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Jim Dean

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Subject : RE: month time frame
Posted : 1/1/2011 8:51 AM
Post #22640 - In reply to #22629

Forumula for unsmoothed stochastic is simple:
(C - LowestLow) / (HighestHigh-LowestLow) * 100

This is easy to convert to weekly equivalent, as long as you don't try to smooth it. All you have to do is check the extremes using daily-equivalents of weekly timeframes.

If you want, say, a 9-week window for your stoch calc, then multiply
9 * 5 days/wk = 45 days

So, the scan formula for a 9-week stoch, using Daily data, without smoothing would be:
(C - LLV(45)) / (HHV(45)-LLV(45)) * 100


Now, if you want to do a 3-week Simple Moving average smoothing:
(Cur Wk + Prior Wk + 2ndPrv Wk) / 3

Then you need the weekly stoch values for the two earlier weeks. They are:
Prior Wk = (C[5] - LLV(45)[5]) / (HHV(45)[5]-LLV(45)[5]) * 100
2ndPrv Wk = (C[10] - LLV(45)[10]) / (HHV(45)[10]-LLV(45)[10]) * 100


Combining those into a single formula, the 3-week-smoothed 9-week Stoch is:

( (C - LLV(45)) / (HHV(45)-LLV(45)) * 100 +
(C[5] - LLV(45)[5]) / (HHV(45)[5]-LLV(45)[5]) * 100 +
(C[10] - LLV(45)[10]) / (HHV(45)[10]-LLV(45)[10]) * 100 ) / 3


This is fairly accurate ... it uses the "dynamic week" approach, not calendar weeks. And it does not take holidays into account - it pretends that every week is exactly five trading days.

Deleting message 22640 : RE: month time frame


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