modified momentum finder ddt-nb.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

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//
//  Formula Name:    Modified Momentum Finder DDT-NB
//  Author/Uploader: Frank Snay 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-01-03 15:34:58
//  Origin:          Modification to Dr. S. Nathan Berger's DDT-NB system, first step (Selection of stocks or funds)
//  Keywords:        Ranking System   Momentum Finder
//  Level:           basic
//  Flags:           exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=147
//  Details URL:     http://www.amibroker.com/library/detail.php?id=147
//
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//
//  A Ranking System for stocks or mutual funds that uses Rate of Change
//  (momentum) for three time frames and Rate of Change of Rate of Change
//  (acceleration) for two time frames. The system uses weighted Rate of
//  Changes with the most recent periods having more weight. Combined with
//  non-weighted acceleration, changes in momentum are detected earlier than
//  with Rate of Change only.
//
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/* Modified Momentum Finder by Frank Snay
   Use to find stocks or mutual funds in First Step of Dr. S. Nathan Berger's
   DDT-NB SYSTEM posted during the final week of 2001.
   Please copy the following formula to the Automatic Analysis window AND
   click on "Explore"*/

/* The description of Dr. Berger's initial routine to "find" the mutual funds
   based upon trying several different time periods, and writing down the results
   for each.  This explore uses three time frames, a user defined Period for
   the longest time frame, and computer derived half and quarter periods of
   the Period.  Several expolres are now reduced to one. 

/* Use any Watch list, use filter, n last days = 1.  
   As I use a select watch list and want results for all stocks, I set the 
   MinChange  to -100%.  User can reset this to any desired level. */
   MinChange = -100  ; /* this is minimum percent change to be filtered */
/* About 8 Trading Weeks for Scan.  User set to desired time */
Period = 40; /* how many bars back */
HalfPeriod = int(.5 + Period/2); // One-half of the period
QuarterPeriod = int(.5 + Period/4);  // One-quarter of the period
ROCPeriod = ROC(Close,Period); //full period rate of change
ROCHalfPeriod = ROC(Close,HalfPeriod);  //Half period rate of change
ROCQuarterPeriod = ROC(Close,QuarterPeriod);  //Quarter period rate of change

/*  Now add the three, weighted for most recent data having most effect 
    This is done by doubling the half, and 4 times the quarter values,
    and dividing the grand total by 3  */
TotalROC = (ROCPeriod + 2*ROCHalfPeriod + 4*ROCQuarterPeriod)/3;

/*  The old physics lessons told us that momentum ( or velocity ) is a rate of
    change per a unit of time.  In this case, closing price per period.  
    The next step is to compute the rate of change of the rate of change.  Back
    to the lessons, this is acceleration.  Acceleration shows the increasing or
    decreasing momentum for a time unit.  To accomplish this, I will take the
    ROCQuarterPeriod today, and subtract the ROCQuarterPeriod a quarter of a
    period ago, ie, ROCQuarterPeriod - ref(ROCQuarterPeriod,-QuarterPeriod).
    I will repeat the process for the ROCHalfPeriod. For ease of
    display, I will call this final result AccTotal and display it before
    TotalROC.  The AccTotal is the TotalROC with the above additivies for 
    acceleration. 
    Very Important - notice how the results based only upon  TotalROC
    are changed by the AccTotal.  The addition of acceleration brings
    the stocks or funds with the latest positive changes in ROC to the top of 
    the list in AccTotal, and if the acceleration is negative, the stock will
    have a lower ranking than with TotalROC.  By themselves per each stock or
    mutual fund, the values in AccTotal and TotalROC mean little - it is ONLY 
    when compared to other stocks or funds that the values take on a meaning. 
    What this means is that the values in AccTotal and TotalROC ARE NOT the 
    expected returns, BUT A RELATIVE RANKING COMPARED TO OTHER STOCKS OR FUNDS.*/
AccTotal = TotalROC + ((ROCHalfPeriod) - Ref(ROCHalfPeriod,-HalfPeriod)) + (ROCQuarterPeriod - Ref(ROCQuarterPeriod,-QuarterPeriod)) ;        

LastBar = Cum(1) == LastValue( Cum(1) );
Filter = ROCPeriod  > MinChange AND LastBar;

NumColumns =5;
Column0 = AccTotal;Column0Name = "AccTotal";Column0Format = 1.2;
Column1 = TotalROC;Column1Name = "TotalROC";Column1Format = 1.2;
Column2 = ROCPeriod;Column2Name = "ROCPeriod";Column2Format = 1.2;
Column3 = ROCHalfPeriod;Column3Name = "ROCHalfPeriod";Column3Format = 1.2;
Column4 = ROCQuarterPeriod;Column4Name = "ROCQuarterPeriod";Column4Format = 1.2;