CMO Filt

[eSignal]

File Name: CMOfilt.efs

Description:
CMOfilt

Formula Parameters:
Length3 : 9
Filter : 3
TopBand : 70
LowBand : -70


Notes:
This indicator plots a CMO which ignores price changes which are less
than a threshold value. CMO was developed by Tushar Chande. A scientist,
an inventor, and a respected trading system developer, Mr. Chande developed
the CMO to capture what he calls "pure momentum". For more definitive
information on the CMO and other indicators we recommend the book The New
Technical Trader by Tushar Chande and Stanley Kroll.
The CMO is closely related to, yet unique from, other momentum oriented
indicators such as Relative Strength Index, Stochastic, Rate-of-Change, etc.
It is most closely related to Welles Wilder`s RSI, yet it differs in several ways:
- It uses data for both up days and down days in the numerator, thereby directly
measuring momentum;
- The calculations are applied on unsmoothed data. Therefore, short-term extreme
movements in price are not hidden. Once calculated, smoothing can be applied to the
CMO, if desired;
- The scale is bounded between +100 and -100, thereby allowing you to clearly see
changes in net momentum using the 0 level. The bounded scale also allows you to
conveniently compare values across different securities.



Download File:
CMOfilt.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.

Description:        
    CMOfilt 
 
Version:            1.0  03/31/2009

Formula Parameters:                     Default:
    Length3                             9
    Filter                              3
    TopBand                             70
    LowBand                             -70

Notes:
    This indicator plots a CMO which ignores price changes which are less 
    than a threshold value. CMO was developed by Tushar Chande. A scientist, 
    an inventor, and a respected trading system developer, Mr. Chande developed 
    the CMO to capture what he calls "pure momentum". For more definitive 
    information on the CMO and other indicators we recommend the book The New 
    Technical Trader by Tushar Chande and Stanley Kroll.
    The CMO is closely related to, yet unique from, other momentum oriented 
    indicators such as Relative Strength Index, Stochastic, Rate-of-Change, etc. 
    It is most closely related to Welles Wilder`s RSI, yet it differs in several ways:
    - It uses data for both up days and down days in the numerator, thereby directly 
    measuring momentum;
    - The calculations are applied on unsmoothed data. Therefore, short-term extreme 
    movements in price are not hidden. Once calculated, smoothing can be applied to the 
    CMO, if desired;
    - The scale is bounded between +100 and -100, thereby allowing you to clearly see 
    changes in net momentum using the 0 level. The bounded scale also allows you to 
    conveniently compare values across different securities.
**********************************/

var fpArray = new Array();
var bInit = false;

function preMain() {
    setStudyTitle("CMOfilt");
    setCursorLabelName("CMOfilt", 0);
    setDefaultBarFgColor(Color.blue, 0);
    setStudyMax(101);
    setStudyMin(-101);
    var x = 0;
    fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit(1);
        setDefault(9);
    }
    fpArray[x] = new FunctionParameter("Filter", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit(0);
        setDefault(3);
    }
    fpArray[x] = new FunctionParameter("TopBand", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit(1);
        setDefault(70);
    }
    fpArray[x] = new FunctionParameter("LowBand", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit( - 101);
        setDefault( - 70);
    }
}

var xCMOfilt = null;

function main(Length, Filter, TopBand, LowBand) {
    var nBarState = getBarState();
    var nCMOfilt = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if (Length == null) Length = 9;
        if (Filter == null) Filter = 3;
        if (TopBand == null) TopBand = 70;
        if (LowBand == null) LowBand = -70;
    }
    if (bInit == false) {
        xCMOfilt = efsInternal("Calc_CMO", Length, Filter);
        addBand(TopBand, PS_SOLID, 1, Color.red, "TopBand");
        addBand(LowBand, PS_SOLID, 1, Color.green, "LowBand");
        addBand(0, PS_SOLID, 1, Color.grey, "ZeroLine");
        bInit = true;
    }

    nCMOfilt = xCMOfilt.getValue(0);
    if (nCMOfilt == null) {
        return;
    }
    return nCMOfilt;
}

var xSecondInit = false;
var xMOM = null;
var xMOMAbs = null;

function Calc_CMO(nLength, nFilter) {
    var nRes = 0;
    var i = 0;
    var nPrice = 0;
    var nPriceAbs = 0;
    var nSum = 0;
    var naSum = 0;
    if (xSecondInit == false) {
        xMOM = efsInternal("Calc_Price");
        xMOMAbs = getSeries(xMOM, 1);
        xSecondInit = true
    }
    for (i = 0; i < nLength; i++) {
        nPrice = xMOM.getValue( - i);
        nPriceAbs = xMOMAbs.getValue( - i);
        if (nPriceAbs > nFilter) {
            nSum += nPrice;
            naSum += nPriceAbs;
        }
    }
    if (naSum != 0) {
        nRes = 100 * nSum / naSum;
    } else {
        nRes = 0;
    }
    return nRes;
}

var yMOM = null;

function Calc_Price() {
    var nPrice = 0;
    if (yMOM == null) {
        yMOM = mom(1);
    }
    nPrice = yMOM.getValue(0);
    return new Array(nPrice, Math.abs(nPrice));
}