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"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."
I'm sure it is given that it's looking into the future ...
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> 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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