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[...] WealthScript can be found in the TASC Traders’ Tips section at the Wealth-Lab.com Wiki site. Figure 1. The Trend Vigor’s ominous corona in June provided a good warning that MSFT’s March-April rally had lost its steam.
Strategy Code Revised: 20090611
Thanks to Wealth-Lab.com user "htg1", the calculation for the Trend variable used for "Trend Vigor" is now correct. Additionally, the starting loop variable was changed from 12 to 51, and DataSeries initializations have been simplified. // WAS:
double Trend [...]
ADX — 2.5%
[...] ADX stands for Average Directional movement Index and is used to measure the overall strength of the trend. The ADX indicator is an average of DX values. The ADX is a component of the Directional Movement System developed by Welles Wilder. This system attempts to measure the strength of price movement in positive and negative direction using the DIPlus and DIMinus indicators along with the ADX. Interpretation
The ADX is an excellent indicator for showing trend strength. The larger its value the stronger the current trend. [...]
[...] bar = obj.GetTradingLoopStartBar(1); bar bar bar > avgMAB bar )
obj.BuyAtMarket(bar+1,"Strong Trend"); if( adx bar > adxMult * adxLow bar && obj.CrossOver(bar, adx, crit) & c bar > avgMAB bar )
obj.BuyAtMarket(bar+1,"Trend"); if( obj.CrossOver(bar, adx, adxTrend) && adx bar bar bar )
obj.ShortAtMarket(bar+1,"Strong Dntrend"); if( adx bar > adxMult * adxLow bar && obj.CrossOver(bar, adx, crit) & c bar bar )
obj.ShortAtMarket(bar+1,"Downtrend");
}
// Workaround to prevent open positions [...]
ROC — 2.1%
[...] to Momentum . It gives a excellent indication of the market participants' commitment to the current trend. When the ROC begins to reverse or turn, it indicates diminishing commitment and a loss of momentum. ROC is a leading or coincidental indicator. Like other momentum indicators, ROC has overbought and oversold zones. These zones are defined by lines that are placed so that ROC spends about 5% of its time within the zones. The lines should be adjusted according to market conditions.
Interpretation In ranging markets, go long after ROC falls below the oversold line [...]
[...] PosSizer implements an interesting money management approach - to vary the trade size depending on current trend. One of the three Wealth-Lab's standard position sizing choices can be taken as the basis (fixed dollar, percent of equity, or max risk percent). Next, enter some percentage increase to apply to trades when they're going in your favor - i.e., for a long position, the size will stay as is in bearish trend, and will be increased accordingly when a bullish trend is detected (and vice versa for short trades). [...]
[...] period to another. It give a excellent indication of the market participants commitment to the current trend. When the momentum begins to slow or turn, it indicates diminishing commitment and a loss of momentum. This indicator is a leading or coincidental indicator. A momentum value above zero indicates that prices are moving up, and below zero moving down. The momentum indicator has overbought and oversold zones. These zones are defined by lines that are placed so the Momentum indicator spends about 5% of its time within the zones. The lines should be adjust according [...]
[...] +1. As an illustration of its application, Mr. Ehlers suggests a straightforward short-term, counter-trend system: Cover short position and go long when Universal Oscillator crosses below zero Sell and go short when Universal Oscillator crosses above zero Since it is really a universal oscillator, the indicator can power up a trend-trading system as easily: Buy when long-term Universal Oscillator crosses above zero Sell when long-term Universal Oscillator crosses below zero Included trading system code implements both approaches. To switch [...]
Traders' Tip text
The moving trend indicator presented by William Rafter in this issue can be implemented in Wealth-Lab through the built-in linear regression indicator. Here, we present a script that displays the 20-day moving trend and a 20-day moving average for comparison. We've also included a simple trading system. The system looks for cases where prices have moved a considerable distance (at least 7%) below the moving trend value. We go long and bet that prices will correct. The system exits using [...]
[...] extended period of time. Use the RSquared indicator with LinearRegSlope to determine if a significant trend is in place. Use RSquared for confirmation of the trend. When RSI, Stochastics, CCI and other momentum indicators are in overbought or oversold regions, look for RSquared to show that no statistical trend is in place before taking a contrary trading position. If trading a trend-following system, such as moving average crossover, you [...]
