Registered User
Joined: 11/19/2015
Posts: 459
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Hello.
Yesterday you helped me create a calcuation for absolute price change averaged over a lookback:
100 * GREATEST(ABS((C / L3) ^ (1 / 3) - 1), ABS((C / H3) ^ (1 / 3) - 1))
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100 * GREATEST(ABS((C / MINL4) ^ (1 / 3) - 1), ABS((C / MAXH4) ^ (1 / 3) - 1))
I'm looking for a way to use the above to lay the groundwork for defining a state change. The above could be thought of as the "absolute velocity" of the stock over n (3 above) bars. Using it, I'd like to scan for issues that:
on last close, have an absolute velocity x% greater than the prior 3-period-averaged "absolute velocity". X in this case would be configurable by me in the formula, but just use 20% as an example.
I would call this change of state comparing the most recent price change to the "3-period average absolute price velocity" acceleration.
Thank you for any thoughts on how to calcuate this.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I am not sure if "on last close" includes the current bar or not. If it does, then the net change (which is already expressed in as a %) in the first formula would be:
100 * (GREATEST(ABS((C / L3) ^ (1 / 3) - 1), ABS((C / H3) ^ (1 / 3) - 1)) - GREATEST(ABS((C1 / L4) ^ (1 / 3) - 1), ABS((C1 / H4) ^ (1 / 3) - 1)))
The 1 bar ago version of this would be (if you want to wait for the bar to complete):
100 * (GREATEST(ABS((C1 / L4) ^ (1 / 3) - 1), ABS((C1 / H4) ^ (1 / 3) - 1)) - GREATEST(ABS((C2 / L5) ^ (1 / 3) - 1), ABS((C2 / H5) ^ (1 / 3) - 1)))
And the net change in the second formula would be:
100 * (GREATEST(ABS((C / MINL4) ^ (1 / 3) - 1), ABS((C / MAXH4) ^ (1 / 3) - 1)) - GREATEST(ABS((C1 / MINL4.1) ^ (1 / 3) - 1), ABS((C1 / MAXH4.1) ^ (1 / 3) - 1)))
With the 1 bar ago version of that being the following.
100 * (GREATEST(ABS((C1 / MINL4.1) ^ (1 / 3) - 1), ABS((C1 / MAXH4.1) ^ (1 / 3) - 1)) - GREATEST(ABS((C2 / MINL4.2) ^ (1 / 3) - 1), ABS((C2 / MAXH4.2) ^ (1 / 3) - 1)))
Just add a > 20 to the end to check for the acceleration to be greater than 20. So as an example, the first formula would become:
100 * (GREATEST(ABS((C / L3) ^ (1 / 3) - 1), ABS((C / H3) ^ (1 / 3) - 1)) - GREATEST(ABS((C1 / L4) ^ (1 / 3) - 1), ABS((C1 / H4) ^ (1 / 3) - 1))) > 20
-Bruce
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Registered User
Joined: 11/19/2015
Posts: 459
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I have no idea how you do this so fast. Well, I have half an idea. ;) I'll test these over a couple of days.
As always, your help and expertise are deeply appreciated.
Thanks again, Bruce.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome.
-Bruce
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