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Lotus
Posts:4
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| 11-19-2009 4:43 PM |
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I translated the AdaptiveMovAvg function from TradeStation with the migration tool and although the syntax check came out ok, the results are different from what TradeStation gives me on the same data (exported from TradeStation). For example, in TradesStation on a Daily TF.D bar for 9/18/09, the value was 561.42, while in TradersStudio I got a value of 589.03.
Would someone either post a correct Adaptive Moving Average function or indicator or help me figure out what is wrong with this code?
'Kaufman's Adaptive Moving Average
Function AMA(Price As BarArray, EffRatioLength, FastAvgLength, SlowAvgLength) As BarArray
Dim NetChg
Dim TotChg
Dim EffRatio
Dim ScaledSFSqr
Dim SlowAvgSF
Dim FastAvgSF
Dim SFDiff As BarArray
If BarNumber=FirstBar Then
NetChg = 0
TotChg = 0
EffRatio = 0
ScaledSFSqr = 0
SlowAvgSF = 2/SlowAvgLength+1
FastAvgSF = 2/FastAvgLength+1
SFDiff = FastAvgSF-SlowAvgSF
End If
'this input assumed to be a constant >= 1
'Eff = Efficiency
'Eff = Efficiency, SF = Smoothing Factor
If CurrentBar = 1 Then
AMA = Price
Else
NetChg = Abs(Price - Price[ EffRatioLength ])
TotChg = Summation(Abs(Price - PriceΏ]), EffRatioLength)
If TotChg > 0 Then
EffRatio = NetChg / TotChg
Else
EffRatio = 0
End If
'note that EffRatio is somewhat similar to RSI
ScaledSFSqr = Sqr(SlowAvgSF + EffRatio * SFDiff)
AMA = AMAΏ] + ScaledSFSqr * (Price - AMAΏ])
End If
End Function
I plotted it with the following indicator code:
Sub AMA_Plot(EffRatioLength as integer, FastAvgLength as integer, SlowAvgLength as integer)
Dim MyAMA
MyAMA = AMA(Close, EffRatioLength, FastAvgLength, SlowAvgLength)
Plot1(MyAMA)
end sub
Thanks!
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murray
Posts:519
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| 11-19-2009 5:27 PM |
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Dim NetChg as bararray
Dim TotChg as bararray
Dim EffRatio as barrray
Dim ScaledSFSqr As BarArray
Dim SlowAvgSF As BarArray
Dim FastAvgSF As BarArray
Dim SFDiff As BarArray
Try this change, make them all bararrays.
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Lotus
Posts:4
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| 11-19-2009 6:02 PM |
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| No, that didn't help. I tried that and making them each BarArrays one by one, but the values were still messed up. |
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Lotus
Posts:4
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| 11-20-2009 6:31 PM |
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I got it working!
I went line by line and checked the calculations. There were several problems:
1) Varibles declared with calculations lost there parentheses in translation
SlowAvgSF( 2 / ( SlowAvgLength + 1 ) ),
FastAvgSF( 2 / ( FastAvgLength + 1 ) ),
became SlowAvgSF = 2 / SlowAvgLength + 1
and FastAvgSF = 2 / FastAvgLength + 1
2) These statements had to come out of the If BarNumber=FirstBar Then loop
SlowAvgSF = 2/(SlowAvgLength+1)
FastAvgSF = 2/(FastAvgLength+1)
SFDiff = FastAvgSF-SlowAvgSF
3) Lastly, the TradeStation function Square does not have a corresponding function in TradersStudio Basic and I mistakenly used Sqr instead.
So, here is the working code for anyone who would like to use it:
'Kaufman's Adaptive Moving Average
Function AMA( EffRatioLength as Integer, FastAvgLength as Integer, SlowAvgLength as Integer) As BarArray
Dim NetChg As Double
Dim TotChg As Double
Dim EffRatio As BarArray
Dim ScaledSFSqr As Double
Dim SlowAvgSF As Double
Dim FastAvgSF As Double
Dim SFDiff As Double
Dim Price As BarArray
Price = Input1
If BarNumber=FirstBar Then
NetChg = 0
TotChg = 0
EffRatio = 0
ScaledSFSqr = 0
End If
SlowAvgSF = 2/(SlowAvgLength+1)
FastAvgSF = 2/(FastAvgLength+1)
SFDiff = FastAvgSF-SlowAvgSF
'this input assumed to be a constant >= 1
'Eff = Efficiency
'Eff = Efficiency, SF = Smoothing Factor
If CurrentBar = 1 Then
AMA = Price
Else
NetChg = Abs(Price - Price[ EffRatioLength ])
TotChg = Summation(Abs(Price - PriceΏ]), EffRatioLength)
If TotChg > 0 Then
EffRatio = NetChg / TotChg
Else
EffRatio = 0
End If
'note that EffRatio is somewhat similar to RSI
ScaledSFSqr = (SlowAvgSF + EffRatio * SFDiff)^2
AMA = AMAΏ] + ScaledSFSqr * (Price - AMAΏ])
End If
End Function
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quest
Posts:20
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| 11-23-2009 1:00 PM |
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| Call the code from a session and then step through it in debug mode. All should be revealed. |
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