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as requested............
Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying and
note the new address change. Also for my Homepage
http://home.planet.nl/~anthmaas
================================================
The TTT Article
http://www.traders.com/Archive/0998/Abraham9809.html
TTT-TREND TRAILING Ind - Andrew Abraham
{from TASC article SEP98 - TRADING THE TRENDS}
VOLAInd:=Mov(ATR(21),1,W)*3;
If(C>Ref(C,-21) AND C>VOLAInd,
HHV(H,21)-Ref(VOLAInd,-1),
Ref(VOLAInd,-1)+LLV(L,21))
{CHANGE BAR COLORS:
double click on the price plot in the chart, from the Color/Style page
click the UP drop-list and choose darkblue for upwards, and red for
downward price changes}
Note: In the normal everyday usable charts, this way of coloring is common, oppose
to the in/by Abraham's in the article required "more speaking and thus giving more information"
necessary "highlighting the Trend"-way.
Then to have the bars coloured BLUE when trend's up and RED when trend's down(Abraham's
article) requires the INEVITABLE use of the Expert Advisor, a seperately integrated
MSK sub-program.
The author refers to the Volatility indicator developed by Welles Wilder to be the trailing
trend indicator's base. Thats where Wilders input to Andrew's indicator stops and where
Andrew starts to add his input with "The trailing trend indicator conditions and preferences".
Basic conditions and preferences in the Abraham's trend trailing indicator-article:
1. Let's say the market has been rising
2. Then the (Wilders) volatility indicator is calculated each day and subtracted from the
highest close during the rising market.
3. The highest close is always used, even if there has been a series of lower
closes since the highest close.
4. If the market closes below the volatility indicator, then for the next day, the current
reading of the volatility indicator is added to the lowest close.
5. This step is followed each day until the market closes above
the trailing volatility indicator.
6. We now have a definition of the trend. An upward trend exists as long as the
volatility indicator is below the market
7. A downtrend is in force if the volatility indicator is above the market.
---------------------------------------------------------------
Exploration
Name:
TTT-TREND TRAILING Ind - Andrew Abraham
Cola:
Close
Colb:
VOLAInd:=Mov(ATR(21),1,W)*3;
C>If(C>Ref(C,-21) AND C>VOLAInd,
HHV(H,21)-Ref(VOLAInd,-1),
Ref(VOLAInd,-1)+LLV(L,21))
Filter:
Cola > Colb
---------------------------------------------------------------
Expert
To create an Expert see 6.5 manual p. 368, to create Trend rules see p.371.
Name:
TTT-TREND TRAILING Ind - Andrew Abraham
To color the barcharts to coincide with a Trend, use the Highlights Tool in the Expert
Editor(Tip-1 p.374 and 'Creating and Editing Highlights' p.391) and put the formula
into the condition field in the Expert Highlight Editor(p.393).
Name: Bullish
Color : Blue(dark)
Condition: C>fml("TTT-TREND TRAILING Ind - Andrew Abraham")
Name: Bearish
Color : Red
Condition: C<fml("TTT-TREND TRAILING Ind - Andrew Abraham")
The "fml" function can be replaced by copying and pasting the entire formula (below) to
the condition field (this if you experience receiving any of the anoying error messages).
Bullish Condition:
VOLAInd :=Mov(ATR(21),1,W)*3;
C>If(C>Ref(C,-21) AND C>VOLAInd,
HHV(H,21)-Ref(VOLAInd,-1),
Ref(VOLAInd,-1)+LLV(L,21))
Bearish Condition:
VOLAInd :=Mov(ATR(21),1,W)*3;
C<If(C>Ref(C,-21) AND C>VOLAInd,
HHV(H,21)-Ref(VOLAInd,-1),
Ref(VOLAInd,-1)+LLV(L,21))
Commentary:
Note: The "Writeif" function(=displaying text, see MS65-manual p.376) can ONLY be used
within an Experts' commentary(p.250) and is here not used(eg left blanc, refer to the article).
==========================================================
Volatility Index - Wilder
rev. 01/06/97
In his book New Concepts in Technical Trading Systems, J. Welles Wilder Jr.
talks about volatility and describes his Volatility Index and Volatility System.
