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Found 46 results

  1. This is a moving average that is more responsive to price trends because it gives more weight to recent price closings. It is often used to evaluate momentum and to specify area of likely support and resistance.
  2. A moving average crossover is a simple variation of the moving average indicator. It is also a trend following indicator (not to mention one of the most famous). It does not predict price but it shows price trends. This indicator uses two (or more) moving averages, a slower moving average and a faster moving average. The faster moving average is a short term moving average. It may be 5, 10 or 25 day period while the slower moving average is medium or long term moving average. This moving average involves 50, 100 or 200 day period. A short term moving average is "faster" because it only considers prices over short period of time and is thus more reactive to daily price changes. On the other hand, a long term moving average is deemed "slower" as it encapsulates prices over a longer period and is more lethargic. However, it tends to smoothen out price noises which are often reflected in short term moving averages. A moving average, as a line by itself, is often overlaid in price charts to indicate price trends. A crossover occurs when a faster moving average (i.e. a shorter period moving average) crosses a slower moving average (i.e. a longer period moving average). In other words, this is when the shorter period moving average line crosses a longer period moving average line. This meeting point is important as it gives us an idea of the optimum time to either enter (buy) or exit (sell) the market. In this article, we'll go into a semi-thorough analysis of the buy signal only. The image below gives us a picture of how a buy signal is triggered. A buy signal is triggered when the shorter moving average (red line) rises above the longer moving average (orange line). Figure 1 shows how moving average crossover works as a buy indicator. So why is it advantageous to consider two moving averages instead of one? The common dilemma of investors is in trying to make a moving average responsive to changes in trend while not allowing it to be so sensitive that it causes a trader to prematurely enter or exit a position. This is addressed by using the moving average crossover technical indicator. This indicator stands in the middle ground. It combines the shorter period moving average's price sensitivity and the longer period moving average's sense of reality, thus giving the investor a fairly accurate appreciation of price trends. The table 1 shows moving average crossover indicators grouped according to the number of days the crossover is sustained. Each indicator is given the following parameters: c=short term close price, moving average short period, w=weighted moving average, c=long term close price, moving average long period, w=weighted moving average, days crossover is sustained; couched inside the parenthesis. This article will explore the reliability of the moving average crossover indicator using the results of a backtested simulation. The test used close prices of 7072 US stocks from 4th January 1982 to 31st December 2007. Prices are in US Dollars (USD). The test reviews six (6) statistics: Profit Per Year, Simulated Portfolio Gain (in US Dollars), Median Signals Per Year, Median Profit %, Success Ratio and Maximum Drawdown Loss. Sell signal is placed at 15 % stop loss (after a 15% fall from any stock price). Profitability See attached worksheet The purpose of any good study is to determine which indicator could make a good profit. We did this by using three (3) statistics: Profit per Year, Simulated Portfolio Gain and Median Signals per Year. The Profit per Year column shows the average profit of simulated stock investment per year. This simply shows the return to investor of the money used to purchase the stock at the time of entry (simulation starting at $100k and investing 1% cash-at-hand for every buy). The next column shows the Simulated Portfolio Gain of each entire backtest over all stocks at the end of the historic data period. These two statistics measure the return of money or growth of investment as shown by increase in price of stock. In other words, these statistics tell us which technical indicator has historically yielded the highest possible profit for our investment. We are therefore interested with the indicator with the highest profit or portfolio gain. The third column Median Signals per Year is quite different from the two statistics. It does not give us direct measure of profit but gives us an idea as to how often we get buy signals triggered. If the value is too low, we wouldn't be able to trade, as there'd be nothing to buy. If on the other hand, the value is too high, it could also be hard to manage, as it would be impossible to buy them all as an individual. Here we are interested with the indicator having an average to high value. In terms of obtaining profit, two indicators (in green highlight) performed ahead of the pack (movx(c,5,w,c,50,w,1) and movx(c,10,w,c,50,w,1). These two are highly profitable technical indicators. Both indicators show an average of 12% Profit per Year compared to the others showing only 8-11% [1]. Also, we can see that both indicators are reactive. They triggered the buy signal 7000-8000 times a year. This means that stock trading is possible and manageable. This is even recommended for short-term trading as both indicators could easily alert the investor of an uptrend. However, we have also identified three indicators (highlighted in rose) which did not perform well in terms of profitability movx(c,10,w,c,100,w,3), movx(c,10,w,c,150,w,3) and movx(c,25,w,c,200,w,5)) [2]. These indicators, while having an average yearly profit, have one of the lowest, if not the lowest portfolio gains among all. We are of course not interested in indicators which do not yield a high portfolio gain for the investment. On a deeper note, it seems that group 1 in Table 1 is the group with highly profitable