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periods:=Input("periods",1,244,89);
VariableMA511( mp() , periods)
Equis put this function in for me. It uses VHF rather than CMO.
Unlike the present version, this is better.
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This is the MetaStock code for VIDYA 21,5 which applies to
the article "Breaking Out Of Price Channels" by Gerald Marisch
in the TASC January 1998 edition.
Length:=Input("Length",1,200,21);
Smooth:=Input("Smoothing",1,200,5);
AbsCMO:=(Abs(CMO(C,Length)))/100;
SC:=2/(Smooth+1);
VIDYA:=If(Cum(1)<=(Length+1),C,(SC*AbsCMO*CLOSE)+(1-(SC*AbsCMO))*PREV);
VIDYA
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My version of Tushar Chande's Vidya, using the P variable
Vidya{P}
Periods:=Input("length of MA",5,100,20);
K:=Stdev(P,5)/Mov(Stdev(P,5),20,S);
A:=(2/(Periods+1));
Vidya:=A*K*(P)+(1-A*K)*Ref(P,-1);
Vidya;
Tar(SZ)an Long
C-(((462*Mov(C,34,E))-(420*Mov(C,13,E))+(490*(Mov(Mov(C,13,E)-Mov(C,34,E),89,E))))/42)
Tar(SZ)an Short
(C-(((325*Mov(C,26,E))-(297*Mov(C,12,E))+(351*Mov(Mov(C,13,E)-Mov(C,26,E),9,E))))/28)*2
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Vidya is a subject that comes up with some regularity. It's
actually available in MetaStock as the Variable Moving Average
(Mov(C,n,V) but Equis, for their own inscrutable reasons, choose
not to identify it by name. If you refer to the MetaStock
manual, be aware that there is a typo in the formula (0.078
should read 0.78). Two or three years ago I coded the version
given in TAS&C and it overlaid the MetaStock version precisely,
except that at the time the MetaStock version was not correctly
initialised -- this has since been corrected. Equis acknowledged
the typo at the time, but have done nothing about it.
As far as the 'circular reference' is concerned, you are right
that eventually you run out of data. However adding a portion of
yesterday's value to a portion of today's value is common to
several indicators, such as the Exponential Moving Average. If
no provision is made, then usually the indicator will start with
a value of zero, rise rapidly at first, then take some time to
stabilise.
One answer is to initialise it. For a Vidya of the close, period
N, you can initialise with something like "If(Cum(1) < N,
C,{else} ...)" with the Vidya formula as the 'else'. Then at day
N the indicator uses the (N-1) close for yesterday's data and
takes much less time to stabilise.
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Here is a version of Vidya using a P variable that matches
MetaStock's built-in Variable Moving Average. You can overlay
them in different colours on the same chart to satisfy yourself
that they are indeed the same (but remember to use the same
number of periods). There is a small difference at the start due
to different initialisation, after which they are identical. The
coding is spelled out for the benefit of anyone studying the
book. It can be adapted by adding a variable input for the CMO
length (9), or made universal by replacing each C with a P, or
the Abs(CMOsc) can be replaced with a different volatility index
that ranges between 0 and 1.
{Vidya (Chande)}
Pds:= Input("Number of Periods?",1,1000,20);
Alpha:= 2/(Pds+1);
{Chande Momentum Oscillator}
{UD = Up day}
{DD = Down day}
UD:= Sum((C-Ref(C,-1))*(C>Ref(C,-1)),9);
DD:= Sum((Ref(C,-1)-C)*(C<Ref(C,-1)),9);
CMOsc:= (UD-DD)/(UD+DD);
k:= Abs(CMOsc);
Vidya:= (Cum(1) < Pds) * C + (Cum(1)>=Pds) * ((Alpha * k * C) +
(1-Alpha
* k) * PREV);
Vidya
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You can easily create the Volatility% Indicator from William
Brower’s article in MetaStock for Windows. First choose
Indicator Builder from the Tools menu in MetaStock. Next choose
New and enter one of the following formulas:
Formula for MetaStock 6.5
Volatility%
Lookback := Input("Time Periods",1,1000,50);
HighVolatility := Input("High Volatility %",.01,100,3);
100 * Sum(100 * ATR(1)/CLOSE > HighVolatility,
Lookback)/Lookback
Formula for earlier versions of MetaStock for Windows
Volatility%
100 * Sum(100 * ATR(1)/CLOSE > 3, 50)/50
Now drag the Volatility% from the Indicator QuickList and
drop it on the desired chart.
