Re: Ruggiero's Trend Mode Rules

["Von Hef" <VonHef@xxxxxxxxxx>]

Thanks for the explanation!

 Best wishes,
               Adam Hefner.
 e-mail:  VonHef@xxxxxxxxxx

_____________________
-----Original Message-----
From: Yngvi Hardarson <hardy@xxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Monday, December 21, 1998 11:42 AM
Subject: Re: Ruggiero's Trend Mode Rules


>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
>>>
>>>
>>
>