indicators compared to other groups. This group provides the highest gain, yearly profit and above average median signals per year compared to the last two groups. The best indicators for each of the statistic belong to such group. Thus, if we are looking for a profitable indicator, we should always look at the indicator with the shorter moving average (group 1 in Table 1). It may be best to show you the increase in portfolio one may expect from highly profitable indicators we have recommended so far. The image shows portfolio growth simulated using indicator movx(c,10,w,c,50,w,1) (one of the best performing indicator in terms of profitability) with 15% stop loss as buy signal for US stocks from 1983 to 2007. You can see that in a matter of 24 years, the stock value went from 94k USD to 700k USD or almost 7 times its initial value. This is a reasonable return for the investment. Risk Management See attached worksheet Table 2 shows moving average crossover indicators' performance in terms of risk management statistics It is of such importance for an investor to consider risk in arriving at a financial decision. Investment entails gain or loss depending on the reliability of one's technique and experience. This section will help the investor ascertain which indicators provide the most and least win-to-loss ratio as well as the "worst case scenario" in terms of possible losses. A correct appreciation therefore of indicator performance could save an investor from undertaking ventures which may not return profit as much as expected. If we are looking at risks, we should be interested first in measuring the likelihood of gain versus the likelihood of loss. This is shown by statistic Success Ratio (first column in Table 3). Technically, success here is where the stock price at the 15% stop loss sell point was above the buy price, and loss when the stop loss sell point was below the buy price. After determining the indicator which could provide more gain than loss, we also need to look at largest loss we can expect if we take the investment. This is maximum drawdown loss. It is simply the value of the portfolio after the largest string of losses assuming the investor acts according to the signals triggered. In other words, we need the indicator with a high success ratio because it is likely to gain which means safe investment for us. On the other hand, we are interested in the indicator with the lowest drawdown loss. For easy reference, the least risky indicators are in green (movx(c,25,w,c,200,w,1), movx(c,25,w,c,200,w,3,0) and movx(c,25,w,c,200,w,5)), while the risky indicators are in red. The least risky indicators gave us the one of the highest success ratios and the lowest drawdown losses. By using these indicators, you can expect a more steady return of profit compared to all other indicators in the list. The risky indicators, on the other hand, are those which gave lower success ratios and highest drawdown losses. These risky indicators could result to quite unstable return and high losses. Also, you will immediately notice how high the drawdown loss values are. Massive drawdowns like these suggest a risky market over a long historic period when investments are likely to lose a large portion of investment at some stage. This means that, using a moving average crossover alone is probably unwise. Some knowledge of market conditions would be quite helpful here. The image below shows yearly returns of US stocks from year 1983 to 2007 using indicator movx(c,10,w,c,50,w,1) with 15% stop loss as buy signal. The red line indicates the point where there is neither profit nor loss. Notice how the green line falls below the horizontal red line as much as it rises above it? This connotes that the stocks almost always have no returns as much as they profit. This suggests that there is just as much potential for wins as for losses during that period. Recommendations The moving average crossover is one of the most well-known technical analysis tools. It gives us an appreciation of the price direction of a stock. Knowing how and when to utilize an indicator such as the moving average crossover and what specific indicator to use fit for a particular trading purpose can delineate the line between potential gain or loss. This article, I hope, goes into some of the statistics of real-world performance of the moving average crossover. We have come to know which indicators suit what aspect and which indicators will not be much of a help. Thus to summarise we'll rate indicators according to overall performance. Table 3 below shows us which indicators are best for short-term, medium-term or long-term trading highlighted in green. From these simulations, I'd recommend indicator movx(c,10,w,c,50,w,1) for short-term trading. It performed ahead of the pack when it comes to profit and portfolio gain yet maintained an average success ratio and relatively high median signals per year value. It suits short term trading because it triggers buy signal more often and earlier. It reacts easily to price fluctuations. One downside is its high drawdown loss value but this only makes sense because the indicator only covers a very short period of time when there is yet no strong trend forming. On the other hand, two indicators proved useful to medium-term trading (movx(c,25,w,c,100,w,3) and movx(c,25,w,c,100,w,5)). These two performed remarkably in profitability statistics but still show one of the highest success ratios and one of the lowest drawdown loss values. As for long-term trading, one indicator seem to outperform the other long-term indicators in terms of both profit and risk (movx(c,25,w,c,150,w,5)). This indicator gave one of the lowest drawdown values we seek for in terms of long-term trading. Also, it has 42.94% win-to-loss ratio; one of the highest likelihood of gain compared to other indicators in the list. Overall, these four indicators topped the others. See attached worksheet MA Crossover.xls
