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Okey dokey Steve,
I'm not gonna do the MS coding for you, but I think I can point you in the
right direction mathwise so you can work out some custom indicators. As
you've already figured out, Metastock doesn't handle time very well. But
combined with a few well done Excel workbooks, it does OK. Beats coughing up
$2500/yr for Tradestation!
FYI, Elder surely wasn't the originator of using indicators across multiple
time frames and you'll probably go broke trading his system. Scaling up/down
trades in multiple time frames has long been practiced by most pros who are
limited to trading 1 security. It's the only way to effectively diversify
and minimize trade risk.
So no need to be head cheerleader for his book ;-)
Like Elder, I'm not the originator of what follows, but have picked it up
hanging out on proprietary trading floors here in Tokyo.
A problem with Metastock is that the last bar of higher time frames is
usually not complete. That is to say, for daily data compressed to weekly
format, if today is Tuesday the last weekly bar only shows Monday's action.
Since more money is made if you can catch the turns early, waiting for the
weekly bar to complete and confirm the trade triggered in the daily time
frame usually causes you to leave to allot of money on the table, especially
in a fast market.
The secret is to have an indicator that uses a higher time frame that
completes with every bar. So what you need to do then is construct
"synthetic rolling bars." Just substitute the following synthetic formulas
below for Open, High, Low, Close for the normal parameters used in the
indicators. Of course you can't use these with the built-in stochastic but
will have to build it with custom formulas. I'll leave that fun part to you!
Here's how its done.
1) let n= # of bars to merge. For weekly data use n=5, where
bar(0)=current bar; bar(5) = bar 6 days before
2) synthetic Open = O(n-1) The open for 5 days back would be bar 4
3) synthetic High = max H(0) to H(n-1) The maximum high of bars 0 to 4
4) synthetic Low = min L(0) to L(n-1) The minimum low of bars 0 to 4
5) synthetic Close = C(0) The close of n bars would be the close of bar 5 or
the current bar
6) synthetic previous Close = C(n) The close of the previous segment would
be the close of bar 5 six days ago.
7) # of bars needed for the total length of the long term indicator = x*n
where x is the length of the indicator desired. A 5 week indicator needs 25
bars
8) # of bars back = (x*n) +1
Hope this qualifies me for the FREE dinner! I'd like to go either to Fleur
de Lys or the French Laundry in Napa Valley if that's OK. I'm usually in the
Bay area around Sept in case you want to make reservations :-)
regards,
Rick
Tokyo Japan
-----Original Message-----
From: Steven Buss <sbuss@xxxxxxxxxxx>
To: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>
Date: Tuesday, January 13, 1998 9:20 PM
Subject: Re: Multi-period Market Indicator Values
>I'll create an MS 6.5 template of the indicators that I'm looking at
>intra-day. I've reviewed the daily, weekly, and monthly charts as well
with
>these indicators and strongly believe that the "Tide", "Wave" and "Ripple"
>ideas Elder outlines in his work are useful at these larger time periods as
>well. Note that I haven't done any system testing for these larger time
>periods. (In fact, it can't be done since Metastock doesn't support
running
>an exploration or system test across multiple time periods.)
>
>But it's important not to be mislead by the indicators appearing within a
>single template for a single time period.
>
>In my intra-day activities, I'm learning to be very clear about where each
>of these indicators are for 5-6 time periods at once. (1 minute, 5 minute,
>10 minute, 30 minute, daily, and weekly.) In Elder's terms, I've added a
>few more "tides" and "waves" because I've found they keep me from some
>"fake-out" situations. (Specfically, the 10 minute stochastic can protect
>me from fake-out trades based on the 5 and 1 minute indicators. That is,
if
>I actually followed my indicators in my trading! <G>)
>
>I should note that it's clear that one can substitute larger parameter
>values for some indicators at the smaller periods to provide an
>approximation of the indicators at larger intervals: Probably a 20 period
>EMA on a daily chart closely enough approximates a 4 period EMA on a weekly
>chart so that the differences don't matter. However, as I noted a few
weeks
>ago in a post to this list, I have not been able to closely approximate a
>weekly stochastic(5,3,3) from daily data. (For the interested, try doing
>this on the DJIA in 1996 and 1997. Dinner on me in San Francisco for the
>list member who can successfully do this! i.e., replicate the weekly
period
>DJIA 5,3,3 stochastic from daily data using only MS 6.5 formula syntax.)
>
>Equis should be interested in this too because it would mean that
>explorations and system tests can be written in the current version of MS
>that test Elder's "Triple Screen Trading System". If my "Dinner in San
>Francisco" prize cannot be won, it means that MS 6.5 cannot be used to
write
>explorations and system tests based on Elder's "Triple Screen Trading
>System".
