Re: Plotting moving ave data for overnight NAZDAQ mini symbol

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

The code below (not tested) should hold the value at 1600 until the
following morning but the averages will still include a constant
value for the overnight session. To get rid of the overnight session
totally you have two options:

    Define the session times for NQ to be the day-session only (simplest)

    Create special "simple" versions of your averages that only get
       calculated on the bars for which you have data (a bit harder)

Bob Fulks

---


Input: Length1(2), Length2(9), Length3(200);

Vars: Price((3 * C of data1 + H of data1 + L of data1)/5 - 
            (3 * C of data2 + H of data2 + L of data2)/5);

if Time >= 0930 and Time <= 1600 then begin
   Price = (3 * C of data1 + H of data1 + L of data1)/5 -
           (3 * C of data2 + H of data2 + L of data2)/5;
end;

Plot1(WAverage(Price,Length1),"AvgWghtd");
Plot2(xAverage(Price,Length2),"AvgExp");
Plot3(xAverage(Price,Length3),"SimpleAvg");


At 8:59 PM -0500 11/13/01, Jim Erven wrote:

>Special problem
>
>I want to create a premium indicator for the NAZDAQ mini, ie the difference
>bewtween the NQ1Z and the NDX data in a 1 minute bar.
>
>Now because the NQ1Z trades overnight, I have to eliminate the overnight
>data or the moving averages get all screwed up.
>
>Is it possible to do this.  i have written the ela code as below but this
>doesn't do it. What am I missing in putting the time in correctly?
>
>Data1 = NQ1Z,   Data2 = NDX
>
>
>Code in ela
>
>IF TIME > 0930 AND TIME < 1600 THEN BEGIN;
>
>Input: Price1((((3*Close+h+l)/5)) of data1 - (((3*Close+h+l)/5)) of data2)
>,Length1(2),
>
>
>Price2((((3*Close+h+l)/5)) of data1 - (((3*Close+h+l)/5)) of
>data2),Length2(9),
>
>Price3((((3*Close+h+l)/5)) of data1 - (((3*Close+h+l)/5)) of
>data2),Length3(200) ;
>
>
>Plot1(WAverage(Price1,Length1),"AvgWghtd");
>Plot2(xAverage(Price2,Length2),"AvgExp");
>Plot3(xAverage(Price3,Length3),"SimpleAvg");
>
>end
>
>
>
>end