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David,
Here are two experts on Trading the Trend by A Abrahams. There are two
versions written to the same specs but interpreted differently.
TRADING THE TREND code by Harvey Pearce;
TREND TRAILING INDICATOR code by Ton Maas and the two Custom Formulas which
are needed also for the Experts to reference.
Plot them both and you'll see they are similar. Trend Trailing Indicator
seems to hug the prices a little closer but will probably give you more
whipsaws.
I think they are excellent indicators for trending stocks and you have the
ability to optimise to your advantage. The best ATR multiple seems to be
between 2 to 3.5.
Let me know if this process works alright.
Cheers Ian
>From: "David Bozkurtian" <dbozkurtian@xxxxxxxxxxx>
>Reply-To: metastock@xxxxxxxxxxxxx
>To: metastock@xxxxxxxxxxxxx
>Subject: Re: Trading The Trend
>Date: Mon, 07 Feb 2000 14:14:08 PST
>
>Ian,
>
>Can you create a file with this system so that it can be imported into MS
>6.52?
>
>Thanks
>
>David
>
>
>From: "Norman Wiss Jr." <cutup2@xxxxxxxx>
>Reply-To: metastock@xxxxxxxxxxxxx
>To: <metastock@xxxxxxxxxxxxx>
>Subject: Re: Trading The Trend
>Date: Thu, 6 Jan 2000 21:43:18 -0500
>
>Ian--I'm new to the list. Would you please send me the complete formula
>privately? Thanks
>-----Original Message-----
>From: Ian Burgoyne <iburgy@xxxxxxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Thursday, January 06, 2000 7:29 PM
>Subject: Re: Trading The Trend
>
>
> >Ton,
> >I think an extra C> slipped into the exploration formula in Colb somehow.
> >
> >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))
> >
> >{s/b If(C>Ref(C,-21) AND C>VOLAInd,}
> >
> >cheers
> >Ian
> >
> >>From: "A.J. Maas" <anthmaas@xxxxxxxxx>
> >>Reply-To: metastock@xxxxxxxxxxxxx
> >>To: "Metastock-List" <metastock@xxxxxxxxxxxxx>
> >>Subject: Re: Trading The Trend
> >>Date: Thu, 6 Jan 2000 00:35:17 +0100
> >>
> >>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)
> >>
> >>
> >
> >______________________________________________________
> >Get Your Private, Free Email at http://www.hotmail.com
> >
>
>
>______________________________________________________
>Get Your Private, Free Email at http://www.hotmail.com
>
______________________________________________________
Get Your Private, Free Email at http://www.hotmail.com
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