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<H2>TA Trading System Definitions<BR>Part 1-A</H2></FONT>
<P>LS,
<P>Here is the first part of definitions of technical analysis
trading systems used to generate the buy/sell signals I report on in
the TA Updates. Additional parts will follow in the future. Hope
this will partly answer some of the questions your readers have
concerning these systems/indicators and hopefully will serve as a
future reference for them. ---- Art
<P>***************************************************************************
<P>(BND-C) Trading Band Crossover
<P>The Trading Band Crossover system is based on Trading Bands, also
known as Envelopes. The Trading Band Crossover System is based on
the observation that, in many markets, price tends to oscillate
around the Moving Average of price by a fixed percentage (typically
5%) around a P-Period Exponential Moving Average (typically 21
-Days) of the Close.
<P>If we trade as the Close crosses the band to the inside, we
should be able to profit from a move to the opposite band. Trading
Bands work particularly well in sideways (or consolidating) markets.
<P>Construction:
<P>A Trading Band is based on an Exponential Moving Average (EMA).
EMA's are defined in the MV2-C Trading System (Two Moving Average
Crossover System).
<P><B>If:</B><BR>P = Periods to use for the Moving Average
<B>and</B><BR>S% = Shifted percentage value for the bands.
<P><B>Then:</B><BR>Draw a P-Period Exponental Moving Average (EMA)
of the Closing prices. Draw an exact copy of the Moving Average,
shifted S% above and below the EMA to create the bands.
<P>For example, a 5%, 21-period Trading Band is formed by copying a
21-period Exponential Moving Average of the Close 5% above and 5%
below the Moving Average.
<P>Parameters:
<P>Periods (P): The number of periods on which the Moving Average is
based. For example, 21 indicates a 21-Period Exponential Moving
Average. Percent (S%): The Percent of price by which the Average is
shifted up and down to form the bands.
<P>Trading System:
<P>The System trades Long and/or Short whenever price moves outside
the bands and today's Close is inside the bands. The Trading Band
system works very well in Trading Range markets. It does not work
well in heavily Trending Markets where false signals can be
generated against the trend.
<P>***************************************************************************
<P>(BOL-C) Bollinger Band Crossover
<P>John Bollinger observed that if Trading Bands were constructed
based on Volatility of price, they would would contract and expand
according to market forces, more precisely matching the price
movement and identify overbought and oversold levels on the basis of
observed volatility.
<P>Construction:
<P>In the construction of Bollinger Bands, Standard Deviation of
price (SD) is used as the measure of volatility. SD is determined in
the following manner:
<P><B>If:</B><BR>P = Number of Periods considered <B>and</B><BR>Nsd
= Number of Standard Deviations used
<P><B>Then:</B><BR>MA = P-Period Exp Moving Average of current bar's
Close<BR>SUM = (Close, - MA)2 + (Close 2 - MA)2 + ... + (Closep -
MA)2<BR>SD = (Square Root of SUM)/P
<P>Plot a P-Period Exp Moving Average of the Close. For each bar,
plot MA + (Nsd * SD) to derive the upper band. For each bar, plot MA
- (Nsd * SD) to derive the lower band. MetaStock and other programs
use High and Low rather than Close in the calculation for MA to
yield MA high and MA low. This also yields a separate SD value for
both the upper and lower bands; SD high and SD low. SD high is then
added to the MA high and SD low is subtracted from MA low to yield
the upper and lower bands, respectively. This appears to yield
slightly better results.
<P>Parameters:
<P>Periods: (P) The number of periods used in the Moving Average and
Standard Deviations. Deviations (NSD): The number of Standard
Deviations used in the calculation.
<P>Trading System:
<P>Bollinger observed that price moves originating at one band will
usually travel to the other band. The Bollinger Band System trades
when the Close enters the band (similar to the Trading Band system
discussed previously).
<P>The bands expand and tighten according to higher and lower
volatility levels. This system also shows strong moves in which
price originated at one band and moved decisively to the other band.
This is the type of signal the system is attempting to identify. As
with the Trading Band system, the Bollinger Band system works well
in Trading Range markets.
<P>***************************************************************************
<P>(BOL-T) Bollinger Bands w/ ADX
<P>Linda Bradford Raschke, one of the Market Wizards interviewed in
Jack Schwagger's book, The New Market Wizards, recently described a
system she uses to trade short-term moves, based on ADX and
Bollinger Bands. ADX is used to detect a retracement from the trend,
and Bollinger Bands are used to establish entry and exit points
after the retracement is detected using ADX.
<P>Construction:
<P>First, a 2.4 Standard Deviation, 20-Period Bollinger Band is
drawn. Bollinger Bands are defined in the Bollinger Band Trading
System. A 30-Period ADX line is then drawn for reference. ADX is
defined in New Concepts in Technical Trading Systems by Welles
Wilder.
<P>Parameters:
<P>EMA Periods: The number of periods used in constructing the base
moving average for the Bollinger Bands. <BR>Deviations: The number
of standard deviations used in the Bollinger Band
calculation.<BR>ADX Level: The level for ADX at which the system
assumes that a trend is intact.<BR>ADX Periods: The number of
periods used in constructing the ADX line.
<P>Trading System:
<P>The System prepares to trade when ADX rises above 30. It then
waits for the ADX line to drop slightly, indicating a momentary
change in trend. Subsequent to that event, the System takes a
position when the price line moves back to the Exponential Moving
Average which forms the center of the Bollinger Band. The trade is
then managed with tight stops. On a short-term basis, the trade
should make a good move in the direction of trend (following the
retracement).
<P>The system chooses short-term entry points with the trend, after
detecting a slight retracement. The system trades infrequently, but
is usually correct.
