Sure it's not the EMA but the deviation from the EMA. This can easily be seen by comparing the code in Tension.java with the code in PriceEMA.java. Of course the deviation of the price (or balance) from its EMA can be associated to the velocity of price (or balance). As the EMA tends to be near the price (or balance), a big deviation indicates that velocity must have been high.
The classical definition of rate of change (ROC) however is the quotient of current price and the price of say 7 bars ago (see Elder, Trading for a Living, p. 145). Another measurement for velocity is the stochastic velocity indicator by George Lane and is calculated as K = 100 * (Close-Low) / (High-Low). In PriceVelocity.java you have yet another velocity measurement, namely the difference between a fast and a slow EMA. There exists a Derivative Oscillator developed by Constance Brown but I have not seen the formula and I don't know if it is the same thing as the first derivative. Do you have an algorithm for the first derivative? -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