  3. Ok I know a lot of you are using the most popular indicator in the Market (Moving Average). What you do not realize is that is that MA is the #1 loser in the market. Don't get me wrong, all indicators are losers, but MA is the leader. Here is the bottom line. Indicators are not really the problem. It is the instruction that comes with them and people that use them is the problem. Let's take for example MA. This is by far the most abused indicator in the world. It has lost so much money it should have been illegal to use it. Incidentally, no one seems to realize that. Most trading system in the market follows the wisdom of the MA crossing strategy. 90% of trading system has some type of MA crossing scheme in it. Most indicators (MACD, Stoch, ADX, CCI) are build around that concept. That is why all indicators or EA (automated trading system) in general are garbage. Yes, I said it. They are all garbage. What is the reason for MA cross failure? When looking at MA or any indicators based on MA one needs to understand that price does not care where your moving average is in relation to current price. Market does not care where moving average is pointing or if your indicator is overbought or oversold. MA cross happens too late for an entry and usually when you see the cross and ready to put on a trade the price will go the opposite direction. Tadah! Not again. And you will wander why? You did follow your trading plan as you were taught but there was another loss...Frustration? No, it is more than that... Having said all that, where do a wanna forex trader should turn for help? The truth is there no one that can help you because the answer would be too simple for you to accept and follow. No one can help you except for yourself. For example: I trade against everything that I have learned in forex trading classes. I trade against everything the books, the technical gurus, the TV, the market analysis, the news, even the TREND. Yes, I trade against the trend. So when I talk about trading most traders will stay away from what I am saying because it makes no sense to them. Others will hate me for making money trading against all the rules that market "gurus" preach. I am going to share what I do and get some stones and mud thrown at me in the process. It should be fun to watch and read the comments I will be getting. So sit back and relax as I am going to unleash my sac of garbage. Here is how I trade. I only Buy Low and Sell High using my naked eye and simple support and resistance levels. I DO NOT USE MA CROSSING. IT IS DUMB TO USE MA CROSSING. Bellow is a summary of what I do to prepare for a trade: (and yes, I do trade without indicators ) 1. I don't do any analysis on weekends or days before. When I open my chart I look at a Daily Time Frame. I am not too concern about all these technical analysis. They are too confusing and too boring for me to be wasting my time on. As you may already know, most of your trades are always ending up in the wrong side. So the forex market itself does not follow technical analysis when it comes to taking my money so why should I? 2. I determine the intermediate term trend with the H4 and H1 to see where the price is in relation to past price action. This is easy to do with your naked eye. No need for expensive indicator. If you are addicted to indicators then do like the others are doing. Drop a 200 EMA on your charts and say to yourself if the price is above the 200 EMA, the trend is up and if the price is below it the trend is down. 3. I look at where the price is located in relation the highest point in the chart and the lowest point. Or for new guy, this means the highest the price has been before returning back down and the lowest the price has been before returning back up. You can do all this with your naked eye. 4. I am waiting for the price to reach my levels to take the trade. 5. I do use 5M to spot and trade true support and true resistance. 6. I only risk less than 2% of my account on any trade. 7. I follow my stop loss rules and let life goes on. And yes, sometimes I do trade even without all this stuff described above. Just be there in the right time and with right order. Sometimes I am lucky to reach my day target in first 5-10 minutes of session opening. This does not happen everyday, but this happens pretty often to mention it. With no indicators at all. So if you want to learn trading you have to get rid off anything that clutters your chart. Now go ahead and crucify me. I might enjoy some of your comments.
  4. i've read an article from John Ehler. which explains mathematical nature of the moving averages. he has described that how to calculate the lag of moving averages. SMA's lag is calculated by (N-1)/2. eg : 5 SMA = (5-1)/2 = 2 bar lag. WMA's lag is calculated by (N-1)/3. eg : 7 WMA = (7-1)/3 = 2 bar lag. so both are very similar on price chart. but what if you use 10 SMA? yes it's 4.5 bar lag. (10-1)/2 = 4.5 since stock charts are time series that proceeds one by one . (except P&F and renko etc). i don't feel comfortable with moving averages that has lag of point numbers like 10 SMA. though i don't have any evidence for it. just intuitively so i've collected some moving average periods that has lag of integer numbers. therefore i don't use 20 SMA anymore. hope this helps.
  5. Hi all! I am new here on the forum (as you can see ), but anyway .... When reading through various forums (here, and other forums), there are quite a few posts regarding algo / quant strategies for stock trading. However, there are not much regarding algo / quant strategies for stock index futures. So, my question is what type of "popular" strategies for stock index futures there are, if any. I obviously do not ask what specific strategies anyone is using, but what types of strategies are being used and considered working good for stock index futures. Thanks! Niels
  6. Hello, I find myself always buying when the stock jumps and I get caught holding at a really high price. It limits my gains obviously or i have to take a loss on a sell off that hits my stop. When shorting, I find myself having the same problem. I short at the lows and have to cover for a loss. how can i fix this problem? need help. thank you!
  7. VMA Zones from Ninja to TS

