BullCharts : Variable moving average

Variable moving average : I did a study of the CMO, Chande...

Fri, 27 Mar 2009 13:12:13 +0000

Author: maximo
Subject: 553
Posted: 27 Mar 2009 at 1:12pm

I did a study of the CMO, Chande Momentum Oscillator myself (part of VIDYA), after having read Martin J. Pring's book 'Trading Systems Explained - How to build reliable technical systems'

The CMO is a better oscillator for parcel splitting/scaling out than is RSI. Due to it factoring in both upward and downward momentum at the same time. So, it reaches the oversold and overbought regions more consistantly than RSI, but not more frequently. In that book he explains how to use the oscillator with a simple moving average to profit from both trending and ranging markets using a single method.

Here's the CMO with a histogram and average applied to it.

[Description="CMOF - Filtered CMO, Max"]

n:=Input("Length",10,1);

momu:=If(C > Ref(C,-1),C - Ref(C,-1),0);

momd:=If(C < Ref(C,-1),Ref(C,-1) - C,0);

Momup:=momu / (1.75*Stdev(Abs(Typ()),n))*125;

Momdn:=momd / (1.75*Stdev(Abs(Typ()),n))*125;

CMOF:=100*((Sum(Momup,n)-Sum(Momdn,n))/(Sum(Momup,n)+Sum(Momdn,n)));

[color=blue; width=2]

CMOF;

[linestyle=solid; color=gold]

Sig:=Ma(CMOF,10,S);

Sig;

[Name=Histogram; linestyle=Histogram; color=crimson]

hst:=CMOF - Sig;

if(ma(hst,3) < ref(ma(hst,3),-1),hst,undefined);

[color=lime green]

if(ma(hst,3) > ref(ma(hst,3),-1),hst,undefined);

Edited by maximo - 27 Mar 2009 at 1:43pm

Variable moving average : My guess is the 200 is a maximum...

Fri, 27 Mar 2009 12:41:28 +0000

Author: maximo
Subject: 553
Posted: 27 Mar 2009 at 12:41pm

My guess is the 200 is a maximum value for the indicator and 1 would be the minimum. No need to put limits on our settings :P

Variable moving average : Thanks Maximo yet again. What...

Fri, 27 Mar 2009 07:31:45 +0000

Author: jalna
Subject: 553
Posted: 27 Mar 2009 at 7:31am

Thanks Maximo yet again. What would we all do without you ?
I noticed in the formula that you have left out 200 in the first 2 lines. Was this not needed for the BC formula ?

Variable moving average : Sure Jalna, Length:=Input...

Fri, 27 Mar 2009 01:59:32 +0000

Author: maximo
Subject: 553
Posted: 27 Mar 2009 at 1:59am

Sure Jalna,

[Description="Tushar Chande's variable-length moving average (VIDYA)"]

[target=price; color=Magenta; width=2]

Length:=Input("Length",21,1);

Smooth:=Input("Smoothing",5,0);

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

Edited by maximo - 27 Mar 2009 at 2:04am

Variable moving average : Can anyone write the code for...

Thu, 26 Mar 2009 10:51:02 +0000

Author: jalna
Subject: 553
Posted: 26 Mar 2009 at 10:51am

Can anyone write the code for this MA by Tushar Chande

Vidya 21, 5

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