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Dahl Oscillator
I came up with the following to put Dahl into an oscillator
format. It is the STOCHRSI formula, replacing RSI with a 55 day
Dahl. Does this reflect your thinking on the indicator? It seems
to lead changes in Dahl by a period or two, but doesn't seem as
fast as the STOCHRSI indicator. Checking a few stocks in my
database, there are very few times that it goes below zero, but
it will 'peg out' at 100 for significant periods. Perhaps the 14
day smoothing is too short in relation to the 55 period primary
indicator. A longer MA period seems to smooth it out
significantly, which would seem to defeat the purpose of using
an oscillator.
Mov((mov(c,55,simp) - ref(mov(c,55,simp),-15)-
LLV(mov(c,55,simp) -
ref(mov(c,55,simp),-15),14))/(HHV(mov(c,55,simp) -
ref(mov(c,55,simp),-15),14)-(LLV(mov(c,55,simp) -
ref(mov(c,55,simp),-15),14))),14,E)*100(Go
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Dahl Variations
Dahl Volume Trend
Mov(C,55,VOL)-Ref(Mov(C,55,VOL),-15)
PVT Dahl Trend:
Mov((PVT()-Ref( PVT(),-15)),55,E)
Smoothed OBV Vol 88:
Mov((OBV()-Mov(OBV(),88,VOL)),55,E)
OBV Dahl Trend:
Mov((OBV()-Ref(OBV(),-15)),55,E)
Compare each to ordinary Dahl or some other trend indicator.
Remember, I put a 21 EMA trigger on each.
(Go
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| Dave's New System
(DNS)
Is a binary consisting of 8 indicators.}
If(SAR(.02,.2)<C,1,0) +
If((Mov(C,5,E)>Mov(C,13,E)),1,0) +
If((Mov(C,13,E)>Mov(C,40,E)),1,0) +
If((Mov(C,8,E)-Mov(C,17,E))>
(Mov(Mov(C,8,E)-Mov(C,17,E),9,E)),1,0)+ If(Mov(C,50,SIMPLE) -
Ref(Mov(C,50,SIMPLE),-15) > 0,1,0)+
If((Mov(ROC(C,12,%),3,E)>=-6 OR ROC(C,12,%)>0),1,0)+
If(OBV()>Mov(OBV(),40,S),1,0)+
If(V>Mov(V,120,S),1,0)
(Go
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Days Since Crossover
{place formula in filter section of explorer, making sure that
formulas
within quotes are valid indicators}
BarsSince(Cross(45, Fml( "Stochrsi (14)" )))>
BarsSince(Cross(Fml( "Stochrsi (7,3)" ),72)) AND
Ref(BarsSince(Cross(45,Fml( "StochRSI (14)" ))) <
BarsSince(Fml( "staters (7,3)")>72), -1)(Go
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| Denvelope
In the Oct issue of "Futures" there is an article written by
Dennis McNicholl called "Better Bollinger Bands". In his
article he describes how in a trending market the center band of
the B.B. will shift away from the "mean" value of
the price, and that the two outer bands will shift outward to
such an extent that the envelope loses its utility as a
volatility gauge (these are his words... not mine). As usual
"Futures" only posted the TradeStation code,
so this is my conversion from it. He called the Indicator
"Denvelope", and it runs the bands much closer.....
similar to "Standard Error Bands".
