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Michael Artz wrote:
> Here's the same function but with an added variable (price) so that it's
> possible to enter say (close of data2) & have data 2 as weekly etc..... I've
> found this useful, hope you do to.
>
> Simon Trevor wrote:
>
> > Neal,
> >
> > Thank you very much for the ela files. I've spent a few minutes playing
> > around with them already. It seems you are right about the imput that
> > smooths the curve. The curve changes and becomes very interesting below 1
> > however - try entering 0.1 for EMALEN (on daily data). The curve looks like
> > a digital representation of a sound wave. It forms a triangle for each trend
> > (wave) that terminates when the trend stops. Anyway, now that I have it as a
> > function I can start working on some systems.
> >
> > Thanks
> > Simon Trevor
> >
> > >Simon,
> > >I have converted the PFE to a user function and am attaching two ELA
> > >files, one with an indicator and function and the second with just the
> > >function (PFEUSER).
> > >This function has two inputs: 1. Lookback period (default=9) and 2.
> > >EMALEN.
> > >EMALEN is the length of the exponential moving average that smooths the
> > >raw PFE.
> > >The standard PFE uses .333 as a smoothing factor, that corresponds to an
> > >exponential moving average of 5 days (2 / (5+1)).
> > >Both of these inputs can now be changed, but in changing them the
> > >indicator does not change to any great degree.
> > >Regarding the loss of the sawtooth waveform as the time frame increases, I
> > >tend to agree with you regarding the "movement in the price." The input
> > >parameters are not a factor.
> > >My guess is that the sawtooth waveform is produced by the lower relative
> > >volatility of intraday versus daily data. I will be doing some research
> > >into this to check whether intraday data has a lower relative volatility
> > >than daily data.
> > >Neal
> > >
> > >----------
> > >> Only on some of my daily charts does the sawtooth pattern exists. It
> > >seems
> > >> to be related to how much movement there is in the price and how smooth
> > >the
> > >> movement is.
> > >>
> > >> I would like to be able to system test the PFE and this cannot be done
> > >from
> > >> an indicator. As I only have Supercharts, I cannot convert it to a
> > >function
> > >> that a system can use. Would someone be kind enough to change it to a
> > >User
> > >> function?
>
> ------------------------------------------------------------------------
>
> Name: Pfe2.ela
> Pfe2.ela Type: unspecified type (application/octet-stream)
> Encoding: base64
Message-ID: <34EC9324.138BC9F5@xxxxxxxxxxxxxxx>
Date: Fri, 20 Feb 1998 07:16:36 +1100
From: Michael Artz <martz@xxxxxxxxxxxxxxx>
X-Mailer: Mozilla 4.04 [en] (Win95; I)
MIME-Version: 1.0
To: s335159@xxxxxxxxxxxxxxxxx
Subject: Re: GEN - PFE
References: <2.2.32.19980219092340.00bd5db0@xxxxxxxxxxxxxxxxx>
Content-Type: multipart/mixed; boundary="------------B7C1BEC1EDAD1C79045672D0"
Here's the same function but with an added variable (price) so that it's
possible to enter say (close of data2) & have data 2 as weekly etc..... I've
found this useful, hope you do to. I'd be interested in your findings in respect
to systems etc.... probably requires an additional filter!?
Simon Trevor wrote:
> Neal,
>
> Thank you very much for the ela files. I've spent a few minutes playing
> around with them already. It seems you are right about the imput that
> smooths the curve. The curve changes and becomes very interesting below 1
> however - try entering 0.1 for EMALEN (on daily data). The curve looks like
> a digital representation of a sound wave. It forms a triangle for each trend
> (wave) that terminates when the trend stops. Anyway, now that I have it as a
> function I can start working on some systems.
>
> Thanks
> Simon Trevor
>
> >Simon,
> >I have converted the PFE to a user function and am attaching two ELA
> >files, one with an indicator and function and the second with just the
> >function (PFEUSER).
> >This function has two inputs: 1. Lookback period (default=9) and 2.
> >EMALEN.
> >EMALEN is the length of the exponential moving average that smooths the
> >raw PFE.
> >The standard PFE uses .333 as a smoothing factor, that corresponds to an
> >exponential moving average of 5 days (2 / (5+1)).
> >Both of these inputs can now be changed, but in changing them the
> >indicator does not change to any great degree.
> >Regarding the loss of the sawtooth waveform as the time frame increases, I
> >tend to agree with you regarding the "movement in the price." The input
> >parameters are not a factor.
> >My guess is that the sawtooth waveform is produced by the lower relative
> >volatility of intraday versus daily data. I will be doing some research
> >into this to check whether intraday data has a lower relative volatility
> >than daily data.
> >Neal
> >
> >----------
> >> Only on some of my daily charts does the sawtooth pattern exists. It
> >seems
> >> to be related to how much movement there is in the price and how smooth
> >the
> >> movement is.
> >>
> >> I would like to be able to system test the PFE and this cannot be done
> >from
> >> an indicator. As I only have Supercharts, I cannot convert it to a
> >function
> >> that a system can use. Would someone be kind enough to change it to a
> >User
> >> function?
Attachment Converted: "c:\eudora\attach\Pfe2.ela"
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