Andrew,
Interesting…thanks.
I’ll look into that.
From:
equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of Andrew Tomlinson
Sent: Wednesday, December 14, 2005
9:26 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock
Group] Hurst
Channel
Andy
Thank you for a very good summary of Hurst-based
techniques.
I agree that fixed-width channels are limiting and
that % and ATR-based
channels both work well. I have also found in some
markets that it is good
to build in the possibility of a different ATR
multiple or % on the upside
and the downside. Upside and downside volatility
are usually different. I
also sometimes use the typical price rather than
close and a bit of
additional ATR smoothing, so a simple version
might be:
P1:=Input("No of bars:",1,500,21);
P2:=Input("ATR multiple",0.5,10,2.5);
P3:=Input("Downside ATR skew",0,2,1.0);
TypPrice:=(O+H+L+C)/4;
MA:=Ref(Mov(TypPrice,P1,TRI),(P1+1)/2);
BTop:=MA+Mov(Ref(P2*ATR(P1),(P1+1)/2),5,S);
BBottom:=MA-Mov(Ref(P2*P3*ATR(P1),(P1+1)/2),5,S);
MA;
BTop;
BBottom;
You can apply a similar concept to %.
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of Andy
Sent: Wednesday, December 14, 2005 4:58 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] Hurst Channel
Wallace,
Here's the code I use for CMA channels. Uses a
triangular MA for extra
smoothing as per Andrew's comments. You can
replace the TRI with S if you
want to use simple MA for comparison. I generally
stick with the fixed
percentage channel.as opposed to Hurst who
advocates a fixed absolute width.
That bit seems slightly illogical to me as a
higher price usually brings
higher absolute volatility. If you plot the fixed
% on a semi-log plot then
you will get a fixed width.
Hope it helps.
Andy
--------------
{Centred MA Envelopes (Triangular)}
{half-span CMA will highlight desired wavelength}
{further 1.5 factor used due to Tri MA double
smoothing}
{odd periods ensure there is a valid centred
reference point.
Achieved by last line of 'P1' code}
{Periods}
P1:=Input("Highlight/Show Wavelength
=",3,10000,31);
X:=Input("NB, contains all cycles with WLth
less than this",0,0,0);
P1:=P1/2;
P1:=round(P1*1.5);
P1:=LastValue(If(Frac(P1/2)=0,P1+1,P1));
{Other Inputs}
Y:=Input("Envelope Width Basis [1]#ATRs [2]%
[3]price",1,3,2);
Z:=Input("Envelope Width",0,1000,0.005);
{moving average}
MA:=Mov(C,P1,TRI);
{envelope width}
X:=If(Y=1,Z*Mov(ATR(1),P1,S),If(Y=2,MA*Z/100,Z));
{envelopes}
EU:=MA+X;
EL:=MA-X;
{Centre Everything}
PC:=LastValue((P1-1)/2);
CMA:=Ref(MA,PC);
CEU:=Ref(EU,PC);
CEL:=Ref(EL,PC);
CMA;CEU;CEL;
----- Original Message -----
From: murusprimus <mailto:sace@xxxxxxx>
To: equismetastock@xxxxxxxxxxxxxxx
Sent: Wednesday, December 14, 2005 4:07 AM
Subject: [EquisMetaStock Group] Hurst Channel
Hi, does anyone have a Hurst Channel formula/s
they would post please.
TIA. Wallace
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