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Back in 2003 I looked into something similar to what
Jim
has published.
Attached is a picture of my application:
C_Lee_CountUp-Dn
applied to the "fast" Gold model we are
following.
This is modeled after some of Tom DeMark's work in
which
he counted number if periods in which the high of today
was
higher than the high some number of bars ago.
In this application you can select from 1 to 7 and if
desired
you can get a printout (shown in attached .txt file) of
some
statistics about such intervals.
I hope that this can help you determine the likely
extent
of whatever length trend you are trading. Works well
on
weekly and monthly charts.
For TS8.x users there is an .eld
file.
For TS2000i users there is an .els file but I have
not
tested this file, just generated it in TS2K.
Clyde
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Clyde
Lee
SYTECH Corporation
7910
Westglen
Phone: 713.783.9540
Suite
105
Fax: 713.783.1092
Houston, TX 77063 www.theswingmachine.com
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contain confidential and
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recipient,
please notify the sender immediately by return e-mail, delete
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----- Original Message -----
Sent: Tuesday, October 21, 2008 11:28
AM
Subject: [RT] persistence of trend
To those of you interested in Pivot and trend trading, I have an article
appearing in the November issue of Technical Analysis of Stocks and
Commodities that might be of interest.
Jim White
Pivot Research & Trading Co.
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Data for: @YGZ08 Period 1080729/1081022 Delta=3 @60
Up1= 47.00 Up2= 24.00 Up3= 43.00
Dn1= 41.00 Dn2= 28.00 Dn3= 34.00
Up4= 26.00 Up5= 11.00 Up6= 10.00 Up7= 10.00
Dn4= 14.00 Dn5= 19.00 Dn6= 11.00 Dn7= 11.00
Percent Up5/4= 0.42 Percent Up6/4= 0.38 Percent Up7/4= 0.38
Percent Dn5/4= 1.36 Percent Dn6/4= 0.79 Percent Dn7/4= 0.79
Up4barX1Pr= 1.07 Up4barX2Pr= -0.06 Up4barX3Pr= -0.69
Up5barX1Pr= -2.98 Up5barX2Pr= -5.54 Up5barX3Pr= -3.43
Up6barX1Pr= -4.06 Up6barX2Pr= -3.89 Up6barX3Pr= -1.55
Up7barX1Pr= -0.36 Up7barX2Pr= 0.47 Up7barX3Pr= 3.59
Dn4barX1Pr= -2.61 Dn4barX2Pr= -2.37 Dn4barX3Pr= -6.91
Dn5barX1Pr= 0.68 Dn5barX2Pr= -0.85 Dn5barX3Pr= -0.27
Dn6barX1Pr= -2.55 Dn6barX2Pr= -0.53 Dn6barX3Pr= -3.60
Dn7barX1Pr= 1.39 Dn7barX2Pr= -2.44 Dn7barX3Pr= -1.51
[LegacyColorValue = true];
{ Indicator: C_Lee_CountUp-Down
Copyright SYTECH Corporation 2003
Look back a given number of bars and deterine direction of
close with respect to that prior bar. Count all up and down
events and log all the only 1, only 2, only3, ..... counts.
Also look at price movements after 4,5,6,7 counts.