    Hi I found this very interesting tool for Ninjatrader. It's a mix of a vidya and a kind of so called cmo-momentum oscillator, which uses up and downticks - so far my understanding......... Someone may be able to convert this to EL ? Thanks a lot Jojo:helloooo: VMAZones_BigMike.zip
  8. DigiBoard

    // DigiBoard // version: beta 0.1 // date: 20100802 // author: TAMS // I did not invent this... // a variation of this concept has been around a long time // copyright: personal use // license: terms of use: this header must be retained. // // Setting: // up color = black, down color = red // Plot style = large point (dot) // // Description: // This indicator summarizes 5 moving averages in a digital board presentation // When the moving average is pointing up, the dot is black, // when the moving average is pointing down, the dot is red. // // you have a choice of using Exponential moving average, // or a simple moving average. // // note: // this indicator was written with MultiCharts. // I have not tested it on other EasyLanguage compatible software. // DigiBoard.txt DigiBoard (MultiCharts).pla
  9. // Normalized Bollinger Bands // version beta 0.1 // Author: TAMS // Date: 20100630 // Copyright: TAMS // License: personal use only // Terms: this header must be retained // // Description: // This indicator plots the normalized Bollinger Bands, // with normalized price bars overlaying the band widths // The band widths are colored cyan when they are expanding, // and light gray when they are contracting. // // The Bollinger Bands can be calculated // using exponential moving average (Use.Xavg = true), // or simple moving average (Use.Xavg = false). // // note: // this indicator was written with MultiCharts. // I have not tested it on other EasyLanguage compatible software. // A thorough read of Bollinger on Bollinger Bands is recommended. Comments and suggestions are welcome. You are invited to post your enhancements. Normalized Bollinger Bands (MultiCharts).pla Normalized Bollinger Bands.txt
  10. I am trying to write a multitimeframe system in Easylanguage. I basically have a higher timeframe system that works but would like to add some lower time frame logic to it to make it better. I have created arrays for the higher time frame o h l and c. When I try to use xaverage on those arrays, Multicharts complains of incorrect argument type. I assume this is because the Xaverage requires NumericSeries as input and not an array. How do I get around this?
  11. Without the inclusion of mass (M) in the formula ( because best I can tell the instruments traded have no mass ) - what are the best measures of instantaneous acceleration of price (or derived trading information) ? ( and I swear, Tams, if you ask for a picture, I will blow you up with a smilie ) Thanks.
  12. Ergodic (Double Weighted) Based on a concept by William Blau as described in his book Momentum, Direction, and Divergence the Ergodic Oscillator (EO) is a double smoothed index with a signal line. The Ergodic is intended to act like a stochastic indicator without the "compression" often seen with stochastics at extremes. As a result, the Ergodic helps to register long trends in prices. Note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in other compatible programs. Please refer to your users manual for importation instructions. Ergodic Double Weighted.txt ERG_Double_Weighted_(MultiCharts).pla
  13. Help Needed For Indicator

