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The TCF by M.H.Pee has appeared in a couple of TASC articles; one as
recently as the 2005 bonus issue. The author tests the TCF on 15
futures markets over a long time period and comes up with some very
nice profits. Only about 30% - 40% of trades are profitable but the
profit ratio is generally above 2.5. The AFL for TCF is in the AFL
library and has been coded in by Dale Butkowski.
For those who are not familiar - here's the simple, simple
explanation. TCF looks at the INTER DAY DIFFERENCE in closing prices
i.e., Close - Ref (Close, -1); adds and subtracts differences and
comes up with an indicator called +TCF and -TCF.
[You really have to read the articles to get a better idea :-)]
When +TCF > 0 (the green line) you go long and when -TCF > 0 (the red
line) you go short. If both TCF's go negative, then close out your
positions.
I've made an improvement to the TCF by adding AN INTRA-DAY DIFFERENCE
i.e., Close - ((H+L)/2); the improvement is minor in the code but
the difference in the indicator is immense. Basically, it gets you
in the long trade quicker and gets you out or in the short side
quicker too - by as much as 20 days quicker (in some trades) !!!! (I
checked it on IWM and QQQQ over 4 yrs).
[Note: in some trades - there was no difference between the old or
the revised TCF]
To see for yourself - simply plot the original AFL library code (get
it from the AFL library) next to mine (see below). I've not tested
any Buy/Sell rules with this indicator. The Buy/Sell rules you see
were in the original TASC article.
[By the way - the original article says that a length of 35 days
should be taken. You can change it to any length by changing the 2nd
line of the code. I personally prefer '13' but I've left it as '35']
******************************************
/*Trend Continuation Factor by M.H Pee
MArch 2000 TAS&C Revision to code of
Dale Butkowski by Dickie Paria*/
EnableScript("jscript");
Length=Optimize("Length",35,1,100,1);
Change= Close-Ref(Close,-1);
intraChange = Close - ((H+L)/2);
PlusChange=IIf(Change>0 AND intraChange>0,Change + intraChange,0);
MinusChange=IIf(Change<0 AND intraChange < 0,-Change - intraChange,0);
<%
PlusChange=VBArray(AFL("PlusChange")).toArray();
MinusChange=
VBArray(AFL("MinusChange")).toArray();
/*Make two new arrays*/
var PlusCF=new Array ();
var MinusCF=new Array();
/*fill array "PlusCF"*/
for (i=0; i<PlusChange.length; i++ )
{
if (PlusChange[i]==0) {
PlusCF[i]=0;
}
else {
PlusCF[i]=PlusChange[i]+PlusCF[i-1];
}
}
/*Fill array "MinusCF*/
for (i=0; i<MinusChange.length; i++ )
{
if (MinusChange[i]==0) {
MinusCF[i]=0;
}
else {
MinusCF[i]=MinusChange[i]+MinusCF[i-1];
}
}
/*Convert to AFL variables*/
AFL("PlusCF")=PlusCF;
AFL("MinusCF")=MinusCF;
%>
PlusTCF=
Sum(PlusChange-MinusCF,Length);
MinusTCF=
Sum(MinusChange-PlusCF,Length);
Plot(PlusTCF,"PlusTCF",colorGreen,1); //Plots PlusTCF line
Plot(MinusTCF,"MinusTCF",colorRed,1); //Plots MinusTCF line
PlotGrid(25,55); // shows white grid line for black background
PlotGrid(-25,-55); // same
Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
Buy=PlusTCF>0;
Sell=MinusTCF>0;
Short=Sell;
Cover=Buy;
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