<P>*************************************************************************
<P>CCI Divergence
<P>The two primary interpretations of the Commodity Channel Index
are as an overbought/oversold oscillator and using Divergence. The
CCI-D system applies CCI using Divergence signal interpretation.
<P>Construction:
<P>The Divergence Plots are constructed by first drawing the CCI
indicator, as explained under the CCI-P system. Then, the Indicator
Pivot Point is used to isolate divergence lines, which are then
superimposed on top of the CCI plot. Divergence can provide powerful
reversal signals.
<P>Trading Parameters:
<P>CCI Periods (P): The value used in "P" in the equation
for CCI, as defined in the CCI-P system.
<P>System:
<P>The System trades Long and/or Short when the CCI oscillator
diverges from price, as measured from a previous significant pivot
point for the oscillator. If price rises while CCI falls, a Short
signal is issued. If price falls while CCI rises, a Long signal is
generated.
<P>Divergence can provide powerful reversal signals. Divergence is
particularly powerful in the weekly timeframe, although it will
generally produce signals very rarely.
<P>************************************************************************
<P>(CCI-FP) CCI Fibonnaci Peaks
<P>The time period used for lookback values is critical to the
construction of any oscillator. The Fibonacci method was developed
at Nirvana Systems, Inc. and seeks to combine time periods into a
single oscillator to eliminate the need to optimize.
<P>It has been observed that if one were to plot 8, 13, and 21
Period oscillators on top of one another, those instances where all
three fire a signal at the same time are usually quite accurate, and
certainly more accurate than the signals given by any one oscillator
(operating in one time period). This approach essentially confirms
the existence of peaks (or valleys) conforming to cycles in all
three time frames.
<P>The CCF system does not need to be optimized for period, since it
is formed by an average of three separate periods of price. As with
the CCI-P system, the CCI-FP system enters a long position when the
oscillator goes below -100 and turns up. It enters a short trade
when the oscillator travels above +100 and turns down.
<P>Construction:
<P>The CCI-FP system is constructed by simply plotting three
separate CCI indicators (8, 13, and 21 Periods) and displaying the
average of the three lines. The values 8, 13, and 21 are taken from
the Fibonacci number series.
<P>CCI-FP = (CCI8+ cci 13 + cci 21) / 3
<P>Parameters:
<P>Level: The overbought and oversold levels at which CCI trades.
<P>Trading System:
<P>The System trades Long and/or Short when the composite oscillator
peaks below -Level and above +Level (usually 100).
<P>CCI-FP works very well on cyclical securities in trading range
markets.
<P>**********************************************************************
<P>(CCI-P) CCI Peaks
<P>The Commodity Channel Index (CCI) was developed by Donald
Lambert. Actually, the indicator works in any market, not just
commodities, and is a way of measuring overbought vs. oversold
levels by virtue of today's price distance from the statistical mean
price. Values above and below +100 and -100 are considered
overbought and oversold, respectively.
<P>Construction:
<P>The CCI is constructed so that its extreme values fall above and
below +100 and -100. The complete description for CCI construction
and interpretation can be found in an article by Mr. Lambert in the
October 1980 issue of Commodities Magazine (now called Futures).
<P><B>If:</B><BR>Hi = High price for bar "i"<BR>Li = Low
price for bar "i"<BR>Ci = Closing price for bar
"i"<BR>Pi = Periods in CCI Calculation
<P><B>Then:</B><BR>TP, = (H,+L,+C,) / 3 {i = 1,2,..P}<BR>mv Today
=(TPI + TPZ + TP3+ ... +TPP) / P<BR>Ri = TPi - MVToday {i =
1,2,..P)<BR>MV R =( (R1 + R2 + R3 +... + Rp/ P) * 0.015<BR>CCI Today
= (TP Today - MV Today ) / RToday
<P>In addition, signal lines are drawn on the chart at the +100 and
-100 levels. These are the classic overbought and oversold levels
for CCI.
<P>Parameters:
<P>CCI Periods (P): The value used in "P" in the equation
for CCI above, denoting how many periods to look back in the data.
<P>Trading System:
<P>The System trades Long and/or Short when the (optimized)
Commodity Channel Index goes below -100 and turns up, or goes above
+100 and turns down. The Commodity Channel Index, when optimized
over a wide period range of periods, tends to settle on values which
find nice reversal points. </FONT></P></TD></TR></TBODY></TABLE></FONT><BR><BR>
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</x-html>From ???@??? Wed Jun 24 07:06:50 1998
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From: "A.J. Maas" <anthmaas@xxxxxx>
To: <metastock@xxxxxxxxxxxxx>, <metastock-digest@xxxxxxxxxxxxxxxxxxxx>
Subject: Re: changing daily data providers
Date: Wed, 24 Jun 1998 11:46:25 +0200
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Use the Adjust Tool(Manual Adjust) in the DL
Multiply(all applicable coloms) your 'existing' data by 100
(see DL-manual + on-line help for more info)
Regards,
Ton Maas
Ms-IRB@xxxxxxxxx
-----Oorspronkelijk bericht-----
Van: paul <pwjc@xxxxxxxxxxxxxx>
Aan: metastock-digest@xxxxxxxxxxxxxxxxxxxx <metastock-digest@xxxxxxxxxxxxxxxxxxxx>
Datum: woensdag 24 juni 1998 4:48
Onderwerp: changing daily data providers
>I want to change my daily data provider, and I had a practice transmission
>sent to me via email today but have noticed that the volume in my new
>provider has 2 extra digits for each stock (my old provider divided by 100)
>fi I go wiyh my new provider what effect will this have on my charts, what
>if any thing do I need to do?.
>
>paul
>pwjc@xxxxxxxxxxxxxx
>
>
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