Both of these can be performed in MetaStockT for Windows version 6.x.
This document describes how to construct the index.
The Volatility Index (VI) is described by Wilder as:
VI Today = (13 * VI Prev + TR1) / 14 *where TR1 is today's true range.
He defines the true range as the greatest of the following:
1. The distance from today's high to today's low
2. The distance from yesterday's close to today's high, or
3. The distance from yesterday's close to today's low.
In MetaStock version 6.0 or higher you would use the Prev function and an one period
Average True Range to construct the Volatility Index.
The custom formula is written as:
VI Today = (13 * Prev + ATR(1)) / 14
=========================================================
Average True Range - Wilder
MSK6.5 Help/manual p.420-421
In his book, New Concepts In Technical Trading Systems, Wilder defines a trading system
that uses the Average True Range.
He also provides details on calculating the Average True Range and the trading system.
The Average True Range also can be interpreted using the same techniques that are used
with the other volatility indicators. Refer to the discussion on Standard Deviation for additional
information on volatility interpretation (see Standard Deviation).
Interpretation
The True Range indicator is defined by Wilder to be the greatest of the following for each period:
· The distance from today's high to today's low.
· The distance from yesterday's close to today's high.
· The distance from yesterday's close to today's low.
The Average True Range is simply the average of the true ranges over the past x periods
(where x is specified by the user).
Parameters
The parameters for the Average True Range are shown below. These parameters are specified
at the time the indicator is plotted. You can edit the parameters of an existing plot by right-clicking
on the indicator and choosing Properties from the shortcut menu.
Time Periods. Enter the number of time periods to use when calculating Average True Range.
The term "time periods" refers to days if the chart contains daily data, weeks for
weekly data, etc.
Custom indicator
SYNTAX atr( PERIODS )
FUNCTION Calculates the predefined Average True Range indicator.
EXAMPLE atr( 20 )
=======================================================
Average True Range - Welles Wilder (for MetaStock v6.5)
(Written by Ton Maas-981225-Amsterdam-the Netherlands)
The True Range is the greatest of the following differences:
a) Today's high to today's low
b) Today's high to yesterday's close
c) Today's low to yesterday's close
The range is normally the "high - low" . However, any time
the value of yesterday's close is not within the range of
today's bar, rule b) or rule c) applies.
As with most other indicators, the periodic value is summed
and smoothed to create the final indicator.
The Average True range is a 1-day Moving Average of the True range.
In Metastock(v6.5):
-Open the Indicator Builder
-Press New
-This will open the IB's Editor and display a new blanc formula layout
-In the "Name"-field type(or Copy+Paste) the name below
-In the "Formula"-field type(or Copy+Paste) the formula below
Note:
The ATR indicator function is standard build-in in MetaStock(v6.x) and can
be used by typing ATR("periods") as its Syntax in the Formula field.
Example: ATR(20) (=a 20-day True range average)
Mov(ATR(1),20,S) (=a 20-day Moving Average of a daily True Range)
The pre-defined ATR-indicator is prefered over the below printed formula, for that
it will require the longer calculation time.
Name:
Average True Range - Welles Wilder
Formula (in MSK6.5):
TR1:=Abs(H-L);
TR2:=Abs(Ref(C,-1)-H);
TR3:=Abs(Ref(C,-1)-L);
MX1:=Max(TR1,TR2);
MX2:=Max(TR1,TR3);
MX3:=Max(TR2,TR3);
MXTRS:=If(MX1>MX2,
If(MX1>MX3,MX1,
If(MX2>MX3,MX2,MX3)),MX2);
WATR:=Mov(MXTRS,1,S);
WATR
=======================================================
True Range - Wilder
Description :
This function creates an array containing for each day, the higher of the following differences:
Between today's high and today's low.
Between today's high and yesterday's close.
Between today's low and yesterday's close.
The value of tr() for any day is always positive or zero.
The custom formula in MSK6.5:
wtr:=If((atr(1)/1)>0,atr(1),0.001);
wtr
or in MSK6.0:
If((atr(1)/1)>0,atr(1),0.001)
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