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Jay Leavitt wrote several articles over the past couple of years. In November, he answered some Letters to S&C and included formulas for the calculations used by his strategies. The MetaStock versions of those formulas are below:
Leavitt Convolution:
Formula:
Code:x:= Input("Length", 2, 500, 61);
lenconv:= LastValue( Int(Sqrt(x)));
LeavPro:= Ref(LinearReg(C, x), -1);
Ref(LinearReg(LeavPro, lenconv), -1)
Leavitt Convolution Slope:
Formula:
Code:x:= Input("Length", 2, 500, 61);
lenconv:= LastValue( Int(Sqrt(x)));
LeavPro:= Ref(LinearReg(C, x), -1);
LinRegSlope(LeavPro, lenconv)
Leavitt Convolution Curvature:
Formula:
Code:x:= Input("Length", 2, 500, 61);
lenconv:= LastValue( Int(Sqrt(x)));
LeavPro:= Ref(LinearReg(C, x), -1);
LeavConSlope:= LinRegSlope(LeavPro, lenconv);
If(LeavConSlope>Ref(LeavConSlope,-1), LeavConSlope, 0);
If(LeavConSlope<=Ref(LeavConSlope,-1), LeavConSlope, 0);
Please note:
The formula for the Curvature plots two lines, one for increasing values and the other for decreasing values. Jay Leavitt suggests setting the increasing values line to Green with a Histogram line style. Set the decreasing values line to Red with a Histogram line style. He also adds two lines at values of 0.2 and -0.2 for boundaries within which price direction is unclear. MetaStock suggests increasing the weight of the histogram lines by one or two levels to make the lines more visible and give the chart a more striking appearance.
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