TTM/DDF Value Chart

[LS_Chad]

I've studied the code Blu-Ray shared and am attempting to recreate the Value Chart in Investor/RT. Here is what I have come up with so far:

Images | ChartHub.com



However, comparing my chart with the charts in the videos wsam posted, my charts seem to oscillate at a much slower rate. Is it possible that a different VarNumBars was used in those videos (200 maybe instead of 1000)? Can somehow compare my charts with a 2-min of ES in TS and let me know how it compares.

Thanks

[Blu-Ray]

Hi Chad

Here's a pic of the TS screen with the value chart attached.



With regards to the VarNumBars, the setting is 5. What you're reading is the part within the function that constrains the inputs, if someone were to put in 1050 as the NumBars then TS will only allow it to be 1000 max.

Hope this helps

Blu-Ray

[LS_Chad]

OK, that explains it. Thanks Blu-Ray. I created this one with a period of 5. If anyone has a TS chart to compare it to, let me know how it stacks up. Thanks.

[media]http://www.charthub.com/images/2008/02/04/ValueChart_2.png[/media]

[Blu-Ray]

It looks like you've cracked it, here's the chart



Cheers

Blu-Ray

[MC]

Good stuff...I've been looking at Investor RT, nice to see we have people with programming skills on here. Might make my decision easier.

[Soultrader]

Looks great Chad. Can we throw this IRT version up in the Trading Indicators forum?

[LS_Chad]

Originally Posted by Soultrader Looks great Chad. Can we throw this IRT version up in the Trading Indicators forum?

Sure.

Is the period used above of 5 pretty standard for the Value Chart?

[Blu-Ray]

Originally Posted by LS_Chad Sure. Is the period used above of 5 pretty standard for the Value Chart?

I believe so.

[LS_Chad]

I'm creating a web page on this chart / indicator. If one of you Value Chart experts will share some information on how this is traded, or provide me with a good link where it is explained, I would greatly appreciate it.

[dupaski]

Originally Posted by LS_Chad I'm creating a web page on this chart / indicator. If one of you Value Chart experts will share some information on how this is traded, or provide me with a good link where it is explained, I would greatly appreciate it.

It's been a few years since I read the book (Dynamic trading indicators by Stendhal) but a Google book search will show the portion of the book with the main ideas.

If I remember correctly it's a statistical distribution method that uses the price of an instrument and it's ability to move away from it's own moving average. In the book he used a SMA 20 on a daily chart to illustrate the point. He then assigns points according to where it is in the distribution:


+8 and Above= Significantly overbought- 3 SD or above
+4 to +8= Moderately overbought- 2 SD
+4 to -4= Normal or value
-4 to -8= Moderately overbought- 2 SD
-8 and below= Significantly oversold- 3 SD or below

In a bell curve +4 to -4 would be the Mean and 1SD areas and the others would fall to the outside as described above.
Stendahl used these to play reversions back to the mean.There are several additional items he uses, that is the basic premise behind his value charts.

It also seems as if thats how the TTM guys are using it as well.