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Momentum Index
> > >From: "Adam Hefner" <vonhef@xxxxxxxxxxxx>
> > >Reply-To: metastock@xxxxxxxxxxxxx
> > >To: <metastock@xxxxxxxxxxxxx>
> > >Subject: boll01.html
> > >Date: Fri, 10 Nov 2000 07:41:30 -0600
> > >
> > >Here is a link to some research I found interesting.
> > >
> > > http://orion.neiu.edu/~agkanali/Research/boll01.html
> > ><< boll01.html.url >>


> ----- Original Message -----
> From: j seed <jseed_10@xxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Sunday, November 12, 2000 7:16 AM
> Subject: Re: boll01.html
>
>
> > Adam,
> > Any idea what the flexible system is?
> >
> > J.


> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Adam Hefner
> Gesendet am: Sonntag, 12. November 2000 15:22
> An: metastock@xxxxxxxxxxxxx
> Betreff: Re: boll01.html
>
> J.,
>
> Below is some of the information that describes the system:

Designing a Flexible-Parameter Bollinger Band System:
Since the pivot point and stop-setting process in the flexible-parameterapproach is based on the directionality of the market, we begin by introducing an index of marketmomentum or directionality over the past n periods as defined by Chande and Kroll (1994) and given below:

Total"Up" days - Total "Down" days
Momentum index = -------------------------------------------------------------------
Total"Up" days + Total "Down" days

A higher close today as compared to yesterday results in an "Up" day. Conversely, a lower close today as compared to yesterday resultsin a "Down" day. The sum of all "Up" days ("Down" days) over the past n periods gives us the total "Up" days ("Down" days) in the above formula. The momentum index as defined above ranges anywhere from +1 (a perfect uptrend, as in case of data set 1) to -1 (a perfect down trend). A value closeto zero implies a lack of directionality in the market.

In an up-trending market, when the momentumindex is positive, the pivot point of the current trend ought to be higher than the movingaverage, somewhere near the high end of the trading range (Ruggiero 1996; Ruggiero 1998). This will allow for a faster reversal from a buy to a sell, whenthe up trend reverses. Accordingly, a flexible pivot point is defined asthe n period moving average of prices plus some fraction of the differencebetween the n period highest price and the n period moving average. The fractionin question is given by the current n period momentum of the market. Therefore, the stronger the directionality of the up trend, the closer the pivotpoint is to the highest high over the past n periods. The formula for thenperiod flexible pivot in an up trending market, when the momentum is positive,is as under:

Flexible pivot = Moving Average + Momentum * (Highest High - Moving Average).

> Should be able to recreate this......but I havn't taken the time to try yet!
> Adam Hefner

AW: boll01.html

· To: <metastock@xxxxxxxxxxxxx>
· Subject: AW: boll01.html
· From: "Andreas Grau" <agrau@xxxxxxxxxxxxxxxxxxxx>
· Date: Mon, 13 Nov 2000 08:36:12 +0100
· Importance: Normal
· In-Reply-To: <005501c04cb3$e2141dc0$0200a8c0@xxxxxx>
· Reply-To: metastock@xxxxxxxxxxxxx
· Sender: owner-metastock@xxxxxxxxxxxxx

Hello List,

below is what I believe is the Flexible Pivot with Upper and Lower band as described in the paper. Any improvements are more than welcome.

<SNIP>

Bollinger Band / Flexible Parameter

N:=Input("Lookback Period", 9, 220, 90);
M:=N; {Period used for Momentum Index}
SD:=1.5; {Number of Stdev's around FlexPivot}

MI:= CMO(C ,M ) / 100; { Momentum Index }

MA:= Mov(C, N, S); { Moving Average }

FlxP := If( MI > 0,
{ THEN }
MA + (MI * (HHV(C, M) - MA)),
{ ELSE }
MA + (MI * (MA - LLV(C, M)))
); { ENDIF }

LBand := FlxP - SD * Stdev(INDICATOR, N);
UBand := FlxP + SD * Stdev(INDICATOR, N);

UBand;
FlxP;
LBand;

</SNIP>


Andreas

[23303]

Re: AW: boll01.html

· To: metastock@xxxxxxxxxxxxx
· Subject: Re: AW: boll01.html
· From: "j seed" <jseed_10@xxxxxxxxxxx>
· Date: Mon, 13 Nov 2000 13:37:05 GMT
· Reply-To: metastock@xxxxxxxxxxxxx
· Sender: owner-metastock@xxxxxxxxxxxxx

Andreas,

Nice work! The momentum index is indeed the CMO. Just in case anyone is interested here is the Chande Momentum Oscillator:

Momentum Index

PD:= Input("Lookback Period", 5, 220, 30);
MI:= {Chande Momentum Osc (C,PD)}
((Sum(If(CLOSE,>,Ref(CLOSE,-1), (CLOSE-Ref(CLOSE,-1)),0),pd)) -
(Sum(If(CLOSE,<,Ref(CLOSE,-1), (Ref(CLOSE,-1)- CLOSE),0),pd))) /
((Sum(If(CLOSE,>,Ref(CLOSE,-1), (CLOSE-Ref(CLOSE,-1)),0),pd) +
(Sum(If(CLOSE,<,Ref(CLOSE,-1), (Ref(CLOSE,-1)- CLOSE),0),pd))))*100;
MI;

 

e-w-Momentum_Index.gif
Source / From: TOP
http://purebytes.com/archives/metastock/

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