    Hi, I am running a show me on TS 8.6. The idea is that it will plot a show me when both the fast and slow averages are pointing up, when on the previous bar, either the fast or slow average were not pointing up. The problem I am having is that once a show me is plotted, further plots are made, which I do not want, I only want the plot when both averages are pointing up, when on the previous bar either one or the other were not pointing up, then i do not want any further plots until at some time in the future, the obove occurs again. I attach a chart, with arrows showing where the plots should be, as the show me, which as you can see in not plotting correctly. Below is the code that I have. Many thanks for all your continued help guys.
  14. Instantaneous TrendLine by John Ehlers Note: This indicator was written in EasyLanguage. Please refer to your users manual for importation instructions. Your comments and rating of this indicator is appreciated. Instantaneous TrendLine.txt
  15. MA Ribbon

    MA Ribbon Description: MA Ribbon cuts through the noise to display the strength of a trend The strength of the trend is shown via the difference between current bar's MA and the MA of X bars ago. (usually half of the MA length) When the trend strength is positive and increasing, the indicator will display an upward ribbon that is increasing in width. When the trend strength is subsiding, the ribbon narrows. Eventually when the market reverses, the ribbon will change color, then reverses direction. Note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in other compatible programs. Please refer to your users manual for importation instructions. Your comments and rating of this indicator is appreciated. . MA_RIBBON_(MultiCharts).pla MA_Ribbon_(TS).txt
  16. Arsi

    ARSI ARSI is a Moving Average with reduced lag. RSI is used to "weigh" the moving average value, resulting in a line that closely hug the price value. This indicator was described by Perry Kaufman in his book "New Trading Systems and Methods" note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in other compatible programs. You should import the function first, then the indicator. For addition assistance, please refer to your users manual for importation instructions. Your comments and rating of this indicator is appreciated. ARSI_(MultiCharts).pla function_ARSI.txt indicator_ARSI.txt
  17. Jurik Indicators

    Power555 and I decided to open a new thread to discuss Jurik Indicators. We hope to post some charts and invite discussion on other members experiences on these indicators.
  18. Jurik Indicators

    Power555 and I decided to open a new thread titled Jurik Indicators to invite the members of TL for a stimulating discussion and sharing of ideas. A prior thread was posted as follows. http://www.traderslaboratory.com/forums/30/paint-bar-factory-4930-4.html#post74588 Additional charts could be posted for future discussion.
  19. Playing with MA's

    Hi, An idea for a good RS patterns "scanner". If we could create an indicator that will show the gradient of the MA as a % it will be very helpful to see power trends or bases. If the gradient of the MA is near to 0% then we know that the stock is creating a base. If the gradient is near to 90% then is a super power trend. Negative gradient will indicate down trend. Any idea how to do it? Thanks
  20. Coppock Curve