OBV — 1.4%
[...] depicts the flow of volume into and out of a security. It either confirms the quality of the current trend or warn of an impending reversals. You can often spot divergences between price action and the OBV indicator. For example, if prices make a new high but the move is not accompanied by sufficient volume, OBV will fail to make a new high. Such divergences can be a sign that a trend is nearing completion. Interpretation The actual value of the OBV is unimportant, concentrate on its direction. When both price and OBV are making higher [...]
[...] simple but universal oscillator setups that help get into a position, be it a trade in the direction of trend or a counter-trend opportunity. The author applies Stochastic to Wilder's Directional Oscillator (+DI minus -DI), and uses both to identify the trend. We will not stay far from truth saying that most publications are centered around entries into trades. However, a trading system's success ultimately depends on exits, position sizing, and portfolio selection – not entries. Unfortunately, the DMI stochastic [...]
[...] unchanged issues. Its interpretation is similar to the Advance/Decline Line. It can be used to spot trend changes and measure strength/weakness. Look for its divergences and trends - the absolute and relative values of the indicator are less important. Reference: Colby - The Encyclopedia of Technical Market Indicators on Google Books Breadth Index (BRIN) The BRIN indicator was created by Jacobus van den Brink (see December 2005 issue of Stocks and Commodities magazine, "Overhauling Market Breadth"). The BRIN results from a mathematical transformation of the TRIN (aka [...]
[...] it's considered choppy with a potential for mean reversion, and at or below 0.5 it's more likely to trend. Entry rules If volatility switch is in trend mode, buy at market next bar when today's close crosses above the 10-day simple moving average of close price If volatility switch is in mean reversion mode, buy at market next bar when the 7-day RSI crosses above 30 Exit rules If volatility switch is in trend mode, sell at market next bar when today's close crosses below the 10-day simple moving average [...]
[...] calculation. Generally you should specify n >= m
c
Correction factor for the signal (trend) to noise ratio. (Greatly affects the amplitude of TrendQ.)
useRMSNoise
Pass true to use an RMS noise calculation, otherwise false for linear noise.
Description The Trend Quality (Q-indicator) from the April 2004 issue of Stocks & Commodities magazine determine trends "with a procedure that attempts to recognize, in a timely way, promising and nonpromising (sic) price trends within the extracted semicycles as well [...]
Trend Intensity Index: Indicator Documentation
Syntax DataSeries TII( DataSeries ds, int period, int ma_period ) Parameter Description
ds
Data series
period
The number of bars to use when calculating the indicator
ma_period
The length of the moving average to use
Description TII is the Trend Intensity [...]
VMA — 1.2%
[...] VMA is generally more sensitive to price movement on high volume days. VMA's are used to determine trend direction. If the VMA is moving up, the trend is up, if moving down then the trend [...]
[...] Quotient Transform (QT for brevity) - another zero-lag filter that can be used for the purpose of timely trend detection. The QT is an advancement of the technique presented in January 2014 issue. Here, the output of a roofing filter (which includes applying a high pass filter and SuperSmoother filter), is normalized. To execute the enclosed trading system, Wealth-Lab users need to install (or update to) the latest version of our TASCIndicators library from the Extensions section of our website if they haven't already done so, and restart Wealth-Lab. A QT's drawback is [...]
SMA — 1.2%
[...] average value changes over the most-recent period.
Interpretation SMAs are often used to determine Trend Direction. If the SMA is moving up, the trend is up, moving down and the trend [...]
[...] fits all the prices. The slope of this straight line is returned. Use the slope to determine if the trend is up (positive value) or down (negative value), as well as the general strength of the trend. It shows how much the prices are expected to change over time. Linear Regression Slope indicator is a statistical indicator. Other indicators in the same class are LinearReg , StdError , RSquared and StdDev .
Interpretation An up-sloping Linear Regression line (LinearRegSlope > 0) indicates that prices have been rising within the regression [...]
[...] this indicator.
The idea behind: The more SMAs are below (or above) the price the strengther is the trend of the price series. If some SMAs are above and some are below the price no exact trend direction can be defined. The indicator is normalized from -100 to +100, which serves as a value of how many SMAs are above or below the price: + 100 Price is above all SMAs, i.e. all SMAs are below the price > 0 Price is above most SMAs 0 Price is above 50% and below the other 50% SMAs Price is below most SMAs - 100 Price is below all SMAs, [...]
