Impulse

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Posted: 16 May 2010 at 3:42pm

Here is the Rate of Change indicator for it.

[Description="Rate of Change of EMA"]

EMA := input("EMA period", 13, 1, 40);

[color=lime green]

roc(ma(C,EMA,E),1,%) * (0.0048*EMA) * Close;

[color=gray]

Edited by maximo - 16 May 2010 at 4:48pm

maximo

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Joined: 02 Sep 2006
Location: Australia
Posts: 232

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Posted: 16 May 2010 at 5:20pm

{ MACD indicator with histogram }

[description="One of the simplest and most reliable indicators, MACD uses 2 moving averages.

compares two moving averages of prices, with 9 day Exponential Moving average as a signal."]

[target=Default; category=Moving Average; dp=4]

[horzline=0]

n1 := input("Short moving average",12,1);

n2 := input("Long moving average",26,1);

ns := input("Signal periods",9,1);

{Note: The true MACD is not quite a 12 & 26 exponential moving average }

r1 := 2/(n1+1);

r2 := 2/(n2+1);

ma12 := C*r1 + previous(C)*(1-r1);

ma26 := C*r2 + previous(C)*(1-r2);

res := wait(ma12 - ma26,25);

signal := ma(res,ns,E);

[Name=MACD; color=dodger blue]

res;

[name=Signal; linestyle=solid; color=red]

signal;

[Name=Histogram; linestyle=Histogram; color=black]

histogram:=res - signal;

histogram;

Bana

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Posted: 16 May 2010 at 9:58pm

Maximo, I really appreciate the great effort you have put above. But we are not there yet

I promised the mathematical representation, so here it goes - Below is the weekly data of XKO - last 6 weeks shown and 1 future forecast (last line).

Date	Close	MACD12	MACDH	IMPULSE	MMT%
20100406	4,941.100	4,796.637	6.280	Bullish	0.83%
20100412	4,978.300	4,824.585	10.488	Bullish	0.75%
20100419	4,877.200	4,832.680	5.214	Neutral	-2.03%
20100427	4,802.000	4,827.960	-4.086	Bearish	-1.54%
20100503	4,474.600	4,773.597	-31.507	Bearish	-6.82%
20100510	4,605.900	4,747.797	-39.503	Bearish	2.93%
FORECAST
20100510	4,663.760	4,734.869	-39.502	Neutral	1.26%

I have calculated the weekly values of 12 period EMA, the MACDH (12,26,9) and the impulse, on a spreadsheet. The last column shows the price % move for the week. I have cross-checked all values against bullcharts to ensure they are accurate.

Say I want to trade on the long side but rules dont allow me to enter when impluse is bearish. The impulse for last week (20100510) is bearish and the MACDH value is -39.503.

For the impulse to stop being bearish, the MACDH has to reverse direction by at least 1 point (primary condition). I want to know at what minimum price this will happen. Since MACDH is a direct derivation of price, I should be able to forecast this with mathematical precision. Microsoft excel has a great function called "goal seek". I used this function to derive value of -39.502 for MACDH , by recalculating the price. It popped the answer = 4663.760.

At this price the MACDH will have risen by at least 1 point, thus terminating the bearish condition (so as to speak in terms of the indicator). Whether the impulse will become neutral or bullish, is secondary because my key concern is cessation of bearish impluse.

Now if i were to trade this under impulse system, I know I have to wait for the price to rise 1.26% to at least 4663.76 to go long.

Based on the spreadsheet formulas, the forecast 12 period EMA on this price is also calculated (secondary condition). Now I can determine that at a close of 4663.76 would EMA rise or decline. In this case, the answer is 'decline', so the forecast impluse is neutral.

Can this be achieved in bullscript?

cheers

Bana

PS: please substitute 'price' with 'close' when reading the above.

Edited by Bana - 17 May 2010 at 9:51am

maximo

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Joined: 02 Sep 2006
Location: Australia
Posts: 232

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Posted: 18 May 2010 at 5:44am

Here's a MACDH on price indicator to see where price must close in order to maintain or change impulse.

[target=price]

[description=MACDH impulse on price, Max]

[color=dodger blue; category=Momentum; linestyle=solid]

mdha := ((ma(C,12,E)-ma(C,26,E)) - ma(ma(C,12,E)-ma(C,26,E),9,E));

[color=dodger blue]

if(C<100,C - ((mdha-ref(mdha,-1))*0.48*C),if(C<1000,C - ((mdha-ref(mdha,-1))*0.048*C),C - ((mdha-ref(mdha,-1))*0.0018*C)));

This is the oscillator of the above to measure how much the price must change in dollars & cents or points in order to maintain or change impulse.

[description=MACDH impulse point change, Max]

[color=dodger blue; category=Momentum; linestyle=solid]

mdm := ((ma(C,12,E)-ma(C,26,E)) - ma(ma(C,12,E)-ma(C,26,E),9,E));

[color=indian red]

if(C<100,(mdm-ref(mdm,-1))*0.48*C,if(C<1000,(mdm-ref(mdm,-1))*0.048*C,(mdm-ref(mdm,-1))*0.0018*C));

[color=gray]

Edited by maximo - 18 May 2010 at 8:15pm

Bana

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Posted: 18 May 2010 at 4:22pm

Its definately getting warmer (and the oscillator is cool), but still some piece is missing. I found quite a few instances of impulse change not complying with the above indicator. Some example of different type of impulse changes are:

Non-conforming bars following signal of:

19/04/10 - neutral to bear

08/02/10 - bear to neutral

06/07/09 - bear to bull

16/03/09 - neutral to bull

03/12/07 - bull to bear

I will look through in detail to see if there is anything common in these non-compliant bars.

By the way, what is the purpose of the different % of '48' you have used in above formula?

Edited by Bana - 18 May 2010 at 4:30pm

maximo

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Location: Australia
Posts: 232

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Posted: 18 May 2010 at 7:49pm

I have made an adjustment to those indicators and reposted them. The Change of angle percentage 0.48 value needed to be smaller for indicies for example, XKO. Due to the extra digits of precision required. The number is a factor of change in the angle of the MACD histogram. Rather simple %change without factoring in any momentum. However you'll often see that the line needs to be projected/extended forward from its current angle onto the next future bar. This is where momentum from the previous few bars needs to be accounted for.

Edited by maximo - 18 May 2010 at 10:38pm

Bana

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