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Adam!
Yes you are right but there is a bit more. I guess I should have posted the
following along with my original message.
Ruggiero's rules for trend mode quoting his table 4.9:
1. If ADX crosses above 25, then the market is trending.
2. If ADX crosses below 20, then the market is consolidating.
3. If ADX crosses below 45 from above, then the market is consolidating.
4. If ADX rises from below 10 on 3 out of 4 days, then the market will start
to trend.
5. If a trend is based on rule 4, it remains in effect until the 5 day
difference in ADX is less than 0.
Ruggiero employs a 14 day ADX but that is based on T-Bonds data.
Ruggiero suggest employing the above rules as a filter. Sounds quite
sensible.
However I'm not quite sure of the precise interpretation of his point 4 and
therefore I guess my implementation of it is somewhat primitive.
I make the indicator take the value +1 if trending, a -1 if consolidating
according to the above criteria but I guess the zero is for the grey area
inbetween. Anyway according to definition: If a market is not trending it
must be consolidating. However the zero may contain additional useful
information. I just have not experimented enough.
Also Ruggiero suggests tweaking the threshold values but I have not
experimented much on that. I guess that I'm a bit conservative with regard
to optimization and I tend to give prior knowledge much greater value. Also
I prefer parsimony.
Thanks for your feedback Adam and if you come up with anything of interest
I'd be interested to know.
Best regards,
Yngvi
-----Original Message-----
From: Von Hef <VonHef@xxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Saturday, December 19, 1998 2:52 PM
Subject: Re: Ruggiero's Trend Mode Rules
>Hello Yngvi ,
>I find your indicator very interesting, perhaps (If you dont mind) would
you
>share
>the strategy in using this indicator? I plotted it with the ADX and noticed
>that when
>ADX is below 20 or ADX is declining (which indicates no or falling trend)
>that your
>indicator plotted "-1". When a trend broke out, yours showed a "0" or
>"+1"......
>what does the value "0" represent? Thanks for sharing!
>
> Best wishes,
> Adam Hefner.
> e-mail: VonHef@xxxxxxxxxx
>
>_____________________
>-----Original Message-----
>From: Yngvi Hardarson <hardy@xxxxxxxxxx>
>To: Metastock list <metastock@xxxxxxxxxxxxx>
>Date: Saturday, December 19, 1998 4:17 AM
>Subject: Ruggiero's Trend Mode Rules
>
>
>>Hi All!
>>
>>Has anybody experimented with Ruggieros Trend mode identification strategy
>>as described in table 4.9 in his Cybernetic Trading Strategies book?
>>
>>Below I have made an attempt to write down an indicator supposed to employ
>>his rules.
>>
>>periods:=Input("Periods?",1,63,14);
>>If((ADX(periods)>25 AND (BarsSince(Cross(45,ADX(periods))) >
>>BarsSince(Cross(ADX(periods),25)))) OR (ADX(periods) > 10 AND
>>Ref(ADX(periods),-4)<10 AND (ADX(periods)-Ref(ADX(periods),-5)>0)), 1,
>>If(ADX(periods)<20 OR ((BarsSince(Cross(45,ADX(periods))) <
>>BarsSince(Cross(ADX(periods),25))) AND ADX(periods) < 45),-1,0))
>>
>>
>>Comments or suggestions anybody?
>>
>>Regards,
>>Yngvi
>>
>>
>
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