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Chris Young’s article, “The Average Peak Excursion,” includes three formulas
for calculating the rate of return. Theses formulas are listed below as
indicators.
To enter these indicators into MetaStock:
- In the Tools menu, select Indicator Builder.
- Click New to open the Indicator Editor for a new indicator.
- Type the name of the formula.
- Click in the larger window and type in the formula.
- Click Ok to close the Indicator Editor.
Name: Average Peak Excursion
Formula:
x:=Input("number of periods for
APE",1,200,1);
Max( Abs(HHV(H, x) - Ref(O, -(x-1))), Abs(LLV(L, x) - Ref(O,
-(x-1))) )
Name: APE ratio
Formula:
x:=Input("number of periods for APE
ratio",2,200,25);
ax:= Max( Abs(HHV(H, x) - Ref(O, -(x-1))), Abs(LLV(L, x) -
Ref(O, -(x-1))) );
a1:= Max( Abs(H - O), Abs(L - O) );
ax / a1
Name: APE Alpha
Formula:
x:=Input("number of periods for
APE",2,200,25);
ax:= Max( Abs(HHV(H, x) - Ref(O, -(x-1))), Abs(LLV(L, x) -
Ref(O, -(x-1))) );
a1:= Max( Abs(H - O), Abs(L - O) );
Log( ax / a1 ) /
Log( x )
These formulas can also be used in explorations, but the first line will need
to be changed first. The Input() function only works in indicators. For the
explorations replace this line:
x:=Input("number of periods for APE",2,200,25);
with this line:
x:= 25;
The number typed in after x is the number of periods used for the long term
APE calculation and can be any value desired.
William Golson
Equis International
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