Does anyone know if the WEVOMO is available within esignal. I can't seem to find it. I read about this sometime back in a Stks & Commodities article by Stephan Bisse . It is similiar to a moving avg. except it incorporates the magnitude of moves and the volume, and more weight is given to the recent bars, than older ones. Please advise as to where I could find this in esignal?
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heres14u,
Check out this part of the forum
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Hi heres14u,
You are most welcome. I searched as well and was unable to find an efs on this.
I am not familiar with the Stks & Commodities article. If you can post the details or otherwise post a link to the details of the article, someone could code it for the forum.
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Steve....here is what I found with a google search. Still no details extensive enough for coding it. However, I did find it was in the Apr. 2005 issue of Tech Analysis Stks. & Commod.. Perhaps the person that is capable of coding it as an efs would have that issue with the programming code. I think it would be a great addition to esignal's efs library, espec. since it looks to elliminate the notorious lag time of SMAs.
First MOMA. Then VOMOMA. And Now...
Weight + Volume + Move-Adjusted Moving Average: It's WEVOMO!
by Stephan Bisse
Moving averages: I use 'em, you use 'em, we all use 'em, but can they really tell you anything about the future direction of a time series? In this article, the third of a series, we look at minimizing the lag even more using the weighted move- and volume-adjusted moving average.
Moving averages merely give you a view of where a time series has been in the past. So how can it be used as a predictor? The only way is by adding more information into the calculation. But if you do this you have to make sure it is a leading indicator for the time series in question. In other words, changes in the additional information must be correlated to future changes in the time series.
In my February 2005 article, "Visiting MOMA," I adjusted a simple moving average (SMA) by taking each datapoint in the lookback period and weighting it according to the absolute magnitude of the move that preceded it relative to the sum of all of the absolutes in the lookback period. I christened this new moving average MOMA.
In my March 2005 article, "Adding Volume To The Move-Adjusted Moving Average," I further adjusted MOMA by the relative magnitude of the volume of each datapoint in the lookback period to create a double-adjusted moving average, which I christened VOMOMA. The idea behind MOMA is that a strong move in a given direction is a harbinger of the future direction of the market, and therefore weighting an average by the magnitude of the moves between datapoints can produce timelier signals than a standard SMA. The additional step to VOMOMA is based on the logic that large moves accompanied by heavy volume are more significant than those accompanied by light volume. Therefore, a moving average adjusted by both volume and size of move can capture these additional nuances.
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Stephan Bisse - WEVOMO
Originally posted by heres14u
Steve....here is what I found with a google search. Still no details extensive enough for coding it. However, I did find it was in the Apr. 2005 issue of Tech Analysis Stks. & Commod.. Perhaps the person that is capable of coding it as an efs would have that issue with the programming code. I think it would be a great addition to esignal's efs library, espec. since it looks to elliminate the notorious lag time of SMAs.
First MOMA. Then VOMOMA. And Now...
Weight + Volume + Move-Adjusted Moving Average: It's WEVOMO!
by Stephan Bisse
Moving averages: I use 'em, you use 'em, we all use 'em, but can
I also did a search and found 3 months starting in Feb - check out the following
http://www.traders.com/Documentation...sse/Bisse.html also, change the 022005 to 03 and 04...
I'll keep watching to see if someone has put this together in e-signal.
Kirk
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Thanks to both you Kirk, and Steve for your replys. Will checkout both those links. Will also check back here from time to time to see if anyone within esignal has seen this thread and coded these into an efs for everyone. Best to you for your efforts in helping me.
Greg
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Alex,
WOW..I see the date of your post. Gosh, I am a little delayed here in firing off my hearty Thank you!! for all your efforts. I had some computer problems last couple of days and just getting caught up on everything. I am amazed how fast you were able to put these studies together for everyone who is interested. Thank you for monitoring this forum and having such a rapid response time on this one. Cheers~
Greg
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