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I have come across a so called "Howars average" in http://www.ensignsupport.com/email/1674.mhtml.
As explained therein Howard's average is an adaptive average that self adjusts based on momentum. When the market moves vertically the average parameter tightens.
Little additional information is provided. Any suggestions on how a moving average of this kind could be coded in MS?
Thanks.
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I thought this might have answered your question: http://www.ensignsupport.com/email/1674.mhtml wrote:
Formula I invented is not public because I do not want competing products
to copy my creativity.
wabbit [:D]
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wabbit wrote:Formula I invented is not public because I do not want competing products to copy my creativity.
That is the main reason why we have copyright laws - to protect the author's time & effort invested into the creation of his/her unique work, and thus encourage an atmosphere where ideas may be shared openly for the overall benefit of the community.
jose '-)
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Rank: Advanced Member
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minnamor wrote:Any suggestions on how a moving average of this kind could be coded in MS? Something akin to this maybe? It's an acceleration based EMA. Use with caution and ensure you have enough data available (don't skimp!) This is NOT the Howard indicator but it might give you an idea on how to create your own volatility MA. Code:
{"ma" length}
pds:=10;
data:=Close;
{velocity and acceleration}
dy:=roc(data,pds,%);
d2y:=abs(roc(dy,pds,$));
{normalize acceleration over the square of period}
pds2:=lastvalue(power(pds,2));
x:=(d2y-LLV(d2y,pds2))/Max(HHV(d2y,pds2)-LLV(d2y,pds2),0.0001);
{EMA}
MA:=if(cum(1)<=(2*pds+pds2),data,(x*data)+((1-x)*PREV));
{plot}
MA;
untested. Hope this helps. wabbit [:D] P.S. You might find it preferable to employ the Forum.dll to compute the variable period EMA instead of the PREV function.
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Rank: Advanced Member
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Now I have had the chance to have a quick play with some code and do a few tests, I have come up with a better example than the code above.... Try this and see if you can modify the concept to suit your ideas: Code:
{"ma" length}
pds:=10;
data:=CLOSE;
{velocity and acceleration}
dy:=ROC(data,pds,%);
d2y:=ROC(dy,pds,%);
{normalize acceleration over the period, range 0.5 to 1}
x:=(0.5*(d2y-LLV(d2y,pds))/Max(HHV(d2y,pds)-LLV(d2y,pds),0.0001))+0.5;
{equivalent EMA lengths: (pds/2) to pds}
y:=2/((x*pds)+1);
{the indicator}
MA:=If(Cum(1)<=(3*pds),data,(y*data)+((1-y)*PREV));
{plot}
MA;
Hope this helps. wabbit [:D] P.S. Again, you might prefer to using the Forum.dll variable length EMA than using the PREV based code?
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Variable moving averages are not new.
Tushar Chande's Vidya is an example of this
in Metastock Mov(C,5,Var)
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