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Reposted: just noticed the end part of email was cut off for some reason.
Jon
----- Original Message -----
From: "jonmac" <jonmac@xxxxxxxxxxx>
To: <fritz@xxxxxxxx>
Cc: "omega" <omega-list@xxxxxxxxxx>
Sent: Tuesday, 25 September, 2001 3:17 PM
Subject: Re: ELA Question: Entry as soon as MA xover vs at the close
> Checked the equation in excel but couldn't get it to work?
> Also checked some variations to it, but same result. IE:
>
> included the last two parts of;
>
> > the smoothed MACD is
> > > FactorZ*((C*(FactorX-FactorY) + (1-FactorX)*xavgX[1] -
> > > (1-FactorY)*xavgY[1])) + (1-FactorZ)*macdZ[1] + (1-FactorY)*xavgY -
> > > (1-FactorX)*xavgX
>
> {........ + (1-FactorY)*xavgY -(1-FactorX)*xavgX ...........}
>
> also tried with and without the ......[1].
>
> > It looks as though you're saying the smoothed MACD (the part before
> > the =) is equal to the unsmoothed MACD with C replaced by P !?
>
> What I was trying to do was to have the equation calculate a value for the
> macd to cross the macd signal line (smoothed macd). So, where your
equation
> had zero on one side (at one of its earlier stages) I simply replaced it
> with yesterday's macd signal line value. Then, as you had done, I tried to
> get 'C' only onto one side of the equation. What i'd sent previously
seemed
> to work in excel, but no doubt isn't perfectly accurate. worth a try!?
>
> Regards and thanks
> Jon.
>
>
> ----- Original Message -----
> From: "Gary Fritz" <fritz@xxxxxxxx>
> To: "jonmac" <jonmac@xxxxxxxxxxx>
> Cc: "omega" <omega-list@xxxxxxxxxx>
> Sent: Tuesday, 25 September, 2001 6:31 AM
> Subject: Re: ELA Question: Entry as soon as MA xover vs at the close
>
>
> > > Hopefully, you'll find my math below not too bad?
> >
> > Well, I'm OK on the first part. But here you lost me:
> >
> > > FactorZ*((C*(FactorX-FactorY) + (1-FactorX)*xavgX[1] -
> > > (1-FactorY)*xavgY[1])) + (1-FactorZ)*macdZ[1]
> > > = P*(FactorX-FactorY) + (1-FactorX)*xavgX - (1-FactorY)*xavgY
> >
> > It looks as though you're saying the smoothed MACD (the part before
> > the =) is equal to the unsmoothed MACD with C replaced by P !?
> >
> > I'd approach it like so, and again, I am whipping this off the top of
> > my head so if you want to use it, it's your job to check it!! :-)
> >
> > the smoothed MACD is
> > > FactorZ*((C*(FactorX-FactorY) + (1-FactorX)*xavgX[1] -
> > > (1-FactorY)*xavgY[1])) + (1-FactorZ)*macdZ[1] + (1-FactorY)*xavgY -
> > > (1-FactorX)*xavgX
> >
> > ... as you said. (You have an extra set of ()'s but that doesn't
> > hurt anything.) You want to solve for the value of C that causes it
> > to equal zero on the next bar. So: (using FX, FY, FZ instead of
> > FactorX/Y/Z)
> >
> > 0 = FZ*C*(FX-FY) + FZ*(1-FX)*xavgX - FZ*(1-FY)*xavgY + (1-FZ)*macdZ
> >
> > FZ*C*(FX-FY) = -FZ(1-FX)*avgX + FZ*(1-FY)*avgY - (1-FZ)*macdZ
> >
> > C = -FZ(1-FX)*avgX + FZ*(1-FY)*avgY - (1-FZ)*macdZ
> > -----------------------------------------------
> > FZ*(FX-FY)
> >
> > which could be simplified as
> >
> > C = -(1-FX)*avgX + (1-FY)*avgY - (1-FZ)*macdZ/FZ
> > --------------------------------------------
> > FX-FY
> >
> > Gary
> >
> >
>
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