{Denvelope}
{Better Bollinger Bands}
Lb:=Input("Look-Back Period ?",3,100,20);
De:=Input("Band Deviation ?",.5,3,2);
Alp:=2/(Lb+1);
Mt:=Alp*CLOSE+(1-Alp)*PREV;
Ut:=Alp*Mt+(1-Alp)*PREV;
Dt:=((2-Alp)*Mt-Ut)/(1-Alp);
mt2:=Alp*Abs(C-Dt)+(1-Alp)*PREV;
ut2:=Alp*mt2+(1-alp)*PREV;
dt2:=((2-Alp)*mt2-ut2)/(1-Alp);
But:=Dt+de*dt2;
Blt:=Dt-de*dt2;
But;
Dt;
Blt;
(Go
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Denvelope (RSI)
pds:=Input("Periods",2,200,14);
sd:=Input("Standard Deviations",.01,10,2);
D1:= RSI(pds);
alpha:=2/(pds+1);
mt:=alpha*D1+(1-alpha)*(If(Cum(1)<pds,D1,PREV));
ut:=alpha*mt+(1-alpha)*(If(Cum(1)<pds,D1,PREV));
dt:=((2-alpha)*mt-ut)/(1-alpha);
mt2:=alpha*Abs(D1-dt)+(1-alpha)*PREV;
ut2:=alpha*mt2+(1-alpha)*PREV;
dt2:=((2-alpha)*mt2-ut2)/(1-alpha);
but:=dt+sd*dt2;
blt:=dt-sd*dt2;
blt;
dt;
but;(Go
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DEVSTOP
Here's what I think a DEVSTOP is in MetaStock language,
described in Kase's
"Trading with the Odds", and better described in Kaufman's
"Trading Systems
and Methods". It uses a 2-day range, calculates an average range
and SD of
the range, and then draws 4 lines below the high, at 1 range and
0,1,2, and
3 SD's. "2.2" and "3.6" are corrections for skew of the
distribution.
AVTR:=Mov(HHV(H,2) - LLV(L,2),20, S);
SD:=Stdev(HHV(H,2) - LLV(L,2),20);
HHV(H-AVTR-3.6*SD, 20);
HHV(H-AVTR-2.2*SD,20);
HHV(H-AVTR-SD,20);
HHV(H-AVTR,20);(Go
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| Displace
Indicator Forward
To displace an indicator forward, you use Ref(myInd,-p). The
median and typical prices are built-in functions -- MP() is
(H+L)/2 and typ() is (H+L+C)/3.
For MP, use
Period:= Input("What Period",1,250,10);
Disp:= Input("Forward Displacement",0,250,10);
EMA1:= Mov(MP(),Period,E);
EMA2:= Mov(EMA1,Period,E);
Difference:= EMA1 - EMA2;
ZeroLagEMA:= EMA1 + Difference;
Ref(ZeroLagEMA,-Disp)
(Go
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Divergence Between Close and Indicator
Divergence between the Close and an Indicator (Rev. 03/18/97
from Equis Support) The following formula will calculate the
correlation of the Close and the MACD. It is written using a
"long form" MACD so that the time periods used by the MACD may
be changed. This indicator shows "divergence" between the close
and the indicator: In the Windows versions of MetaStock the
formula is:
Correl(((Sum(Cum(1)*(Mov(C,12,E)-Mov(C,26,E)),100))-(Sum(Cum(1),100)*
Sum((Mov(C,12,E)-Mov(C,26,E)),100)/100))/((Sum(Power(Cum(1),2),100))-
(Power(Sum(Cum(1),100),2)/100)),((Sum(Cum(1)*C,100))-(Sum(Cum(1),100)*
Sum(C,100)/100))/((Sum(Power(Cum(1),2),100))-(Power(Sum(Cum(1),100),2)/100)),12,0)
The interpretation of the indicator output is as follows: -
.08 (80%) and lower is divergence between the Close and the
MACD. - 1 is very strong divergence. + 1 is very strong
correlation. The formula was constructed this way so that most
other indicators may be used in place of the MACD. For example,
here is the same indicator using the RSI(14):
Correl(((Sum(Cum(1)*(RSI(14)),100))-(Sum(Cum(1),100)*
Sum((RSI(14)),100)/100))/((Sum(Power(Cum(1),2),100))-(Power(Sum(Cum(1),100),2)/100)),
((Sum(Cum(1)*C,100))-(Sum(Cum(1),100)*Sum(C,100)/100))/((Sum(Power(Cum(1),2),100))-
(Power(Sum(Cum(1),100),2)/100)),12,0)
(Go
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Double Inside Day
{For today is an inside day}
H < Ref(H,-1) and
L > Ref(L,-1) and
{For yesterday was an inside day}
Ref(H,-1) < Ref(H,-2) and
Ref(L,-1) > Ref(L,-2)(Go
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| Double Tops
and Double Bottoms
In the February 1998 issue of Technical Analysis of Stocks &
Commodities magazine, Thomas Bulkowski discusses the use of
Double Bottoms as a means of finding profitable trades.
