?????????? ?????????? / TradeStation Formulas / Moving Beyond the Closing Price by Thomas Stridsman

Автор:
Разместил:   Дата: 2006-01-15 06:58
Комментарии: (0)   Рейтинг:

Most indicators have two limitations: They’re usually based on specific price levels rather than price changes, and they only use the closing price of a bar. This technique allows you to build a price-change-based indicator that incorporates all the price points in a bar.


Type : Indicator, Name : 20-day MA of Close-to-Close Price Changes, Added To Closing Price


Inputs:
LookBack(20);
Variable:
PercChange(0),
NewLevel(0),
AvgPercChange(0);

PercChange = (Close - Close[1])/Close[1];
AvgPercChange = Average(PercChange,20);
NewLevel = Close * (1 + AvgPercChange);
Plot1[1](NewLevel,"");


Type : Indicator, Name : Meander Indicator


Inputs:
StDevs(1);
Variable:
StdDevChange(0),
UpLevel(0),
DownLevel(0);
StdDevChange = StdDev(PercChange, 20);
UpLevel = Close * (1 + AvgPercChange + StDevs * StdDevChange);
DownLevel = Close * (1 + AvgPercChange - StDevs * StdDevChange);
Plot2[-1](UpLevel,"");
Plot3[-1](DownLevel,"");



Type : Indicator, Name : HighPercChange



{Percentage Change Between Yesterday’s Closing Price and Today’s High}

HighPercChange = (High - Close[1])/Close[1];



Type : Indicator, Name : 20-day Price Point MA


Input:
VSStd(1);
Vars:
SumVS(0),
AvgVS(0),
DiffVS(0),
StdVS(0),
SetArr(0),
SumArr(0),
DiffArr(0),
VSLow(0),
VSMid(0),
VSHigh(0);

{First we define the array}

Array: VS[20](0);

{Then we're using a loop function to fill it with the different price changes}

For SetArr = 0 To 4 Begin
VS[SetArr * 4 + 0] = (O[SetArr] - C[SetArr + 1]) / C[SetArr + 1];
VS[SetArr * 4 + 1] = (H[SetArr] - C[SetArr + 1]) / C[SetArr + 1];
VS[SetArr * 4 + 2] = (L[SetArr] - C[SetArr + 1]) / C[SetArr + 1];
VS[SetArr * 4 + 3] = (C[SetArr] - C[SetArr + 1]) / C[SetArr + 1];
End;

For SumArr = 0 To 19 Begin

If SumArr = 0 Then
SumVS = 0;
SumVS = SumVS + VS[SumArr];

If SumArr = 19 Then
{Here we calculate the average price change over the period}
AvgVS = SumVS / 20;

For DiffArr = 0 To 19 Begin

If DiffArr = 0 Then
DiffVS = 0;
{Then we calculate the standard deviation}
DiffVS = DiffVS + Square(VS[DiffArr] - AvgVS);
If DiffArr = 19 Then
StdVS = SquareRoot(DiffVS / 20);

End;

End;

{Finally, we add the moving average (and the standard deviations) to the latest close for an indication of tomorrow'âs trading range}

VSLow = C * (1 + (AvgVS - StdVS * VSStd));
VSMid = C * (1 + AvgVS);
VSHigh = C * (1 + (AvgVS + StdVS * VSStd));

Plot1[-1](VSLow, "VS Low");
Plot2[-1](VSMid, "VS Mid");
Plot3[-1](VSHigh, "VS High");