The calculation of the Volume Adjusted Moving Average shown in the Metastock Professional Manual as far as I can tell is not how the built-in Metastock Volume Adjusted MA is calculated. Please provide the calculation used.

Thanks

Hi steveg027 (I assume its Steve?)

Welcome to the Forum. I hope we can find the right to answers to your problem.

Can you provide some examples? Some sample data, and how you did you calculations? Simply stating, "its not right" is not really that helpful for us.

How isn't it right? Is it not right all the time, or just on one or two charts? Is one indicator always higher than the other, or lower, or crossing?



wabbit :D

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"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
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Hi Wabbit,

I have an Excel spreadsheet where I did a cut and paste of Price, Volume and the Volume Adjusted Moving Average. Using price and volume I did the 4 steps described in the Metastock manual in Excel. I went one step further and divided by the period (length). This last step put it on a scale with price, but every value seems incorrect. Using a daily chart for Ebay through 6/13/2006 I have a value of 30.39 for a 3 period Volume Adjusted MA, the Excel calculations show 39.37. The chart has 100 bars of data. When I said "its not right" I meant that I don't think the indicator plotted on the chart was calculated with the formula in the manual.

I was able to get ahold of the book by Dick Arms where he talkes about this, but he didn't provide detail calculations.

I don't know if I can post the spreadsheet, but will be glad to email it.

Thanks,

Steve

Steve,

Sure I will have a look at your spreadsheet for you.

To attach the .xls file you need to do a full reply (not just a quick reply) to this post. Below the text window is the attachment control panel, with a "button" there to attach a file. Just read and follow the instructions.

I wont promise a speedy reply from me (I am in the middle of exams at the moment (I am having a night off tonight after a HARD exam today #-o )) but someone else might have a peruse in the mean time and come up with the right solution for you.

Any troubles, just shout (or email me the file - see the bottom of this post for my email address, and I will post here for you)



wabbit :D

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
My SkyPE status :
My SkyPE account : wabbit.com.au

Steve, sounds like you are asking a very interesting question and riddle which has been attempted before

http://www.purebytes.com/archives/amibroker/2002/msg01928.html

Hopefully this forum will answer your question.

My advice would be not to take any version of the Volume Adjusted Moving Average (VAMA) for granted as the unequivocal standard - and this definitely applies to MetaStock's version.

Check out the EMA-volume and EMA-volume II indicators from MetaStockTools.com.


jose '-)

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MetaStockTools.com

Steve sent me his spreadsheet and has OK'd me to post it here.

Remember - what we are trying to figure is why the MS built in Volume adjusted MA is not displaying the same results as if Steve uses an Excel spreadsheet to process the information in accordance with the algorithm in the MS Users Manual.



wabbit :D

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
My SkyPE status :
My SkyPE account : wabbit.com.au

To get the ball rolling....

Possible problems:

If the user selected a three period Volume Adjusted MA (VAMA) then why is the plot returning a value on the second bar? In fact, how does MS compute the first bar for the VAMA? Its behaviour is very bizarre?

A 1-period VAMA starts on bar 6
A 2-period VAMA starts on bar 10
A 3-period VAMA starts on bar 11
A 4-period VAMA starts on bar 14
(ASX: FGL daily)

Another source of problems is MS inability to accurately perform large number computations. MS has rounding issues with numbers above (some threshold near) 10,000,000 or there-abouts, Excel doesn't. So with volumes between 5 and 55 million - there are bound to be some issues?

Can anyone shed light on any more reasons why Steve's results might not be the same as MS. I am confident he has implemented the MS Users Manual algorithm correctly.

Has anyone coded this externally from MS for comparison?




wabbit :D

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
My SkyPE status :
My SkyPE account : wabbit.com.au

The following is from the Metastock manual describing the calculation

[list:015e9d12cd]
1. Calculate the average volume using every time period in the chart.

2. Calculate the volume increment by multiplying the average volume by 0.67.

3. Calculate each period’s volume ratio by dividing each period’s actual volume by the volume increment.

4. Starting at the most recent time period and working backwards multiply each periods price by the period’s volume ratio and cumulatively sum these values until the user specified number of volume increments is reached. Note only a fraction of the last period’s volume will likely be used.
[/list:u:015e9d12cd]

Steve

Steve,

More closely aligned is, for a 3 period Volume Weighted MA:

Sum((V*C),3)/Sum(V,3)

but even this is not the same, but its certainly closer than whats in the MS book!

Now, these errors could be introduced through the precision faults I mentioned in an earlier post? The alignment of this indicator to the canned version is better at the left side of the chart than the right.

Also note a better fit is made if the period in the above indicator is double that of the period selected in the MS variant.

In short, I guess we are going to need the original source code from Equis to find out exactly what is going on?!

This one has me stumped for the moment - although I am not thinking too clearly on this at the moment (its exam time - 2 exams to go). I will have another look after exams finish. Hopefully by then, the code cutters will have come to the party and will tell us excatly what MS is doing to this indicator.



wabbit :D

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
My SkyPE status :
My SkyPE account : wabbit.com.au

BTW - is there any difference to you between Volume WEIGHTED Moving Average and Volume ADJUSTED Moving Average?

Anyway... Here's some more reading on the topic:

http://www.linnsoft.com/tour/techind/evwma.htm

http://www.christian-fries.de/evwma/PDF/evwma_intro.pdf

http://www.tradingsolutions.com/downloads/tasc.html (TradeStation Code)

http://www.gummy-stuff.org/VMA.htm

http://www.traders.com/Documentation/FEEDbk_docs/Archive/062001/TradersTips/TradersTips.html

http://www.activetradermag.com/code.htm (More TradeStation stuff)



wabbit :D

---

"The question of whether a computer can think is no more interesting than the question of whether a submarine can swim."
Edsgar W. Dijkstra

 

MS: 6.52 EOD, 7.x EOD, 8.0 PRO, 9.2 PRO w/QC, 10 PRO w/QC & MDK
For custom MetaStock programming : http://www.wabbit.com.au
My SkyPE status :
My SkyPE account : wabbit.com.au