In MetaStock for Windows, you can find both Double Tops and
Double Bottoms with these formulas. There is a caveat however.
In the article, Mr. Bulkowski utilizes the High-Low range in
finding Double Bottoms. These formulas use only the close value,
so a few of the lower priced issues will not produce signals in
MetaStock. Overall, however, these formulas produce most of the
major signals he discusses.
Double Tops
PK:=Zig(C,10,%)<Ref(Zig(C,10,%),-1) AND
Ref(Zig(C,10,%),-1)>Ref(Zig(C,10,%),-2);
TR:=Zig(C,10,%)>Ref(Zig(C,10,%),-1) AND
Ref(Zig(C,10,%),-1)<Ref(Zig(C,10,%),-2);
PK1:=PeakBars(1,C,10);
PK2:=PeakBars(2,C,10);
(ValueWhen(1,PK,Ref(C,-1))/ValueWhen(2,PK,Ref(C,-1))>.96 AND
ValueWhen(1,PK,Ref(C,-1)) / ValueWhen(2,PK,Ref(C,-1))<1.04) AND
PK2-PK1>=10 AND Cross(ValueWhen(1,TR,Ref(C,-1)),C)
Double Bottoms
PK:=Zig(C,10,%)<Ref(Zig(C,10,%),-1) AND
Ref(Zig(C,10,%),-1)>Ref(Zig(C,10,%),-2);
TR:=Zig(C,10,%)>Ref(Zig(C,10,%),-1) AND
Ref(Zig(C,10,%),-1)<Ref(Zig(C,10,%),-2);
TR1:=TroughBars(1,C,10);
TR2:=TroughBars(2,C,10);
(ValueWhen(1,TR,Ref(C,-1))/ValueWhen(2,TR,Ref(C,-1))>.96 AND
ValueWhen(1,TR,Ref(C,-1)) / ValueWhen(2,TR,Ref(C,-1))<1.04) AND
TR2-TR1>=10 AND Cross(C,ValueWhen(1,PK,Ref(C,-1)))
(Go
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Down 20%
on Double Average Volume
Col A: CLOSE
Col B: ROC(C,5,%)
Filter ROC(C,5,%)<=-20 AND Mov(V,5,S)>=(2*Ref(Mov(V,60,S),-5))
Filter enabled Yes
Periodicity Daily
Records required 1300
(Go
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DMTF Trading System
I know I'm a little slow, but I've just gotten around to working
on the Dynamic Multiple Time Frame indicators given by Robert
Krausz in the 1999 Bonus Issue of TASC.
The code for the actual indicators can be found at the Equis
website (www.equis.com) so I won't post them again here. I've
been testing a system based on these indicators on Best Buy (a
stock that seems to be quite amenable to system trading) and
getting very good results. The system is currently for long
trades only; I'll work on shorting later. Here's what I've got
so far
Enter Long:
day:=DayOfWeek();
Fml("dynamic balance")>Fml("dynamik balance point steps")
AND Fml("fixed balance point")>Ref(Fml("fixed balance
Point"),-5)
OR Fml("tendency")>0 AND day=5
Close Long
Cross(Fml("dynamik balance point steps"),Fml("dynamic balance"))
AND Fml("fixed balance point")<Ref(Fml("fixed balance
Point"),-5)
The problem is that the close is not defined, meaning that the
two events which initiate the close do not have to happen. The
DBPS can cross the DB without the 2nd condition occuring. Then,
when later, the 2nd condition does occur, sell is not triggered
because the cross over has not happened simultaneously with the
2nd condition. Theoretically, if we follow the system strictly,
this can lead to a complete loss. I understand that I can set
arbitrary stops, but I prefer to let the system do the work.
