HULL’S SYSTEM

HULL'S SYSTEM

Type : Function, Name : jtHMA

Inputs: price(NumericSeries), length(NumericSimple);

Vars: halvedLength(0), sqrRootLength(0);

{
Original equation is:
———————
waverage(2*waverage(close,period/2)-waverage(close,period), SquareRoot(Period)
Implementation below is more efficient with lengthy Weighted Moving Averages.
In addition, the length needs to be converted to an integer value after it is halved and
its square root is obtained in order for this to work with Weighted Moving Averaging
}

if ((ceiling(length / 2) — (length / 2)) <= 0.5) then
halvedLength = ceiling(length / 2)
else
halvedLength = floor(length / 2);

if ((ceiling(SquareRoot(length)) — SquareRoot(length)) <= 0.5) then
sqrRootLength = ceiling(SquareRoot(length))
else
sqrRootLength = floor(SquareRoot(length));

Value1 = 2 * WAverage(price, halvedLength);
Value2 = WAverage(price, length);
Value3 = WAverage((Value1 — Value2), sqrRootLength);

jtHMA = Value3;
Type : System, Name : Hull Moving Average Trading System

inputs: price(Close), jthmaLength( 21 ), upColour(Blue), downColour(Red);

variables: Avg(0), colour(0);

Avg = jthma( price, jthmaLength ) ;

if Avg > Avg[1] then colour = upColour;
if Avg < Avg[1] then colour = downColour;
{buy sell Criteria}

if colour[1] <> colour then
if colour = upColour then
Buy ( «jup» ) next bar at market ;

if colour[1] <> colour then
if colour = downColour then
sell ( «jdn» ) next bar at market ; {original this line is: sell short ( «jdn» ) next bar at market ; }

 

HULL'S SYSTEM

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