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I see that the
1st line got miscopied.
Bob
<SPAN
class=931400100-27042003>
Len = 14; ef = 2/(Len+1);
DEMA1 = 2 * <FONT
color=#0000ff>EMA( C, len ) - EMA(
EMA( C, len ), Len );
DEMA2 = 2*<FONT
color=#0000ff>AMA(C,ef) -AMA(<FONT
color=#0000ff>AMA(C,ef),ef);
Plot<FONT color=#000080
size=2>(1.01*DEMA(C,Len),"D",<SPAN
class=218500120-26042003>4,4);
Plot(DEMA1,"D1",5,4);<FONT
color=#0000ff>
Plot<FONT color=#000080
size=2>(DEMA2,"D2",5,4);
<FONT face=Tahoma
size=2>-----Original Message-----From: Bob Jagow
[mailto:bjagow@xxxxxxxxxxx]Sent: Saturday, April 26, 2003 2:00
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Built-in DEMA questions
<FONT face=Arial color=#000080
size=2>Dimitris,
<SPAN
class=218500120-26042003>I'd earlier noticed that EMA is
empty prior to Len, so was going to
suggest that you formulate a custom DEMA in terms of AMA, which differs from
EMA in starting at Bar1.
<SPAN
class=218500120-26042003><FONT
color=#000080>Turns out, as your
example shows, that DEMA has no lag;
this <FONT
color=#000080>is because
DEMA uses AMA [i.e., the docs are
wrong].
<SPAN
class=218500120-26042003>
<SPAN
class=218500120-26042003>Bob
<SPAN
class=218500120-26042003>-----<FONT
color=#000080>
2<FONT face=Arial
size=2> * EMA( C, len ) - EMA( EMA( C, len ), Len
);
DEMA1 = 2 *
EMA( C, len ) - <FONT
color=#0000ff>EMA( EMA( C, len ), Len
);
DEMA2 = 2*<FONT
color=#0000ff>AMA(C,ef) -AMA(<FONT
color=#0000ff>AMA(C,ef),ef);
Plot<FONT face=Arial
size=2>(1.<SPAN
class=218500120-26042003>01*DEMA(C,Len),"D",<SPAN
class=218500120-26042003>4,4);
<FONT face=Arial color=#000080
size=2>Plot(DEMA1,"D1",5,4);
Plot<FONT face=Arial
size=2>(DEMA2,"D2",5,4);
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Saturday, April 26, 2003 5:14
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Built-in DEMA questions
Some things should be explained about DEMA and its
expected behavior:Let us use a fast DEMA [green line, period=10] and a
slow one [yellow line, period=10]A third, variable period DEMA [the
black thicker line], uses the fast period and, suddenly, 200 bars ago,
changes to slow.The result will immediately leave the green curve, but
asymptotically touch the yellow one. It will not be a real 50-bar DEMA,
even after 200 bars.Note that all this 200-bar period the variable DEMA
stays higher than the slow one. [above gif]To answer my [obvious]
questions, I search the available reference [instead of leaving my
imagination to fly around].The explanatory note via <A
href="">http://groups.yahoo.com/group/amibroker/message/38844
sends me to <A
href="">http://www.amibroker.com/guide/afl/afl_view.php?name=DEMAwhere
I read the comment
DEMA internally is implemented via
EMA:Len=10;Graph0= 2 * EMA( C, len ) - EMA( EMA( C, len ), Len
);// for comparison onlyGraph1=DEMA(C,Len);
Some more explanations should be added
because:a. The built-in DEMA
begins from the first bar and the analytic EMA equivalent begins 400 bars
later. How the built-in DEMA is defined for the first 400 bars ?
[The question holds for IB and AA, see the simple
exploration
Len=200;G0= 2 * EMA( C, len ) - EMA( EMA( C, len ),
Len );G1=DEMA(C,Len);Filter=1;AddColumn(G0,"ANALYTIC
DEMA");AddColumn(G1,"DEMA");AddColumn(Cum(1),"BARS",1.0);
and the att. gif]
b. Should we
expect a 2*Len delayed response when variable periods is used
?c. My CSCO history is 831
bars [Jan3, 2000 till now]. The Graph0= 2 * EMA( C, len ) - EMA( EMA( C,
len ), Len );begins on Aug2, 2001.c1.Can
we speak for a proper function use back in the critical Oct2, 2001 CSCO
low?The built-in DEMA is 11.53 and the EMA equivalent is 9.08
!!!!!c2.After how many bars the two formulas
are less than 1% diverging ?
Built-in DEMA is, IMO, one of the most powerful AFL
tools, its use in trading systems design gives excellent resultsand this
is accurately translated to interesting profits. To avoid any
misunderstanding [the recent winds are S to SW, not that healthy...]my
questions do not search for built-in functions secrets, it would be useless
to me.
Just a better explanation to understandthe
expected DEMA behavior would encourage users/traders to step
into this great function. 5-10 lines would be more than enough, no need
for 1000+ pages.Thank you in advance for any reply.Dimitris
TsokakisSend BUG REPORTS to
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