Simply reversing the entry signal and other tries, such as
support breakthoughs, drastically reduce the result.(Go
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Dunnigan Trend
{Ask to use 1 day or 2 day Swing type}
St:=Input("Short Term Swing Type, 1 or 2 ?",
1,2,2);
{Call Swing Type Formula}
Sd:=If(Round(St)=1,
{then} FmlVar("Dunn-Type1","TD1"),
{else} FmlVar("Dunn-Type2","TD1"));
{Number Of Periods Since Swing Started Up}
Hc:=BarsSince(SD=-1);
{Number Of Periods Since Swing Started Down}
Lc:=BarsSince(SD=1);
{Find Highest Value Of Up Swing}
Hv:=If(Hc>Lc AND H>Ref(H,-1),
{then}HighestSince(1,Hc=1,H),
{else}0);
{Find Lowest Value Of Down Swing}
Lv:=If(Hc<Lc AND L<Ref(L,-1),
{then}LowestSince(1,Lc=1,L),
{else}0);
{Find The Low Of The Highest High}
Hlv:=ValueWhen(1,H=Hv,L);
{Find The High Of The Lowest Low}
Lhv:=ValueWhen(1,L=Lv,H);
{Calculate And Plot Trend Direction,
Note: 1= Uptrend,
-1= Downtrend}
TD2:=If(Sd=1 AND H>Lhv,
{then}1,
{else}If(Sd=-1 AND L<Hlv,
{then}-1,
{else}0));
TD3:=ValueWhen(1,TD2<>0,TD2);
TD3
{These formulas simply plot a 1 if market is up or -1 if down. I
really didn't code this to be used as an indicator, but to be
used as a subroutine, or possibly in an "Expert Adviser".
Best wishes, Adam Hefner.}(Go
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Dunn-Type 1
{Market swing is defined as:
Up = higher highs and higher lows,
Down = lower highs and lower lows.}
TD1:=If(BarsSince(H>Ref(H,-1) AND L>Ref(L,-1)) <
BarsSince(L<Ref(L,-1) AND H<Ref(H,-1)),
{then}1,
{else}-1);
TD1(Go
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Dunn-Type 2
{Market swing is defined as:
Up = 2 higher highs and 2 higher lows,
Down = 2 lower highs and 2 lower lows.}
TD1:=If(BarsSince((H>Ref(H,-1) AND L>Ref(L,-1))
AND (Ref(H,-1)>Ref(H,-2)
AND Ref(L,-1)>Ref(L,-2))) <
BarsSince((L<Ref(L,-1) AND H<Ref(H,-1))
AND (Ref(L,-1)<Ref(L,-2)
AND Ref(H,-1)<Ref(H,-2))),
{then}1,
{else}-1);
TD1(Go
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|
Dynamic Multiple Time Frame Indicator
Explanation of the Dynamic Multiple Time Frame Indicator by
the author, Adam Hefner:
"The Fixed Balance Point is calculated every Friday by
taking the weekly (high+low+close)/3. It really doesn't
need to be plotted, but is mostly used to base the other
indicators from.
The Fixed Balance Point Step, is a 5 week average of
the Fixed Balance Point.
The Dynamic Balance Point is the daily update of the
Fixed Balance Point.
The Dynamic Balance Point Step is the daily update
of the Fixed Balance Point Step.
