CMOfilt.efs <ик> EFSLibrary - Discussion Board
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)); }