which you want to use.
> > > > > > > > >
> > > > > > > > > If you want to do a zerolag let me know and we'll
> > > proceed.
> > > > > > > > >
> > > > > > > > > Preston
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > --- In
equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> > > > > > > > > <paul_vicmar@> wrote:
> > > > > > > > > >
> > > > > > > > > > OK, so I have a page that provides a Zero Lag
MACD
> > > > > exploration
> > > > > > > > > > http://trader.online.pl/MSZ/e-ex-
> > > > > Zero_Lag_EMA_Exploration.html
> > > > > > > > > > but the code for the indicator given is
incorrect
> and
> > > comes
> > > > > up
> > > > > > > with
> > > > > > > > > an
> > > > > > > > > > error message.
> > > > > > > > > >
> > > > > > > > > > Indicator : DS_EMA_X_MP()
> > > > > > > > > >
> > > > > > > > > > Formula : if ( Cross(mov(mov(mp(),4,e))4,e),mov
(mov
> (mp
> > > > > (),8,e))
> > > > > > > > > 8,e)),1,
> > > > > > > > > > if (Cross(mov(mov(mp(),8,e))8,e),mov
(mov
> (mp
> > > > > (),4,e))
> > > > > > > 4,e)),-
> > > > > > > > > 1,
> > > > > > > > > > 0))
> > > > > > > > > > And whilst I understand your logic of using a
MACD
> > > > > exploration
> > > > > > > and
> > > > > > > > > > substituting normal MACD for Zero Lag MACD I
don´t
> > > know if
> > > > > my
> > > > > > > > > > understanding of Metastock formula is enough to
> > > achieve
> > > > > this.
> > > > > > > > > > I read somewhere on recent versions of Metastock
> (9.1)
> > > that
> > > > > a
> > > > > > > zero
> > > > > > > > > lag
> > > > > > > > > > MACD exploration comes as a standard exploration.
> > > > > > > > > >
> > > > > > > > > > Yours
> > > > > > > > > >
> > > > > > > > > > PAUL
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh
> > > <no_reply@>
> > > > > > > wrote:
> > > > > > > > > > >
> > > > > > > > > > > Paul,
> > > > > > > > > > >
> > > > > > > > > > > Do you have a normal EMA crossover and MACD
> > > exploration
> > > > > that
> > > > > > > you
> > > > > > > > > like?
> > > > > > > > > > >
> > > > > > > > > > > Preston
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > --- In
> equismetastock@xxxxxxxxxxxxxxx, "paul_vicmar"
> > > > > > > > > > > <paul_vicmar@> wrote:
> > > > > > > > > > > >
> > > > > > > > > > > > I have been looking at Zero Lag EMA and MACD
> and
> > > have
> > > > > > > noticed
> > > > > > > > > how
> > > > > > > > > > > > timely the signals are in respect to other
MA
> > > systems.
> > > > > > > > > > > > I have been trawling the net in all the
usual
> > > sites to
> > > > > see
> > > > > > > if I
> > > > > > > > > > > could
> > > > > > > > > > > > find a suitable Zero Lag MACD exploration or
> Zero
> > > Lag
> > > > > EMA
> > > > > > > > > Crossover
> > > > > > > > > > > > Exploration. But without any success.
> > > > > > > > > > > > This is the formula I am using for Zero lag
> EMA
> > > > > > > > > > > > Period:= Input("What Period",1,250,10);
> > > > > > > > > > > > EMA1:= Mov(CLOSE,Period,E);
> > > > > > > > > > > > EMA2:= Mov(EMA1,Period,E);
> > > > > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > > > > > > > > ZeroLagEMA
> > > > > > > > > > > > And this is the formula for Zero Lag MACD
> > > > > > > > > > > > EMA1:= Mov(CLOSE,13,E);
> > > > > > > > > > > > EMA2:= Mov(EMA1,13,E);
> > > > > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > > > > ZeroLagEMA13:= EMA1 + Difference;
> > > > > > > > > > > > EMA1:= Mov(CLOSE,21,E);
> > > > > > > > > > > > EMA2:= Mov(EMA1,21,E);
> > > > > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > > > > ZeroLagEMA21:= EMA1 + Difference;
> > > > > > > > > > > > ZeroLagMACD:=ZeroLagEMA13 -
> > > ZeroLagEMA21;ZeroLagMACD
> > > > > > > > > > > > Any help would be greatly appreciated.
> > > > > > > > > > > > Thanxs
> > > > > > > > > > > > PAUL
> > > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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