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VIMA by R.G. Boomer
R.G. Boomers' variable-interval moving average, or VIMA, described elsewhere in this issue, can be implemented as a function-cum-indicator pair in TradeStation's EasyLanguage as shown here. The function VimaLength returns the recommended length for the simple average at the current bar, given the set of difference intervals to use, the amount of history to consider, and the lengths of the pair of bracketing averages.

The indicator VIMA provides the actual values of the inputs for the VimaLength function and plots the variable interval moving average based on the dynamically changing average length, or interval, from bar to bar. Default values for the inputs are included in the indicator and can be edited by the user at the time the indicator is applied to a chart.

Instead of an indicator, the VimaLength function could also be called by a user-created trading strategy with similar inputs. TradeStation's backtesting engine could then be used to not only quickly find the best pair of averages to use, but to optimize the other two inputs as well.

The code for both the function and the indicator will be available for download at www.tradestation.com. Look for the file VIMA.ELS.


Type : Function, Name : VIMALength

inputs:
MaxLength1(numericsimple),
{"interval" will vary from 2 days to (MaxLength1 + 1)
days; equivalently, Length1 below will vary from 1 day to MaxLength1 days}

Length2(numericsimple),
{number of historical RESULTS to consider for each max/min calculation;
actual number of historical data points used may be more than this}

ShortestVIMALength(numericsimple),
LongestVIMALength(numericsimple);

variables:
VIMAOsc( 0 ),
Length1( 0 ),
MaxDiff( 0 ),
MinDiff( 0 ),
NormDiff( 0 ),
VIMAOscMax( 0 ),
VIMAOscMin( 0 ),
VIMAOscNorm( 0 ),
VIMALengthRange(LongestVIMALength - ShortestVIMALength);

VIMAOsc = 0;
for Length1 = 1 to MaxLength1
begin
MaxDiff = Highest(Close - Close[Length1], Length2);
MinDiff = Lowest(Close - Close[Length1], Length2);
NormDiff = (Close - Close[Length1] - MinDiff) / (MaxDiff - MinDiff);
VIMAOsc = VIMAOsc + NormDiff;
end;

VIMAOscMax = Highest(VIMAOsc, Length2);
VIMAOscMin = Lowest(VIMAOsc, Length2);
VIMAOscNorm = (VIMAOsc - VIMAOscMin) / (VIMAOscMax - VIMAOscMin);
VIMALength = ShortestVIMALength + Round(VIMAOscNorm * VIMALengthRange, 0);

 


Type : Indicator, Name : VIMA

inputs:
MaxLength1( 3 ),
Length2( 20 ),
ShortestVIMALength( 3 ),
LongestVIMALength( 6 );

variables:
CurrentVIMALength( 0 );

CurrentVIMALength = VIMALength( MaxLength1, Length2,
ShortestVIMALength, LongestVIMALength);

Plot1(Average(Close, CurrentVIMALength));

 
t-i-VIMA.gif
--Ramesh Dhingra, Product Manager, EasyLanguage

TradeStation Technologies, Inc.
(formerly Omega Research, Inc.)

A wholly owned subsidiary of TradeStation Group, Inc.
http://www.TradeStation.com
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