Robert Krausz teaches that by watching the balance point
calculations of the longer (weekly) time, you have the market
direction (trend) for the shorter (daily) time. He also revealed
that the when the Dynamic Balance Point is above the Dynamic
Balance Point Step, then the trend is up, and opposite is true
for down trend. I have found that these act in much the same way
as a 5/25 moving average cross-over system.
I like the Fibonacci Support & Resistance best of all, seems
(IMHO)
that these support/resistance areas are very easy to visualize
using
this formula."
(Go
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Dynamic Zones
{Zamansky&Stendahl's Dynamic Zones for MS6.5 (From the TASC
July1997 article). First, for the Lookback Periods plot a 9-day
RSI along with StDev adjusted rolling 70-day SMAs; e.g., as can
be seen in the article's S&P500-example}
PR:=Input("Enter Periods for RSI",1,100,9);
PB:=Input("Enter Periods for BUY",1,100,70);
PS:=Input("Enter Periods for SELL",1,100,70);
UpZone:=Mov(RSI(PR),PS,S)+(1.3185 *Stdev(RSI(PR),PS));
LwZone:=Mov(RSI(PR),PB,S)-(1.3185 *Stdev(RSI(PR),PB));
UpZone;
LwZone;
Most indicators use a fixed zone for buy and sell signals.
Here's a concept based on zones that are responsive to past
levels of the indicator.
One approach to active investing employs the use of oscillators
to exploit tradable market trends. This investing style follows
a very simple form of logic: Enter the market only when an
oscillator has moved far above or below traditional trading
levels. However, these oscillator-driven systems lack the
ability to evolve with the market because they use fixed buy and
sell zones. Traders typically use one set of buy and sell zones
for a bull market and substantially different zones for a bear
market. And therein lies the problem.
Once traders begin introducing their market opinions into
trading equations, by changing the zones, they negate the
system's mechanical nature. The objective is to have a system
automatically define its own buy and sell zones and thereby
profitably trade in any market -- bull or bear. Dynamic zones
offer a solution to the problem of fixed buy and sell zones for
any oscillator-driven system.
The algorithm for the dynamic zones is a series of steps. First,
decide the value of the lookback period t. Next, decide the
value of the probability Pbuy for buy zone and value of the
probability Psell for the sell zone.
The area above and below the dynamic zones constitute the upper
and lower 10% boundaries. The zones appear to evolve with the
market because they use a rolling 70-day period of indicator
values in their construction.
(Go
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|
if((C-L)/(H-L),>,.66 ,1,
if((C-L)/(H-L),<,.38,-1,0))
(Go
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|
The Detrended Price Oscillator (DPO) is an
indicator that attempts to eliminate the trend in prices.
Detrended prices allow you to more easily identify cycles and
overbought/oversold levels. Here is the MetaStock custom formula
for the DPO:
Close-Ref( Mov(Close, X, Simple ), T)
***where X is the number of Time Periods for
the Oscillator and T = X / 2 + 1.
For example, a 20 period DPO would be:
X = 20
T = (20/2 + 1) = 11
Close-Ref( Mov(Close, 20, Simple),11)
(Go
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|
Steve Nison refers to the his Disparity Index
"as a percentage display of the latest close to a chosen moving
average". This can be defined in MetaStock using the formula:
( ( C - Mov( C ,X ,? ) ) / Mov( C ,X ,? ) ) *
100
** where X is the number of time periods and
? is the calculation type of the moving average.
For example:
( ( C - Mov( C ,13,E ) ) / Mov( C ,13 ,E
) ) * 100
** where X = 13 time periods and ? =
Exponential moving average.
For interpretation on the Disparity Index refer to Steve Nison's
book Beyond Candlesticks which is available from the
Equis Direct catalogue.
(Go
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|
All versions of MetaStock prior to our
Windows software would need this formula.
You can display your security's prices in
32nds and 64ths, by using the following custom formulas. Once
plotted these values will be displayed in the indicator window.
