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Don T wrote:
The spreadsheet you graciously sent me, I assume from inspecting the
cells that calculate the ama of the oex. are 6 period ama?
I take that from the 6 day stdev/10 day stdev ratio applied through out
the ama calculation.
So do I ratio out for 20 days... like
20 days deviation / about 33 days stdev or
20 days stdev/ 24 days stdev..
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Don, The ama is an adaptation of a Perry Kaufman idea called an adaptive
moving average. It was added as way to allow the amoss (adaptive modified
option strategy spectrum) to more closely follow the changes in the oex.
This was considered a superior method to a fixed moving average length.
You should experiment with the periods to get them to give you results
more to your liking. This is why I like to work in excel. It is easy to
try variations on an idea. This spreadsheet was intended to give RT'ers a
working model of an idea for statistical analysis of the stock market.
Once you think you are familiar with the concepts applied you should
attempt to improve and or improvise on the parameters and formulas. This
spreadsheet contains all the basic concepts that I have used to apply to
my current formulations. The amoss spreadsheet represents a long period
of trying to understand and apply statistical methods to trading. This
work has continued to evolve at a greater pace and I am happy to say that
I hope to soon retire the amoss for its next level of advancement, Son of
Amoss, ("MIDI", the "McEwan Index Distribution Indicator"). I have such
high hopes for this that I am hoping the CBOE will give me a million
bucks to keep it off the market.
Good Luck
Ron McEwan
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