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----- Original Message -----
From: "jdfo" <jdfo@xxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Friday, February 25, 2000 11:31 AM
Subject: ELA for the Variable Index Dynamic Average
> The New Technical Trader by Tushar Chande and Stanley Kroll explains a
> very intriguing moving average they call the VIDYA.
> VIDYA stands for Variable Index Dynamic Average. VIDYA is indexed to
> the standard deviation of closing prices as well as to a momentum
oscillator
> and to the coefficient of determination, or r2.
> A volatility index is used to tell us when the price action is heating
> up or cooling down. Volatility can be measured as the standard deviation
in
> the closing prices over the past x days.
> In order to form the index, we need a reference value of the standard
> deviation over x days. The reference value will tell us if the observed
> standard deviation is too high or too low. Then, we can define a
volatility
> index that refers current volatility to historical volatility as:
> k = sigma(x-days) / sigma(reference).
> Here sigma(x-days) is the standard deviation of closing prices over x
> days. sigma(reference) is the historical value of the standard deviation
> over x days.
> (you could use a 20 period moving average of sigma as the reference
value).
> Now, we use an exponential moving averaging with the index being
> variable. Thus, the series of numbers will represent values of exponential
> moving averages with variable length.
> We can now write an equation for VIDYA using the usual equation for
> exponential moving average:
> VIDYA = alpha*k*Close(current period) + (1-alpha*k) *
> Close(one period ago).
> With: the Index, alpha, of the average is given in the following
> equation:
> alpha = 2/(N+1))
> we can solve for N in terms of alpha: N = (2-alpha)/alpha.
>
> My question is: Is this enough information and can the VIDYA moving
average
> be transformed into Easy Language, and if so, what would the code be?
>
> Thanks,
> John
>
Attachment Converted: "f:\eudora\attach\Vidya.ela"
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