VIDYA.efs EFSLibrary - Discussion Board
File Name: VIDYA.efs
Description:
Indicator - VIDYA (StdDev)
Formula Parameters:
Length: 21
Price: Close
Alpha: 0.02
Notes:
This indicator plots volatility adjusted length exponential MA based
on standard deviation of prices as a measure of volatility. It is dynamic,
not static indicator: a variable-length moving average, which adapts to the
volatility in question by exponentially smoothing data based on standard deviation.
Download File:
VIDYA.efs
EFS Code:
/*********************************Provided By: eSignal (Copyright c eSignal),
a division of Interactive Data Corporation. 2008. 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:
Indicator - VIDYA (StdDev) Version: 1.0 09/26/2008Notes:
This indicator plots volatility adjusted length exponential MA based
on standard deviation of prices as a measure of volatility. It is dynamic,
not static indicator: a variable-length moving average,
which adapts to the volatility in question by exponentially smoothing data
based on standard deviation. Formula Parameters:
Default: Length 21 Price Close Alpha 0.02**********************************/
var fpArray = new Array();
var bInit = false;
function preMain() {
setPriceStudy(true);
setStudyTitle("VIDYA (StdDev)");
setCursorLabelName("VIDYA");
var x = 0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with (fpArray[x++]) {
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING);
with (fpArray[x++]) {
setName("Price Data To Use");
addOption("open");
addOption("high");
addOption("low");
addOption("close");
addOption("hl2");
addOption("hlc3");
addOption("ohlc4");
setDefault("close");
}
fpArray[x] = new FunctionParameter("Alpha", FunctionParameter.NUMBER);
with (fpArray[x++]) {
setLowerLimit(0.01);
setDefault(0.2);
}
}
var xMyPrice = null;
var xStdDev = null;
var xStdDevAvg = null;
function main(Alpha, Price, Length) {
var nState = getBarState();
var nRef = ref(-1);
var nStdDevVidya = 0;
var nStdDev = 0;
var nStdDevAvg = 0;
var nPrice = 0;
var nResult = 0;
var nBarCount = getCurrentBarCount();
if (nState == BARSTATE_ALLBARS) {
if (Alpha == null) Alpha = 0.2;
if (Price == null) Price = "close";
if (Length == null) Length = 20;
}
if (bInit == false) {
xMyPrice = eval(Price)();
xStdDev = efsInternal("StdDev", xMyPrice, Length);
xStdDevAvg = sma(Length, xStdDev);
bInit = true;
}
if (nRef == null) nRef = 1;
nStdDev = xStdDev.getValue(0);
nStdDevAvg = xStdDevAvg.getValue(0);
nPrice = xMyPrice.getValue(0);
if (nBarCount > Length)
nStdDevVidya =
Alpha * (nStdDev / nStdDevAvg) * nPrice +
(1 - Alpha * (nStdDev / nStdDevAvg)) * nRef;
else if (nBarCount == Length) nStdDevVidya = nPrice;
else return;
return nStdDevVidya;
}
function StdDev(DataArray, Period) {
var sum = 0;
var avg = 0;
var res = 0;
if (getCurrentBarCount() < Period) return DataArray.getValue(0);
for (var barsBack = Period - 1; barsBack >= 0; barsBack--) {
sum += DataArray.getValue(barsBack * -1);
}
avg = sum / Period;
sum = 0;
for (var barsBack = Period - 1; barsBack >= 0; barsBack--) {
sum +=
(DataArray.getValue(barsBack * -1) - avg) *
(DataArray.getValue(barsBack * -1) - avg);
}
res = Math.sqrt(sum / Period);
return res;
}