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| Thursday, October 7, 2004 |
| Thursday, September 25, 2008 1:01:11 PM |
69
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Bruce,
Can you go along with me although incorrect. The fx I listed DOES an excellent job of finding entries for LONG positions. IFFFF you had to reverse translate it for SHORTS what would you change: 1+6/7; (Cx-6/7)???
Thank you
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BRUCE,
In the following post a fx for MIN 13D FORCE. ?? Can you write a fx for MAX 2D FORCE (LAST 15 DAYS)??
THANKS
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Bruce,
I assume the request is for a PCF equivalent to the form:
XAVGC13.0 < XAVGC13.1
AND XAVGC13.0 < XAVGC13.2
AND ...
AND XAVGC13.0 < XAVGC13.9
with C replaced by (C-C1)*V.
The direct method would require 18 series expansions of the EMAs. We will show that it can be done with 9 series expansions of the EMAs and 9 truncated series expansions of the EMAs. The number of terms in the 9 truncated series expansions is 1,2,...,9.
The series expansion for XAVGCP is:
(1-a)*(a^0*C0+a^1*C1+...+a^k*Ck+...)
where a = (P-1)/(P+1). Let XAVGCP.Q,R represent XAVGCP.Q with the series portion truncated to R terms, i.e., XAVGCP.Q,R is defined to be:
(1-a)*(a^0*CQ+a^1*C(Q+1)+...+a^(R-1)*C(Q+R-1))
Theorem: Define a = (P-1)/(P+1). Then, for N < M,
XAVGP.N - XAVGCP.M = XAVGP.N,(M-N) - (1-a^(M-N))*XAVGCP.M
As an application of the Theorem, let P = 13, N = 2. M = 7. Then,
XAVG13.2 - XAVGC13.7
is equivalent to:
(1-6/7)
*(C2+6/7
*(C3+6/7
*(C4+6/7
*(C5+6/7
*(C6)))))
-(1-(6/7)^5)*XAVGC13.7
An application of the Theorem to each of the 9 inequalities results in each of the Cs replaced by (C-C1)*V being written only once and then in a particularly simple form.
For better accuracy, I would be inclined to approximate the infinite series of only XAVGC13.9.
I do not believe we can simplify more than I have indicated.
Your comments will be appreciated.
Thanks,
Jim Murphy |
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Hi Bruce,
You're right the trading platform I use does not have an ABS fn. I would be using the above syntax for the c/o of OBV (?- does the fx you wrote give the 10sma or 0 c/o?).
Thanks
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Bruce,
You wrote this fx last time for a generic OBV xUP it's 10sma:
9 * SGN(C - C1) * V + 8 * SGN(C1 - C2) * V1 + 7 * SGN(C2 - C3) * V2 + 6 * SGN(C3 - C4) * V3 + 5 * SGN(C4 - C5) * V4 + 4 * SGN(C5 - C6) * V5 + 3 * SGN(C6 - C7) * V6 + 2 * SGN(C7 - C8) * V7 + SGN(C8 - C9) * V8 > 0 AND 9 * SGN(C1 - C2) * V1 + 8 * SGN(C2 - C3) * V2 + 7 * SGN(C3 - C4) * V3 + 6 * SGN(C4 - C5) * V4 + 5 * SGN(C5 - C6) * V5 + 4 * SGN(C6 - C7) * V6 + 3 * SGN(C7 - C8) * V7 + 2 * SGN(C8 - C9) * V8 + SGN(C9 - C10) * V9 <= 0
Is this the correct way to translate the SGN function:
SGN(C-C1) = (((C-C1)/(C-C1)2).05) i.e., (X / absX) ? If not are you able to write a simplified fx re. SGN?
Thanks
SC
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Good for you!
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Bruce,
I glanced at another formula than the above (xavgs), now realize the formula you provided is Ok. When you said that you'll do your best, what xavg's were you seeing?!
Your the best, I mean it, and thanks.
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Bruce,
Oh dear! Nested xavg's!. Is it too much to ask for a translation?! and that will be that this week, promise!
SC
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Bruce, thank you so much!
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My guess is that you are asking for PCFs for conditions on OBV that are written without using the OBV notation. For example, a PCF for OBV today greater than it was two days ago can be written:
OBV1.0 > OBV1.2 or without using the OBV notation as: SGN(C0-C1)*V0 + SGN(C1-C2)*V1 > 0
Jim Murphy
Would you provide me the equation (as above) for OBV1.0xUP10SMA?
Thanks again,
SC
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Your are correct and thank you. Would you also be able to supply the c/o of its' 10dsma? Thanks, again.
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