can someone convert this indicator in ProRealCode? I’m having difficulties in translating the median price calculation, but maybe i’m missing something easy here.
Link of the article and how to use this indicator here: http://www.financial-hacker.com/the-market-meanness-index/
var MMI(var *Data,int Length)
{
var m = Median(Data,Length);
int i, nh=0, nl=0;
for(i=1; i<Length; 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)/(Length-1);
}
//@version=2
study(“MMI-Price Changes”)
// Set Inputs
inputLength=input(300)
topband=input(76)
bottomband=input(74)
// Get Average Price Change
mean(price1, price2, length) =>
sum = 0
for i = 0 to length
if price1[i] – price2[i] > 0
sum := sum + (price1[i] – price2[i])
else
sum := sum + (price2[i] – price1[i])
sum / length
// Market Meaness Index Function
MMI(price1,price2, length) =>
m = mean(open,close,inputLength)
nh = 0
nl = 0
for i = 1 to length
if price1[i] – price2[i] > 0
if (price1[i] – price2[i]) > m
if (price1[i] – price2[i]) > (price1[i+1] – price2[i+1])
nl := nl + 1
else
if (price2[i] – price1[i]) < m
if (price2[i] – price1[i]) < (price2[i+1] – price1[i+1])
nh := nh + 1
100 – 100*(nl + nh)/(length – 1)
i’ve tried the code, there’s something that is not working.
The indicator value should be between 0 and 100, because the idea is that if the value > 75 there’s no trend, below 75 is trending.
See the attached image, DAX daily, we have negative value for the indicator, -8000 etc.
It seems that the second part of the formula ret=100–100*(c)/(length –1) is producing a value far high than 100, it should be <= 100.
In particulare, variable C have value of 25000 or more on this instruments. So the problem should rely on the variable C in my opinion, but i don’t found why.
The highest value I got for c is 175 (once) other than that it never went above 100. I saw you called the code [beta]MMI, maybe you changed some line inadvertently.
By the way, since i want to use the MMI in automated strategy, i will leave it plain for now and see if we got some performance improvement in trend following strategy.
to be honest i still can’t say if this is working as expected, since i can’t test the original code from jcl that is in a C variant.
Said that, the code from Gabri seems to produce a reasonable result. I’ve read that jcl smooth the MMI indicator before use it in strategy, look here: http://www.financial-hacker.com/boosting-systems-by-trade-filtering/
So i’ve smoothed it with Supersmoother (taken from the thread you make), but maybe a low pass filter can be used, it seems that jcl used a low pass filter, but since he recall a function i can’t say what’s inside.
This is the code for the smoother MMI that i’ve made:
Another things that i can’t reproduce is the Peak and Valley function, it should be something related to high and low of the period.
In the linked article jcl seems to not consider the value higher or lower 75, but if MMI is lowering or raising. In particular he used the Falling function: DoTrade = falling(MMI_Smooth)
So i suppose that if the MMI is lowering the price should be trending. I’ve made some raw test that did not give good result, but i don’t have a solid automated trend following system, it would be good to use this as a filter to a solid trend following system to see if it can improve it.
I will report the result of further investigation.
.