[...] accompanied by sufficient volume, AccumDist will fail to make a new high. Divergences can be a sign the trend is nearing completion. Interpretation The actual value of the AccumDist is unimportant, concentrate on its direction. When both price and AccumDist are making higher peaks and higher troughs, the up trend is likely to continue. When both price and AccumDist are making lower peaks and lower troughs, the down trend is likely to continue. When price continues to make higher peaks and AccumDist fails to make [...]
[...] zero with a StdDev proportional to t it is a pure random walk. If the StdDev is larger, prices tend to trend. If StDev is smaller prices tend to "revert to the mean". This is the basis of the "Variance Ratio Test" of mean reversion. T. S. Chande's CTI Indicator uses a "shortcut" method to see if prices trend, are purely random or revert to the mean. Instead of using a large number of moves the "current" price move after time P*t is compared against the StdDev of a number of moves of length t. This means the CTI Indicator gives a rather "noisy" [...]
[...] calculation. Generally you should specify n >= m
c
Correction factor for the signal (trend) to noise ratio.
useRMSNoise
Pass true to use an RMS noise calculation, otherwise false for linear noise.
Description The Trend Noise Balance (B-indicator) from the April 2004 issue of Stocks & Commodities magazine determine trends "with a procedure that attempts to recognize, in a timely way, promising and nonpromising (sic) price trends within the extracted semicycles as well as estimate their strength" . Fluctuating [...]
[...] Chande, indicates if a price is trending or in range trading. It can also reveal the beginning of a new trend, its strength and also allows you to anticipate changes from trading ranges to trends. AroonDown and the AroonUp indicators are used together and combined are called the Aroon indicator. AroonUp measures how long it has been since prices have recorded a new high within the specified period. If the current price is higher then the user defined number of periods before it, then the AroonUp value is %100. In other words, it's a new high for that period. If a new low [...]
[...] classic swing trading systems (as advertised) except for its sensitive 1% trailing stop, so with its trend condition rule and a volume confirmation rule seeking to identify and hold a rising stock for a short period of time, we would rather classify it as pure momentum trading. Figure 1. A Wealth-Lab Developer 6.2 chart showing the Color-Based System applied to a Daily chart of the SPDR S&P500 ( SPY ). Our C# version of the system allows Wealth-Lab 6 users to easily change the lookback and exit parameters by dragging the parameter sliders in the lower left corner [...]
Traders' Tip text
This WealthScript Strategy combines trend detection ideas outlined in the article "Simplify It" from November 2015 issue of Stocks & Commodities. Users have the means to experiment which method of determining overall market direction works better: the one that relies on the external symbol's (SPY) movement by John Rich, or the one that uses a combination of multiple moving averages (James Rich). The system's C# code for Wealth-Lab can be found below. Figure 1 illustrates the application of the system's rules on the Daily chart of HUM. The [...]
[...] VWMA: Using a SMA as a benchmark with the same lookback period, the VWMA could be used to confirm trend direction. If VWMA moves below SMA, it may mean that the trend lacks volume support. A divergence could be used as a counter-trend [...]
[...] volatility reaches its long-term high, signifies considerable price changes and a potential end of the trend. The width percentage of the Smoothed Volatility Bands is measured over desired lookback (here: 200 days). System rules: Buy at stop at the highest 20-day high when the percent width of the SveVolatilityBands contracts to its lowest 200-day value, and there’s a bullish trend (close price above 200-day SMA) Sell at market when the percent width of the SveVolatilityBands widens to its highest 200-day value, and today’s low drops below [...]
[...] strength of price movement in positive and negative directions, as
well as the overall strength of the trend. The ADXR component is simply a special
type of moving average (WilderMA) applied to the ADX indicator. The ADXR can be used to determine if price movement is sufficiently directional to be
worth trading. In other words, use the ADXR as a filter to trade with trend following
tools.
Interpretation ADXR is sometimes used as a signal line. A buy signal occurs when ADX crosses above ADXR, and a sell occurs when ADX crosses below ADXR. [...]
[...] divergences generated by SRSI are not as effective during strong trends. To avoid fading an established trend, the system is used in conjunction with ADX indicator as trend confirmation tool. If the ADX is below its threshold for a trending market, the system would enter the trade. Figure 1. Bearish divergence between the SRSI and price which formed in January 2014 triggered a short trade in KO (Coca Cola). After updating the TASCIndicators library to v2015.06 or later, the SRSI indicator can be found under the TASC Magazine Indicators [...]