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"A Volatility Trade In Gold" by David S. Landry, CTA,
Technical Analysis of Stocks & Commodities, page 87.
In this article the author gives formulas for three indicators
MetaStock. The formulas as given will work in all versions of
MetaStock. However, there is an error in the formula the author
names Volatility 12 EMA. The formula should be:
Mov((Fml("CONHV4") + Fml("CONHV6") + Fml("CONHV10"))/3,12,e)
Here are formulas for version 6.5 and higher of MetaStock for
Windows. These formulas use Inputs which allow you to select the
time periods when you plot the formulas.
| David Landry Historical
Volatility |
Num:=Input("Number Of
Periods For Numerator",1,100,4);
Den:=Input("Number Of Periods For
Denominator",2,1000,100);
(Log(C/Ref(C,-1)),Num)/Std(Log(C/Ref(C,-1)),Den) |
|
| David Landry Average Historical
Volatility |
Den:=Input("Number Of
Periods For Denominator",2,1000,100);
((Std(Log(C/Ref(C,-1)),4)/Std(Log(C/Ref(C,-1)),Den))+(Std(Log(C/Ref(C,-1)),6)/Std(Log(C/Ref(C,-1)),Den))+(Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),Den)))/3 |
|
| David Landry EMA of Historical
Volatility |
Den:=Input("Number Of
Periods For Denominator",2,1000,100);
EMA:=Input("Number Of Periods For
EMA",2,100,12);
Mov(((Std(Log(C/Ref(C,-1)),4)/Std(Log(C/Ref(C,-1)),Den))+(Std(Log(C/Ref(C,-1)),6)/Std(Log(C/Ref(C,-1)),Den))+(Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),Den)))/3,LastValue(EMA),E) |
|
Note: Standard deviation information was not included here
because the way these formulas are being used, any standard
deviation being used would return an identical value as 1
standard deviation.
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This article "Volatility Bands As A Long Term Strategy",
by Ahmet Tezel, Ph.D., and Suzan Koknar-Tezel, M.S., which
appears in this issue introduces two different volatility band
trading systems. One system uses bands based on moving averages
and the other is based on bands which use regression. To plot
the Moving Average Asymmetric Volatility Price Bands in
MetaStock for Windows, simply plot Bollinger Bands using 11
periods and 1.7 standard deviations. Then click your right-mouse
button while the cursor is over the lower band and choose
properties. Change the standard deviations to 2. This plot will
now appear exactly as the bands discussed in the article.
To plot the Regression Asymmetric Volatility Price Bands in
Metastock for Windows, simply plot Standard Error Bands using 21
periods, 1 for standard errors, and 1 for the smoothing periods.
Then click your right-mouse button while the cursor is over the
lower band and choose properties. Change the standard errors to
1.5.
To recreate the systems in MetaStock for Windows, choose
System Tester from the Tools menu. Next choose New and enter the
following trading rules and stop conditions. After entering this
information, choose Options and change the trade delay to 1,
then change the Trade Price to Open. If you have MetaStock 6.5
enter the first set of formulas. MetaStock 6.5 allows variables
which will allow you to change the periods when testing much
more easily.
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Col A: CLOSE
Col B: Vol(10,80)
Filter: Vol(10,80)>200
Filter enabled: Yes
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I contacted David Vomund by e-mail and he was kind
enough to mail me the equations required to calculate the VAP.
I've programmed them in MetaStock as follows:
VOLUME ACCUMULATION PERCENTAGE
Periods:=Input("Time Periods",1,60,21);
X:=(2*C-H-L)/(H-L);
TVA:=Sum(V*x,Periods);
TV:=Sum(V,Periods);
VA:=100*TVA/TV;
VA
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1. Stocks with volume > 10x the previous day's volume
2. Stocks where the above situation hasn't occurred during the
previous 60 days.
ColA = if(V > 10*ref(V,-1),1,0)
ColB = ref(barssince(V>10*ref(V,-1)),-1)
Filter: ColA=1 and ColB>60
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mov(H-L,1,S)/mov(H-L,20,S)
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if(oscv(1,50,S,%),>,50,1,0)
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