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and look who is asking!
This is your invention and more people should try it !
Go to:
http://www.traders2traders.com/linkindex/Default.asp?CategoryID=21
to get an .ela of it and if just interested in the concept then look over
the code below.
Clyde
{***********************************************************
Function: DH_adaptive_noise_f
Author: Dennis H
Mods: Clyde Lee
Last Edit: 11/27/2000
Counts how many bars back are required for the price to
exceed a noise level and sets the lookback of an exponential
moving average or a T3 average to that number of bars.
Added:
If noise is set negative then it is a multiplier of a 14 bar
Standard Deviation of the INPUT data is used as noise.
avgmode allows the use of original exponential smoothing or
T3Average smoothing of determined length -- use lee version.
smoleng allows the use of additional smoothing by application
of a FIXED LENGTH t3average to the adaptive value computed.
************************************************************}
input: price(numericseries), {price or other series to
}
noise(numericsimple), {filter price movements smaller than
his }
{if < 0 then
oisef=AbsValue(noise)*ATR14 }
max_per(numericsimple), {maximum period for noise search and
x }
{smoothing period
}
smoleng(numericsimple); {Additional smoothing of average by use
of }
{fixed length x average by setting
s }
{to value other than
}
var: hi(0), lo(0),
noisef(noise),
period(max_per),
factor(2/(1+period)),
factor1(2/(1+SmoLeng)),
filter(price),
Filter1(price);
if noise <> 0 then begin
If Noise>0 then noisef= noise
else noisef= -noise*StdDev(price,14);
{reset the vars}
hi = price;
lo = price;
period = 0;
{count the bars to exceed the noise treshold}
while hi - lo < noisef and period < max_per begin
period = period + 1;
if price[period] > hi then hi = price[period];
if price[period] < lo then lo = price[period];
end;
end;
If period<1.2 then period=1.2;
{exponential smoothing factor}
factor = 2 / (period + 1);
{exponential average}
If currentbar>1
then filter = factor * price + (1 - factor) * filter[1]
else filter = price;
If SmoLeng=0
then Filter1=filter
Else Filter1=Filter1*(1-Factor1)+(Filter*Factor1);
DH_adaptive_Original = Filter1;
= = = = = = = = = = = = = = = = = = = = = = = = = = = = = =
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
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----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Sunday, August 11, 2002 12:07 AM
Subject: Re: Anyone had successfully create a good trading system using Mark
Jurik's Indicators?
> > I got the indicators
>
> Why?
>
> --
> Dennis
>
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