Rank: Advanced Member
Groups: Registered, Registered Users
Joined: 4/27/2005(UTC)
Posts: 126
Location: Italy
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I am trying to implement the system described in TASC Feb 2005 Vol. 23 N. 2 in the article "The Truth about volatility" by Jim Berg.
He specifies 3 conditions for defining an uptrend:
1. higher highs and higher lows on a weekly chart (taken care of with ExtFml("PowerPivots.TrendDirection",1,2)),
2. closing pricesabove the 34 week moving average, and
3. 34 week moving average is rising.
I have difficulty with the last two conditions.
I copied the following formulae for weekly data:
SMA:
{© 2004 Roy Larsen, rlarsen@man.quik.co.nz}
{for use on daily charts with
Jose Silva's "Calendar Week counter"}
N:=Input("Weekly SMA - Close Periods",1,99,10);
F:=Input("End of Week, 5=Friday 6=Saturday 7=Sunday",5,7,5);
Q:=Input("Display Mode, 0=Static 1=Dynamic 2=Test",0,2,2);
{0=Display, update on Friday when possible}
{1=Display, update on each new bar}
{2=Backtest, update on first bar of new week}
G:=LastValue(Highest(Sum(DayOfWeek()=F,5))=5);
I:=Fml("Calendar Week counter");
I:=Abs(I-ValueWhen(2-G,1,I)); M:=G OR I>0;
F:=G OR (DayOfWeek()=F AND I=0);
A:=LastValue(Cum(1)-1)=Cum(1);
B:=LastValue(Cum(1))=Cum(1);
J:=If(F,1,If(Alert(F,2)=0 AND M,2,0));
J:=If(A+LastValue(J)>2 OR B+(Q=1)=2,1,J);
J:=If(G,1,If(Q=2 OR Cum(J)<=1,M*2,J));
K:=ValueWhen(1,J,If(J=1,C,ValueWhen(2-G,1,C)));
X:=Cum((J>0)*K);
(X-ValueWhen(N+1,J,X))/N;
I tried to write the three conditions as follows (I hoped to be able to change inputs where different from the default value as shown below leaving all other inputs unchanged):
ExtFml("PowerPivots.TrendDirection",1,2)=1
AND
FmlVar("Custom - Weekly SMA - Close","N") =34;
C> Fml( "Custom - Weekly SMA - Close")
AND
Fml( "Custom - Weekly SMA - Close")>Ref(Fml( "Custom - Weekly SMA - Close"),-1)
Unfortunately, the result is not consistent with the visual inspecton of the indicators drawn on the price chart.
I tried the PowerPivot T-Average function but it would not accept arguments after the function name.
Can you help me solve this problem? Thanks.
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