SVAPO possible?

[jonesenberg]

After a number of searches here and elsewhere, I've not been able to find any hints that the promising SVAPO indicator (as mentioned frequently in S&C) is available or even possible for NT. Any thoughts?

[NinjaTrader_JoshP]

The difficulty with SVAPO is that in the literature it is defined with using a TEMA of period 1.6. Having a period of 1.6 makes no sense in the context of NinjaTrader or even in the context of TEMA. If you decide to disregard that then SVAPO is possible.

[jonesenberg]

According to an email alert, thrunner made an interesting reply to this thread but it's not showing. He also attached 2 files and some code, but none of it is posted.

thrunner: The EMAD indicator you speak of.. is this an interpretation of the entire SVAPO indicator or is it a piece of it? Thanks

[thrunner]

According to an email alert, thrunner made an interesting reply to this thread but it's not showing. He also attached 2 files and some code, but none of it is posted.
thrunner: The EMAD indicator you speak of.. is this an interpretation of the entire SVAPO indicator or is it a piece of it? Thanks

I am sorry, but I deleted the code once I realized it didn't work as intended. NT does not allow non integer (eg double) for dataseries periods (lengths).

The other languages such as EL, MS, AFL do allow non integers, that is why their EMA and TEMA could have decimal inputs.

The other point I was trying to make was that EMA is just an approximation, so that using decimal periods is not completely nonsensical.

Here is the EMA from EL, there were two types of approximation, one the original SmoothingFactor and the current.

{ Exponential average }
inputs: 
 Price( numericseries ), 
 Length( numericsimple ) ; { this input assumed to be a constant >= 1 }
variables: 
 [COLOR=blue]SmoothingFactor( 2 / ( Length + 1 ) ) ; // [/COLOR]
[COLOR=#0000ff]                //original version   SmoothingFactor( 1 / Length ) ;[/COLOR]
if CurrentBar = 1 then
 XAverage = Price
else
 XAverage = XAverage[1] + SmoothingFactor * ( Price - XAverage[1] ) ;

SVAPO could be made to work in NT, you just have to approximate TEMA; I am sure Josh and others already have a close approximation of SVAPO in NT.

[NinjaTrader_JoshP]

Basically it is possible, but it would require tweaking.

[jonesenberg]

Sorry to revive such an old thread, but I came back to it and can't help but wonder how close an approximation we can get to SVAPO by simply rounding the TEMA used up to 2.0?

[NinjaTrader_JoshP]

Interesting question that I am unqualified to answer, but I would imagine it would have large implications depending on how much rounding is done.

[Sylvestro]

The TEMA period input value is divided by 1.6. In MetaStock you can input a non integer value as a period, but it is automatically truncated to the integer value only. The only thing to do is calculate the new period value, ex. 10/1.6 = 6.25, select the integer part = 6 and put that in the TEMA average formula.

[Harry]

The TEMA period input value is divided by 1.6. In MetaStock you can input a non integer value as a period, but it is automatically truncated to the integer value only. The only thing to do is calculate the new period value, ex. 10/1.6 = 6.25, select the integer part = 6 and put that in the TEMA average formula.

You answered to a 6 year old post.

But I cannot leave your statement as it is. An EMA can be calculated from a non integer period, which will just result in a different smoothing factor. The same applies to the TEMA. There is no need to truncate the input value either, but you can perform the TEMA calculations with a non integer period as well.

Just modify the EMA formula (takes less than five minutes) and replace the EMA in the TEMA formula with the modified EMA.

[Sylvestro]

You answered to a 6 year old post.

But I cannot leave your statement as it is. An EMA can be calculated from a non integer period, which will just result in a different smoothing factor. The same applies to the TEMA. There is no need to truncate the input value either, but you can perform the TEMA calculations with a non integer period as well.

Just modify the EMA formula (takes less than five minutes) and replace the EMA in the TEMA formula with the modified EMA.

You should leave the statement as is!
The question is not about the possibility of an average can be calculated on a decimal number, but how it is calculated in the SVAPO indicator. The original SVAPO is written for MetaStock and in MetaStock a decimal result used in an average is automatically truncated to the integer part. So, if you would change it to the decimal value in the SVAPO indicator, you are changing the indicator. You can do that, but then you should mention it.
Even an old post may be interesting for people still trying to apply SVAPO using other platforms…

[Harry]

You should leave the statement as is!
The question is not about the possibility of an average can be calculated on a decimal number, but how it is calculated in the SVAPO indicator. The original SVAPO is written for MetaStock and in MetaStock a decimal result used in an average is automatically truncated to the integer part. So, if you would change it to the decimal value in the SVAPO indicator, you are changing the indicator. You can do that, but then you should mention it.
Even an old post may be interesting for people still trying to apply SVAPO using other platforms…

If it was truncated by MetaTrader, this would not be necessary, if you use a different software package. But you are correct in your evaluation.

I have never tried to code the SVAPO, because it is an oscillator that should only be applied to daily data.