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Re: Market Meanness Index
[Re: GPEngine]
#450578
04/18/15 17:34
04/18/15 17:34
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Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin
User
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User
Joined: Dec 2013
Posts: 568
Fuerth, DE
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Then I think in a wrong direction, okay I will try it once again, anytime. Meanwhile a more practical question: in the example begin of this thread jcl calculated: vars Trend = series(LowPass(Price,500));
vars Meanness = series(MMI(Price,200));
vars Filter = series(LowPass(Meanness,500)); Is there a relationship between the 500 periods of the LowPass-Filter for the price defining the trend, the 200 of the Meanness and the 500 for smoothing the Meaness? Is there a 'universal' ratio or is it rather a matter of optimization? Thanks, Sphin
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Re: Market Meanness Index
[Re: jcl]
#453204
07/11/15 21:29
07/11/15 21:29
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Joined: Nov 2013
Posts: 123
Mithrandir77
Member
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Member
Joined: Nov 2013
Posts: 123
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Hi jcl, I noticed that in include.c the code for MMI is:
var MMI(var* Data,int TimePeriod)
{
TimePeriod = Min(TimePeriod,1000);
var m = Median(Data,TimePeriod);
TimePeriod = Min(TimePeriod,g->nBar);
if(TimePeriod <= 2) return 75;
int i, nh=0, nl=0;
for(i=1; i<TimePeriod; i++) {
if(Data[i] > m && Data[i] > Data[i-1])
nl++;
else if(Data[i] < m && Data[i] < Data[i-1])
nh++;
}
return 100.*(nl+nh)/(TimePeriod-1);
}
Why are these lines added? TimePeriod = Min(TimePeriod,1000); TimePeriod = Min(TimePeriod,g->nBar); if(TimePeriod <= 2) return 75;
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Re: Market Meanness Index
[Re: Mithrandir77]
#454913
09/29/15 09:05
09/29/15 09:05
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Joined: Jul 2013
Posts: 75
royal
Junior Member
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Junior Member
Joined: Jul 2013
Posts: 75
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I have a few questions concerning the MMIPeriod:
1. In the forum you use 200 and 500 as periods, in the manual 300 and 500 and in the financial hacker blog an optimized value (200-500) which is the same for both.
As Sphin already asked is there a 'universal' ratio or is it rather a matter of optimization?
2. When I want to use the MMI with daily bars, should I also use the 200-500 range, or should I break it down to 8-21? (~200/24-500/24)
Last edited by royal; 09/29/15 09:05.
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