Re: PGTrend for TS2000

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

Dennis Holverstott pointed out to me that the PG_Osc system was 
simply a small variation of the Keltner Channel system which "...has 
been around forever."

Restating the Keltner Channel system in terms of the PG_Osc parameters you get:

---------

Vars: Ave(Close), Upper(Close + 3 * AveTrueRange(89)), Lower(Close - 
3 * AveTrueRange(89));

Ave   = Average(Close, 89);
Upper = Ave + 3 * AveTrueRange(89);
Lower = Ave - 3 * AveTrueRange(89);

if MP < 1 and Close > Upper then Buy        at market ;
if MP = 1 and Close < Ave   then ExitLong   at market ;
if MP >-1 and Close < Lower then Sell       at market ;
if MP =-1 and Close > Ave   then ExitShort  at market ;

---------

The only difference is that the PG_Osc system used the XAverage of 
TrueRange whereas the Keltner Channel system used Average. With the 
length of 89, the differences would be minor.

A little algebraic manipulation will show that the buy condition is 
the same as for the PG_Osc system:

      Close > Upper

is the same as:

      Close > Ave + 3 * AveTrueRange(89);

which is the same as:

      Close - Ave > 3 * AveTrueRange(89);

which is the buy condition for the PG_Osc system.

Thanks Dennis. I hadn't recognized that the two were equivalent.

Bob Fulks