    Coppock Curve The Coppock curve, created by E.S.C. Coppock, is a technical analysis indicator for long-term stock market investors. It was first published in Barron's Magazine on October 15, 1962. The indicator is designed for use on a monthly time scale. It's the sum of a 14-month rate of change and 11-month rate of change, smoothed by a 10-period weighted moving average. Coppock, the founder of Trendex Research in San Antonio, Texas, was an economist. He had been asked by the Episcopal Church to identify buying opportunities for long-term investors. He thought market downturns were like bereavements and required a period of mourning. He asked the church bishops how long that normally took for people, their answer was 11 to 14 months and so he used those periods in his calculation. A buy signal is generated when the indicator is below zero and turns upwards from a trough. No sell signals are generated (that not being its design). The indicator is trend-following, and based on averages, so by its nature it doesn't pick a market bottom, but rather shows when a rally has become established. Coppock designed the indicator (originally called the "Trendex Model") for the S&P 500 index, and it's been applied to similar stock indexes like the Dow Jones Industrial Average. It's not regarded as well-suited to commodity markets, since bottoms there are more rounded than the spike lows found in stocks. source: Wikipedia This indicator may be displayed as a curve, or as a histogram The color.mode setting is 0 for histogram, 1 for curve A delta line (Diff) is added for faster fractal analysis. (daily or intraday) note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in TradeStation or other compatible programs. Please refer to your users manual for importation instructions. TL_Coppock.pla TL_Coppock_Curve.txt
  21. Moving Trend

    Moving Trend Based on William Rafter's article in 01/2003 issue of S&C magazine. This indicator belongs to the family of Zero Lag moving averages. It employs linear regression to detect trend changes; you will find this indicator fast and responsive, and is applicable in most popular trading time frames. An optional band is included. You can set it to invisible if you do not wish to see it. I would like to hear how you utilize this indicator in your analysis. p.s. you might also be interested in this Zero Lag indicator: Fisher Transform http://www.traderslaboratory.com/forums/f46/fisher-transform-6329.html note: This EasyLanguage indicator was written in MultiCharts. I have not tested it in TradeStation or other compatible programs. Please refer to your users manual for importation instructions. Translation to other platform is invited. Moving_Trend.txt Moving_Trend_(MultiCharts).pla
  22. Hi All, Having looked at the thread on Hull MA, I thought this might be of interest to others. When I got interested in technical analysis, I was very keen on using indicators, etc, like most newbies, and came across the following formula for significantly reducing the lag inherent in moving averages. That was a while ago, and am now more interested in reading price and volume, but thought others might be able to make better use of it than I have. The basic formula is: &EMAOne := MovingAvgMethod (Close , Periods , 2) &EMATwo := MovingAvgMethod (&EMAOne , Periods , 2) &Diff := &EMAOne - &EMATwo &EMAOne + &Diff Replace "MovingAvgMethod" with whatever MA you prefer. And here's a pic comparing several different MAs with/out Zero Lag, including Hull: Regards,
  23. a lot of negative writing is shown for moving average crossover. but i've had a fair degree of success using a combination of 18sma,20sma,3sma,5sma on a 15 minute emini s&p. wonder if anyone still uses them? seem to be most effective when they converge on a s/r level.thank you.figaro
  24. VIDYA - The Variable Index Dynamic Index by Tushar Chande VIDYA is basically an adaptive exponential moving average. The adaptation speed is determined by market momentum, as measured by "AbsCMO", the absolute value of the Chande Momentum Oscillator. This indicator is described in Chapter 3 of Dr. Chande's book "The New Technical Trader". VIDYA_(MultiCharts).pla
  25. ARW_new (MultiCharts)

    This thread is about drawing an arrow on the chart. (MultiCharts enhanced EasyLanguage) Arw_New Displays an object, consisting of an up or a down arrow located at the specified bar and specified price value, on the chart that the study is based on; returns an object-specific ID number, required to modify the object. Usage Arw_New (BarDate, BarTime, PriceValue, Direction) Parameters BarDate - a numerical expression specifying the date of the bar at which the object is to be placed; the date is indicated in the YYYMMdd format, where YYY is the number of years since 1900, MM is the month, and dd is the day of the month BarTime - a numerical expression specifying the time of the bar at which the object is to be placed; the time is indicated in the 24-hour HHmm format, where 1300 = 1:00 PM PriceValue - a numerical expression specifying the price value (vertical position, corresponding to a value on the price scale of a chart), where the object is to be placed Direction - a logical expression specifying the direction of the arrow; True = Down and False = Up Example Place, on the chart that the study is based on, an up arrow at the top of a bar if the Open price has increased incrementally over the last three bars: If Open>Open[1] And Open[1]>Open[2] Then Value1 = Arw_New(Date, Time, High, False); ---------------------------------------------------------------------------- Arw_New_self Displays the arrow on the SubChart.
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