For 32nds:
INT( C ) + ( ( FRAC( C ) / .03125 ) / 100 )
For 64ths:
INT( C ) + ( ( FRAC( C ) / .015625 ) / 100 )
**Where C is for the security's closing price
and can be replaced with O, H, or L for the open, high, or low
price instead.
(Go
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|
The following formula will calculate the
correlation of the Close and the MACD. It is written using a
"long form" MACD so that the time periods used by the MACD may
be changed. This indicator shows "divergence" between the close
and the indicator:
In the Windows versions of
MetaStock the formula is:
Correl(((Sum(Cum(1)*(Mov(C,12,E)-Mov(C,26,E)),100))-(Sum(Cum(1),100)*
Sum((Mov(C,12,E)-Mov(C,26,E)),100)/100))/((Sum(Power(Cum(1),2),100))-
(Power(Sum(Cum(1),100),2)/100)),((Sum(Cum(1)*C,100))-(Sum(Cum(1),100)*
Sum(C,100)/100))/((Sum(Power(Cum(1),2),100))-(Power(Sum(Cum(1),100),2)/100)),12,0)
The interpretation of the indicator output is
as follows:
-
- .08 (80%) and lower is divergence
between the Close and the MACD.
- 1 is very strong divergence.
+ 1 is very strong correlation.
The formula was constructed this way so that
most other indicators may be used in place of the MACD.
For example here is the same indicator using
the RSI(14)
Correl(((Sum(Cum(1)*(RSI(14)),100))-(Sum(Cum(1),100)*
Sum((RSI(14)),100)/100))/((Sum(Power(Cum(1),2),100))-(Power(Sum(Cum(1),100),2)/100)),
((Sum(Cum(1)*C,100))-(Sum(Cum(1),100)*Sum(C,100)/100))/((Sum(Power(Cum(1),2),100))-
(Power(Sum(Cum(1),100),2)/100)),12,0)
(Go
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|
In July 1996 Futures magazine, E. Marshall
Wall introduces the Dynamic Momentum Oscillator (Dynamo). Please
refer to this article for interpretation.
He describes the Dynamo Oscillator to be:
Dynamo = Mc - ( MAo - O )
where
Mc = the midpoint of the oscillator
MAo = a moving average of the oscillator
O = the oscillator
This concept can be applied to most any
oscillator to improve its results.
For example:
Applying the Dynamo Oscillator to a 5-period
%K slowed 3 periods Stochastic Oscillator would give:
50-(Mov(Stoch(5,3),21,S)-Stoch(5,3))
where:
Mc = Stochastic Oscillator's midpoint = 50
MAo = Moving average of the Stochastic = Mov(Stoch(5,3),21,S
O = Stochastic Oscillator = Stoch(5,3)
This example applies it to an RSI
oscillator:
50-(Mov(RSI(14),21,S)-RSI(14))
where:
Mc = RSI's midpoint = 50
MAo = Moving average of the RSI = Mov(RSI(14),21,S
O= RSI Oscillator = RSI(14)
(Go
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| Derivative Moving
Average
The information for this test was published in the June 1996
issue of "Technical Analysis of Stocks and Commodities". The
test appears in the article "The Derivative Moving Average" by
Adam White, page 18. Mr. White describes this test as using a
variation of the "tried-and-true simple moving average for entry
signals and the "trend analysis index" for exit signals. Note,
first you need to create a new indicator called TAI, using the
TAI formula below - then create the new system test.
| Signal Formulas |
Enter Long:
When(Ref(Mov(C,28,S),-1),=,LLV(Mov(C,28,S),4)) |
Close Long:
When(Fml("TAI"),<,0.4) AND
When(Ref(Fml("TAI"),-1),>=,0.4) |
|
| TAI Formula |
|
((HHV(Mov(C,28,S),5)-LLV(Mov(C,28,S),5))/C)*100 |
|
(Go
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|