>
>==>> The point in the paragraphs above is that if, in fact, one can't
>closely approximate indicator values for a larger period by adjusting the
>parameters for the smaller period, then, Elder has discovered or, at the
>least, clearly written about an issue that not a whole lot of other people
>discuss. I can't figure out why this is so. Is Elder really on to
>something? Frankly, I'm not "mathematical" enough to get to the root of
the
>issue...
>
>As you may guess, I have come to agree with Dr. Elder when he writes (in
>"Trading for a Living") that "Triple Screen is more than a trading system,
>it is a method, a style of trading."
>
>One last thing on this: Elder's discussion of the issue that appeared in
>Futures Magazine and was reprinted in his "Day Trading" booklet was based
on
>the "waves" being 5-10 minutes (I forget which). The discussion in his
book
>"Trading For a Living" is based on daily and weekly "waves". (See his
>"Triple Screen Trading System" discussion in both.)
>
>Anyone tired of my tirades about this multi-period issue yet? <G>
>
>Elder's business web site is located at www.elder.com. It's worth a visit.
>Getting on his mailing list means you get a monthly listing of new and/or
>important trading books. Please note that I have no relationship with Dr.
>Elder or his business.
>
>I won't have time to get the MS 6.5 template out until later in the week.
>
>Steven Buss
>Walnut Creek, CA
>sbuss@xxxxxxxxxxx
>
>-----Original Message-----
>From: jeff f brady <surfingrincon@xxxxxxxx>
>To: sbuss@xxxxxxxxxxx <sbuss@xxxxxxxxxxx>
>Cc: metastock-list@xxxxxxxxxxxxx <metastock-list@xxxxxxxxxxxxx>
>Date: Monday, January 12, 1998 4:13 AM
>Subject: Re: Multi-period Market Indicator Values
>
>
>>Did you write some explorations or a template with these indicators and
>>Elders view of them. I did some time ago, but never was able to develop
>>a trading system - can't say I put an all out efforet into it either.
>>Thanks for the post.
>>JB
>>++++++++++++++++++
>>
>>
>>On Sun, 11 Jan 1998 13:14:29 -0000 "Steven Buss" <sbuss@xxxxxxxxxxx>
>>writes:
>>>It's been a while since I last posted.
>>>
>>>Watching multiple time period indicators intraday has convinced me
>>>that it
>>>is essential to evaluate market indicators from a multi-period
>>>perspective.
>>>
>>>Alexander Elder has the clearest exposition of this that I've seen
>>>(his
>>>"Triple Screen System").
>>>
>>>Anyone know of anyone besides Elder who has written clearly about an
>>>integrated multi-period analysis and trading?
>>>
>>>I've summarized values for my current favorite indicators below by
>>>index and
>>>period as of close 1/9/98.
>>>
>>>
>>>S&P500 Daily
>>>Weekly
>>>Monthly
>>> Stochastic(5,3,3) 13.56 & falling 36.24 &
>>>falling 73.81
>>> MACD (12,26,9) -2.95 & falling -5.43 &
>>>falling
>>>5.52 & falling
>>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 just crossed
>>>below 9
>>>4 above 9 & 18
>>>
>>>DJIA
>>> Stochastic(5,3,3) 19.90 & falling 30.04 &
>>>falling 61.97 & rising
>>> MACD (12,26,9) -18.7 & Falling -41.44 &
>>> -13.78 & Falling
>>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 All ~= but 4 is
>>>falling
>>>4 above 9 & 18
>>>
>>>Nasdaq Composite
>>> Stochastic(5,3,3) 12.97 & falling 27.50 &
>>>falling 35.14 & falling
>>> MACD (12,26,9) 1.48 & falling -23.96 &
>>>falling 2.34 & falling
>>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 crossed below 18
>>>4 above 9 & 18, but close to 9
>>>
>>>4 periods ago
>>>Nasdaq 100
>>> Stochastic(5,3,3) 19.12 & falling 24.04 &
>>>falling
>>>32.13 & falling
>>> MACD (12,26,9) 2.09 & falling -18.33 &
>>> -5.35 & falling
>>> 3 Line EMA(4,9,18) 4 just crossed below 9 & 18 4 crossed below 18
>>>4 above 9 & 18, but close to 9
>>>
>>>4 periods ago
>>>
>>>Wish me luck. My intra-day travels (or is it travails?) have led me
>>>to try
>>>my hand at intra-day S&P futures.
>>>
>>>Steven Buss
>>>Walnut Creek, CA
>>>sbuss@xxxxxxxxxxx
>>>
>>>
>>>
>>
>
>
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