Re: Reactivity indicator

[KCSpread@xxxxxxx]

Rolf, 
	Geitzens reactivity indicator as coded by Dave DeLuca.  Text below.

In a message dated 4/13/99 10:04:01 PM Eastern Daylight Time, 
rquam@xxxxxxxxxx writes:

<< Does anyone have a copy of reactivity (react.exe) of the kind by Al
 Geitzen which can be imported into TS2000? React.exe is not a .ela and
 does not seem to be importable. (If anyone knows how, I would like to
 know about it)
  >>


{========  Improved Reactivity Function ==============}
{Pasted as quote to avoid word-wrap mess.}

{  User function : Reactivity as in Al Gietzen's book "Real-Time Futures 
Trading".

  Inputs: Len(numeric); Lookback period. Gietzen suggests this value should 
be the 
                        identified cycle period divided by 2.5. For example 
if cycle 
                        period is 15, "Len" should be 6. 

  Vars : 
    AspectRatio(0) -  Normalized range for Len bars back div the normalized 
vol for Len bars back;
    Range_Len(0)   -  The difference between the highest high and the lowest 
low for Len bars back;
    Vol_Len(0)     -  The summation of the volume for Len bars back;
    NormRange(0)   -  The normalized range (Range_Len);
    NormVolume(0)  -  The normalized volumne (Vol_Len);
    Mom(0)         -  The difference between the Mean price of current bar 
and Mean price Len bars back.

  The normalized range and normalized volume are the averaged range and 
  averaged total volume calculated over a lookback period of 8 * Len 
  as per Gietzen's suggestion.

  by Dave DeLuca 01/05/99}	

Inputs: Len(10), avglen(3);

Vars: AspectRatio(0), Range_Len(0), Vol_Len(0), NormRange(0), NormVolume(0), 
Mom(0), Reactivitys(0);

Range_Len = Highest(High, Len) - Lowest(Low, Len);
NormRange = Range_Len / RMean(Len); 
Vol_Len = Summation(Volume, Len);

if Vol_Len <> 0 then 
    NormVolume = Vol_Len / XAverage(Summation(Volume, Len), 8 * Len);

if NormVolume <> 0 then
    AspectRatio = NormRange/NormVolume;

Mom = Mean - Mean[Len]; 
Reactivitys = AspectRatio * Mom;

Plot1(Reactivitys,"Reactivity");
Plot2(0,"Zero Line");
Plot3(Average(Reactivitys,avglen),"Avg");



********Function********************************************


{	
	User function : Reactivity as in Al Gietzen's book "Real-Time Futures 
Trading".
		(code by Dave DeLuca via Omega bbs.)

	Vars: r = range, Rm = mean range,  vz = total volume for lookback 
period, 
	           Vm = mean volume, ar = aspect ratio.
	Rm and Vm are calculated proportionately to the length selected 
(8*Len).	
}	
	
Inputs: Len(numeric);

Vars : r(0), Rm(0), vz(0), Vm(0), ar(0), mom(0);

r = Highest(High, Len) - Lowest(Low, Len);
vz = Summation(V, Len);
Rm = rMean(Len);
Vm= Xaverage(Summation(V, Len), 8 * Len);
ar = (r / Rm) / (vz / Vm);
mom = Mean - Mean[Len];

Reactivity = ar * mom;






Attachment Converted: "c:\eudora\attach\REACT.ELA"