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rasj  
#1 Posted : Monday, August 25, 2014 1:46:50 PM(UTC)
rasj

Rank: Member

Groups: Registered, Registered Users, Subscribers
Joined: 4/17/2008(UTC)
Posts: 21
Location: Houston, TX

Thanks: 2 times

1) I would like a Historic (or Realized) Volatility Indicator with adjustable periods.

2) An more accurate Sector Stats by quarterly updating your sector so they at least correspond with the indices they are based on, or even better... as an old satisfied user of FIRE I would love to see the next version of Sector Stats based more on the old FIRE ideas so we get to use all Breadth Indicators in a more correct way. Sector Stats as it is right now is more or less useless. I also miss the External Strength calculations from FIRE.


Thanks,


mstt  
#2 Posted : Monday, August 25, 2014 4:45:39 PM(UTC)
mstt

Rank: Advanced Member

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Joined: 7/25/2005(UTC)
Posts: 1,042

Was thanked: 57 time(s) in 54 post(s)
Hi Robin

I did some work on simulating ERSA some years ago and here are a couple of indicators related to that work. The values generated by these indicators are not the same as ERSA, but when the results of an exploration are sorted they will be in the same order (as ERSA). If you provide an email address I'll send you whatever else I can find.

Roy

{Quad RSC Simulation}
{Roy Larsen, 2011}

N:=Input("Quad RSC Simulation, Periods",2,1000,120);
W1:=Input("Weight 1 (oldest)",0,100,20);
W2:=Input("Weight 2",0,100,20);
W3:=Input("Weight 3",0,100,20);
W4:=Input("Weight 4 (newest)",0,100,40);

{Bars per quarter of total calculation period}
Q:=LastValue(Int(N/4));

{ROCs for first quarter, half,}
{three quarters and full range}
BP:=Ref(O,1-Q);
RC1:=100*(C-BP)/BP; {q1 ROC}
Roc11:=Ref(RC1,-3*Q);
BP:=Ref(O,1-2*Q);
RC2:=100*(C-BP)/BP; {q2 ROC}
Roc12:=Ref(RC2,-2*Q);
BP:=Ref(O,1-3*Q);
RC3:=100*(C-BP)/BP; {q3 ROC}
Roc13:=Ref(RC3,-Q);
BP:=Ref(O,1-N);
RC4:=100*(C-BP)/BP; {q4 ROC}
Roc14:=RC4;

{ROCs for successive quarters}
Quarter1:=Roc11;
Quarter2:=Roc12-Roc11;
Quarter3:=Roc13-Roc12;
Quarter4:=Roc14-Roc13; {most recent}
Int(Quarter1*W1 + Quarter2*W2 + Quarter3*W3 + Quarter4*W4)/100;

{Quad ERSA Simulation}
{Roy Larsen, 2008-2011}

N:=Input("Quad ERSA Simulation, Periods",2,1000,120);
W1:=Input("Weight 1 (oldest)",0,100,20);
W2:=Input("Weight 2",0,100,20);
W3:=Input("Weight 3",0,100,20);
W4:=Input("Weight 4 (newest)",0,100,40);

{Bars per quarter of total calculation period}
Q:=LastValue(Int(N/4));

{ROCs for first quarter, half,}
{three quarters and full range}
Roc11:=Ref(ROC(C,Q,%),-3*Q);
Roc12:=Ref(ROC(C,2*Q,%),-2*Q);
Roc13:=Ref(ROC(C,3*Q,%),-Q);
Roc14:=ROC(C,N,%);

{ROCs for successive quarters}
Quarter1:=Roc11;
Quarter2:=Roc12-Roc11;
Quarter3:=Roc13-Roc12;
Quarter4:=Roc14-Roc13; {most recent}
Int(Quarter1*W1 + Quarter2*W2 + Quarter3*W3 + Quarter4*W4)/100;

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