Variable moving average

   I did a study of the CMO, Chande Momentum Oscillator myself (part of VIDYA), after having read Martin J. Pring's book 'Trading Systems Explained - How to build reliable technical systems'  
The CMO is a better oscillator for parcel splitting/scaling out than is RSI.   Due to it factoring in both upward and downward momentum at the same time.  So, it reaches the oversold and overbought regions more consistantly than RSI, but not more frequently.    In that book he explains how to use the oscillator with a simple moving average to profit from both  trending and ranging markets using a single method.    

Here's the CMO with a histogram and average applied to it.

[Description="CMOF - Filtered CMO, Max"]

n:=Input("Length",10,1);

momu:=If(C > Ref(C,-1),C - Ref(C,-1),0);

momd:=If(C < Ref(C,-1),Ref(C,-1) - C,0);

Momup:=momu / (1.75*Stdev(Abs(Typ()),n))*125;

Momdn:=momd / (1.75*Stdev(Abs(Typ()),n))*125;

CMOF:=100*((Sum(Momup,n)-Sum(Momdn,n))/(Sum(Momup,n)+Sum(Momdn,n)));

[color=blue; width=2]

CMOF; 
[linestyle=solid; color=gold]

Sig:=Ma(CMOF,10,S);

Sig;
[Name=Histogram; linestyle=Histogram; color=crimson]

hst:=CMOF - Sig;
if(ma(hst,3) < ref(ma(hst,3),-1),hst,undefined);

[color=lime green]

if(ma(hst,3) > ref(ma(hst,3),-1),hst,undefined);

Edited by maximo - 27 Mar 2009 at 1:43pm

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maximo Members Profile Send Private Message Find Members Posts Add to Buddy List BullCharts Guru Joined: 02 Sep 2006 Location: Australia Posts: 232	Post Options Post Reply Quote maximo Report Post Quote Reply Topic: Variable moving average Posted: 27 Mar 2009 at 1:12pm
	I did a study of the CMO, Chande Momentum Oscillator myself (part of VIDYA), after having read Martin J. Pring's book 'Trading Systems Explained - How to build reliable technical systems' The CMO is a better oscillator for parcel splitting/scaling out than is RSI. Due to it factoring in both upward and downward momentum at the same time. So, it reaches the oversold and overbought regions more consistantly than RSI, but not more frequently. In that book he explains how to use the oscillator with a simple moving average to profit from both trending and ranging markets using a single method. Here's the CMO with a histogram and average applied to it. [Description="CMOF - Filtered CMO, Max"] n:=Input("Length",10,1); momu:=If(C > Ref(C,-1),C - Ref(C,-1),0); momd:=If(C < Ref(C,-1),Ref(C,-1) - C,0); Momup:=momu / (1.75Stdev(Abs(Typ()),n))125; Momdn:=momd / (1.75Stdev(Abs(Typ()),n))125; CMOF:=100*((Sum(Momup,n)-Sum(Momdn,n))/(Sum(Momup,n)+Sum(Momdn,n))); [color=blue; width=2] CMOF; [linestyle=solid; color=gold] Sig:=Ma(CMOF,10,S); Sig; [Name=Histogram; linestyle=Histogram; color=crimson] hst:=CMOF - Sig; if(ma(hst,3) < ref(ma(hst,3),-1),hst,undefined); [color=lime green] if(ma(hst,3) > ref(ma(hst,3),-1),hst,undefined); Edited by maximo - 27 Mar 2009 at 1:43pm

maximo Members Profile Send Private Message Find Members Posts Add to Buddy List BullCharts Guru Joined: 02 Sep 2006 Location: Australia Posts: 232	Post Options Post Reply Quote maximo Report Post Quote Reply Posted: 27 Mar 2009 at 12:41pm
	My guess is the 200 is a maximum value for the indicator and 1 would be the minimum. No need to put limits on our settings :P

jalna Members Profile Send Private Message Find Members Posts Add to Buddy List Regular Joined: 31 Mar 2007 Posts: 95	Post Options Post Reply Quote jalna Report Post Quote Reply Posted: 27 Mar 2009 at 7:31am
	Thanks Maximo yet again. What would we all do without you ? I noticed in the formula that you have left out 200 in the first 2 lines. Was this not needed for the BC formula ?

maximo Members Profile Send Private Message Find Members Posts Add to Buddy List BullCharts Guru Joined: 02 Sep 2006 Location: Australia Posts: 232	Post Options Post Reply Quote maximo Report Post Quote Reply Posted: 27 Mar 2009 at 1:59am
	Sure Jalna, [Description="Tushar Chande's variable-length moving average (VIDYA)"] [target=price; color=Magenta; width=2] Length:=Input("Length",21,1); Smooth:=Input("Smoothing",5,0); AbsCMO:=(Abs(CMO(C,Length)))/100; SC:=2/(Smooth+1); VIDYA:=If(Cum(1)<=(Length+1),C,(SCAbsCMOCLOSE)+(1-(SCAbsCMO))PREV); VIDYA Edited by maximo - 27 Mar 2009 at 2:04am

jalna Members Profile Send Private Message Find Members Posts Add to Buddy List Regular Joined: 31 Mar 2007 Posts: 95	Post Options Post Reply Quote jalna Report Post Quote Reply Posted: 26 Mar 2009 at 10:51am
	Can anyone write the code for this MA by Tushar Chande Vidya 21, 5 This is the MetaStock code for VIDYA 21,5 which applies to the article "Breaking Out Of Price Channels" by Gerald Marisch in the TASC January 1998 edition. Length:=Input("Length",1,200,21); Smooth:=Input("Smoothing",1,200,5); AbsCMO:=(Abs(CMO(C,Length)))/100; SC:=2/(Smooth+1); VIDYA:=If(Cum(1)<=(Length+1),C,(SCAbsCMOCLOSE)+(1-(SCAbsCMO))PREV); VIDYA

Variable moving average

Vidya 21, 5