logo
Welcome Guest! To enable all features please Login or Register.

Notification

Icon
Error

Options
Go to last post Go to first unread
GameTime  
#1 Posted : Wednesday, January 6, 2016 8:18:21 AM(UTC)
GameTime

Rank: Advanced Member

Groups: Registered, Registered Users, Subscribers
Joined: 1/22/2011(UTC)
Posts: 34

Thanks: 1 times
Was thanked: 1 time(s) in 1 post(s)

Hi everyone,

I'm trying to replicate the MS formula for "Error-Adjusted Momentum" as described by David Varadi in this article:

https://cssanalytics.wordpress.com/2014/07/30/error-adjusted-momentum/

Essentially its the 200SMA of ROC / MAE

I don't know how to go about coding MAE (Mean Absolute Error)

Any help would be greatly appreciated.

Thank you.

 

 

GameTime  
#2 Posted : Wednesday, January 6, 2016 5:43:23 PM(UTC)
GameTime

Rank: Advanced Member

Groups: Registered, Registered Users, Subscribers
Joined: 1/22/2011(UTC)
Posts: 34

Thanks: 1 times
Was thanked: 1 time(s) in 1 post(s)

I think I may have worked it out, but would be good to get some confirmation.

Forecast:=Mov(ROC(C,1,%),10,S);
Error:=ROC(C,1,%)-Forecast;
MAE:=Mov(Abs(Error),10,S);
Mov(ROC(C,1,%)/MAE,200,S)

Users browsing this topic
Guest (Hidden)
Forum Jump  
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.