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Bob,
My friend is still putting forth info. The following completes his input.
"An even simpler explanation of the total formula you sent: It calculates
the difference between a 9-day TSF and the previous days 9-day TSF for the
last 3 days and adds the results together. I would be very interested in
the theory or thought behind why this is an improvement over a single TSF."
Bob,
I had a friend, before this inquiry, who delves into Metastock quite a bit.
I have inserted the information I received from him (right before he
slammed the door). It seems to me that this might be all you need to figure
out what MS did in the pivot code you posted. I hope that it leads to
nothing but positive balances in your trading account!
Regards,
Hal
-----------------------------------------------------
At 08:24 AM 1/5/98 -0800, Bob Hunt wrote:
>Below is the formula that Rory Lewellen referred to in his recent post on
>Directional Turning Points (BTW, nice post Rory!). This is a Metastock
>indicator that Eddie Kwong has posted at the Realtraders web site. I know if
>Eddie uses it, there must be some credibility to it!
>
>Unfortunately, I am not a Metastock user. Can anyone supply Easy Language
code
>for this puppy, or at least put it into normalspeak terms so that I can
code it
>myself?
>
>Thanks in advance,
>Bob Hunt
>
>********************************************************************
>
>Formula name: GRII
>
>This is a long formula so I broke it up into four pieces. GRII is derived
from
>formulas 1, 2, and 3.
>
>This is a nifty momentum oscillator that I've used for about five years to
help
>me determine the
>direction of a given market when I have evidence that the market is about to
>turn.
>
>1 GRIIF1 tsf(C,9)-ref(tsf(C,9),-1)
Here it is in as plain english as best that my ex-friend can explain:
tsf= Time Series Forcast - which is an indicator based on the trend of a
security's price over a specified time. The full interpretation is too
long to type in, but it in effect makes a linear regression line and
projection over the period given. Thus:
tsf(C,9) returns a 9 period forcast of the closing price.
-ref(tsf(C,9),-1returns the forcast for yesterday which is subtracted from
the first number
+day 2 forcast subtracted from day 1
+day 3 forcast subtracted from day 2
tsf = TIME SERIES FORCAST
The Time Trend Forcast Indicator is based on the trend of a security's
price over a specified time period. The trend is determined by calculating
a linear regression trendline using the "least squares fit" method. The
least squares fit technique fits a trendline to the data in the chart by
minimizing th distance between the data points and the linear regression
trendline.
Any point along the Time Series Forcast is equal to the ending value of a
Linear Regression trendline plus its slope. For example, the ending value
of a Linear Regression trendline (plus its slope) that covers 10 days will
have the same value as a 10-day Time Series Forcast. This differs slightly
from the Linear Regression Indicator in that the Linear Regression
Indicator does not add the slope to the ending value of the regression
line. This makes TSF a bit more responsive to short term price changes.
If you plot the TSF and Linear Regression side-by-side, you'll notice that
the TSF hugs the prices more closely than than the LR indicator.
Rather than plotting a straight LR trendline, the TSF indicator plots the
ending values of multiple LR trendlines. The resulting TSF indicator is
sometimes refered to as a "moving linear regression" or " regression
oscillator".
INTERPRETATION
The interpretation of TSF is similar to a moving average. However the TSF
has two advantages over moving averages.
Unlike a moving average, a TSF does not exhibit as much "delay". Since the
indicator is "fitting" a line to the data points rather than averaging
them, the TSF is more responsive to price changes.
As the name suggests, the indicator can be used to forecast the next
period's price. The estimate is based on the trend of the security's
prices over the period specified. If the trend continues, the last point
of the trendline (the value of the TSF) is forecasting the next period's
price.
>
>2 GRIIF2 (ref(tsf(C,9),-1)-(ref(tsf(C,9),-2)))
>
>3 GRIIF3 (ref(tsf(C,9),-2)-(ref(tsf(C,9),-3)))
>
>4 GRII
>(tsf(C,9)-ref(tsf(C,9),-1))+((ref(tsf(C,9),-1)-ref(tsf(C,9),-2)))+((ref(tsf
>(C,9),-2)-(ref(tsf(C,9),-3))))
>
If additional info is needed -- I'm willing to try again (I see the "ref"
designation which I don't see explained above).
Hal
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