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For those of you following this discussion, here is a link to the Equis Forum's thread on the topic. It also provides the indicator that they proposed along with a system for testing:
http://forum.equis.com/forums/thread/31627.aspx
I also wanted to post another version which actually is faster than the one the authors in TASC came up with:
{Vortex on Steroids}
{Based on a Jan. 2010 TASC article}
{From equismetastock@ yahoogroups}
{By Preston Umrysh}
Period:=Input("periods",1,100,14);
ATRPd:= Input("ATR periods",1,100,1);
VMP:=Abs(H-Ref(L,-1));
VMM:=Abs(L-Ref(H,-1));
STR:=ATR(ATRPd);
VIP:=Wilders(VMP/STR,period);VIP;
VIM:=Wilders(VMM/STR,period);VIM;
The reason this indicator is faster is due to the difference in how the VMP and VMM calculations are handled. In the original version they are summed over the lookback period then divided by the sum of the ATR's. In the steroidal version above this calculation is preformed on a daily basis.
Another trick is the use of a Wilder's moving average which is very similar to an exponential moving average at half the lookback periods.
enjoy,
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, Bob Waits <bobwaits2@xxx> wrote:
>
> Preston:
>
> Indeed this indicator deserves further studies. Wealthlab, for instance, uses ATR Trailing stop. And on S&P emini, the strategy was effective in entering and remaining in large trends garnering more than $33,000 in profits trading two contracts 24 times in the past two years -- this does not include slippage and commissions.
>
> And as you pointed out StrataSearch said that while the indicator was not very effective by itself on Nasdaq 100 stocks, as part of a system (combining with other indicators) the VI yielded a >35% annual return with >65% profitable trades.
>
> And TraderStudio said that the VI system was more profitable and higher Sharpe ratio than DMI on futures but the opposite on Nasdaq stocks.
>
> Thanks.
>
>
>
>
>
> ________________________________
> From: pumrysh <no_reply@xxxxxxxxxxxxxxx>
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Thu, December 31, 2009 8:00:44 AM
> Subject: Re: [EquisMetaStock Group] Vortex Indicator
>
>
> Bob,
>
> You are a man after my own heart!
>
> The Traders Tips section is like another article by itself.
> I admit that due to the holidays that I haven't had the time to really do any in depth investigating but a quick look this a.m. led to some rather varying thoughts.
>
> Wealth-Lab used the VI along with an ATR Trailing Stop in their system.
>
> AIQ's Richard Denning has me wondering how he compares an Indicator to an Index.
>
> TradersStudio used a crossover system.
>
> StrataSearch stated that as part of a system the VI yielded a >35% annual return with >65% profitable trades.
>
> Wave59 used the VI in weekly system.
>
> Track 'N Trade Pro gives the formula for an ADX.
>
> Based on all of this I would say that some in depth study is in order.
>
> Thanks for pointing this out!
>
> Preston
>
> --- In equismetastock@ yahoogroups. com, Bob Waits <bobwaits2@ ..> wrote:
> >
> > Thanks Preston. I got the magazine today. Both MS and AB's formula draw the indicator. But Tradestation and Nuroshell has code for a proper system. Have you had a chance to review the article and see if we can test the validity of this indicator.
> >
> >
> > Thanks.
> >
> >
> >
> >
> > ____________ _________ _________ __
> > From: pumrysh <no_reply@xxxxxxxxxx s.com>
> > To: equismetastock@ yahoogroups. com
> > Sent: Wed, December 30, 2009 4:42:02 AM
> > Subject: Re: [EquisMetaStock Group] Vortex Indicator
> >
> >
> > Bob,
> >
> > As usual the metastock version of the indicator didn't make the publication deadline. The one that I presented was adapted from the Amibroker version.
> >
> > Its basically used the same as Wilder's DX. The difference in the two being that there is no zero calculation in the Vortex version.
> >
> > Preston
> >
> > --- In equismetastock@ yahoogroups. com, Bob Waits <bobwaits2@ ..> wrote:
> > >
> > > Thanks Preston. Haven't received my Jan Issue yet, but how does on use this indicator -- I am assuming when the fast moving line crosses the slower moving line from below.
> > >
> > > Also, what are the backtest results for this indicator and how would one code this for the expert advisor?
> > >
> > > Thanks.
> > >
> > >
> > >
> > >
> > > ____________ _________ _________ __
> > > From: pumrysh <no_reply@xxxxxxxxx p s.com>
> > > To: equismetastock@ yahoogroups. com
> > > Sent: Tue, December 29, 2009 9:01:04 PM
> > > Subject: [EquisMetaStock Group] Vortex Indicator
> > >
> > >
> > >
> > >
> > > Here's the Metastock code for the Vortex Indicator
> > > discussed in the January 2010 issue of TASC
> > >
> > > {Vortex Indicator}
> > > {TAS&C Jan 2010}
> > > {Written for Metastock by Preston Umrysh}
> > > Period:= Input("Enter periods",1,100, 14);
> > > VMP:=Sum(Abs( H-Ref(L,- 1)),period) ;
> > > VMM:=Sum(Abs( L-Ref(H,- 1)),period) ;
> > > STR:=Sum(ATR( 1),period) ;
> > > VIP:=VMP/STR; VIP;
> > > VIM:=VMM/STR; VIM;
> > > {end}
> > >
> > > enjoy,
> > >
> > > Preston
> > >
> >
>
------------------------------------
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