}
Input: Price(c),
BarsBack(2), {Number bars to look back to determine direction}
MinCount(2), {Minimum value before a plot is made }
PrntStat(False); {Set true to print statistics to print log }
Vars: UpCount(0),DnCount(0), MP(0);
Vars: UpCount1(0),UpCount2(0),UpCount3(0);
Vars: DnCount1(0),DnCount2(0),DnCount3(0);
Vars: UpCount4(0),UpCount5(0),UpCount6(0),UpCount7(0);
Vars: DnCount4(0),DnCount5(0),DnCount6(0),DnCount7(0);
Vars: UpDeltP41(0),UpDeltP42(0),UpDeltP43(0);
Vars: UpDeltP51(0),UpDeltP52(0),UpDeltP53(0);
Vars: UpDeltP61(0),UpDeltP62(0),UpDeltP63(0);
Vars: UpDeltP71(0),UpDeltP72(0),UpDeltP73(0);
Vars: DnDeltP41(0),DnDeltP42(0),DnDeltP43(0);
Vars: DnDeltP51(0),DnDeltP52(0),DnDeltP53(0);
Vars: DnDeltP61(0),DnDeltP62(0),DnDeltP63(0);
Vars: DnDeltP71(0),DnDeltP72(0),DnDeltP73(0);
Vars: FirstDate(0),LastDate(0);
LastDate=Date;
If FirstDate=0 then FirstDate=Date;
If Price>Price[BarsBack] then begin
UpCount=UpCount+1;
DnCount=0;
Value1=Text_New(date,time,H,NumToStr(UpCount,0));
Text_SetStyle(Value1, 2, 1);
Text_SetColor(Value1,Blue);
If DnCount[1]=1 then DnCount1=DnCount1+1;
If DnCount[1]=2 then DnCount2=DnCount2+1;
If DnCount[1]=3 then DnCount3=DnCount3+1;
If DnCount[1]=4 then UpCount4=UpCount4+1;
If DnCount[1]=5 then UpCount5=UpCount5+1;
If DnCount[1]=6 then UpCount6=UpCount6+1;
If DnCount[1]=7 then UpCount7=UpCount7+1;
End;
If Price<Price[BarsBack] then begin
DnCount=DnCount+1;
UpCount=0;
Value1=Text_New(date,time,H,NumToStr(DnCount,0));
Text_SetStyle(Value1, 2, 0);
Text_SetColor(Value1,Red);
If UpCount[1]=1 then UpCount1=UpCount1+1;
If UpCount[1]=2 then UpCount2=UpCount2+1;
If UpCount[1]=3 then UpCount3=UpCount3+1;
If UpCount[1]=4 then DnCount4=DnCount4+1;
If UpCount[1]=5 then DnCount5=DnCount5+1;
If UpCount[1]=6 then DnCount6=DnCount6+1;
If UpCount[1]=7 then DnCount7=DnCount7+1;
End;
If CurrentBar>BarsBack then begin
If UpCount>=MinCount then Plot1( UpCount,"U")
else Plot1( 0,"U");
If DnCount>=MinCount then Plot2(-DnCount,"D")
else Plot2( 0,"D");
If UpCount+DnCount<MinCount then begin
SetPlotColor(1,GetBackgroundColor);
SetPlotColor(2,GetBackgroundColor);
End;
{
MP=MarketPosition;
If MP<=0 then If UpCount>=MinCount then Buy;
If MP>=0 then If DnCount>=MinCount then Sell;
If MP> 0 then If UpCount< MinCount then ExitLong;
If MP< 0 then If DnCount< MinCount then ExitShort;
}
End;
If UpCount[1]=4 then UpDeltP41=UpDeltP41+(Price-Price[1]);
If UpCount[2]=4 then UpDeltP42=UpDeltP42+(Price-Price[2]);
If UpCount[3]=4 then UpDeltP43=UpDeltP43+(Price-Price[3]);
If UpCount[1]=5 then UpDeltP51=UpDeltP51+(Price-Price[1]);
If UpCount[2]=5 then UpDeltP52=UpDeltP52+(Price-Price[2]);
If UpCount[3]=5 then UpDeltP53=UpDeltP53+(Price-Price[3]);
If UpCount[1]=6 then UpDeltP61=UpDeltP61+(Price-Price[1]);
If UpCount[2]=6 then UpDeltP62=UpDeltP62+(Price-Price[2]);
If UpCount[3]=6 then UpDeltP63=UpDeltP63+(Price-Price[3]);
If UpCount[1]=7 then UpDeltP71=UpDeltP71+(Price-Price[1]);
If UpCount[2]=7 then UpDeltP72=UpDeltP72+(Price-Price[2]);
If UpCount[3]=7 then UpDeltP73=UpDeltP73+(Price-Price[3]);
If DnCount[1]=4 then DnDeltP41=DnDeltP41+(Price-Price[1]);
If DnCount[2]=4 then DnDeltP42=DnDeltP42+(Price-Price[2]);
If DnCount[3]=4 then DnDeltP43=DnDeltP43+(Price-Price[3]);
If DnCount[1]=5 then DnDeltP51=DnDeltP51+(Price-Price[1]);
If DnCount[2]=5 then DnDeltP52=DnDeltP52+(Price-Price[2]);
If DnCount[3]=5 then DnDeltP53=DnDeltP53+(Price-Price[3]);
If DnCount[1]=6 then DnDeltP61=DnDeltP61+(Price-Price[1]);
If DnCount[2]=6 then DnDeltP62=DnDeltP62+(Price-Price[2]);
If DnCount[3]=6 then DnDeltP63=DnDeltP63+(Price-Price[3]);
If DnCount[1]=7 then DnDeltP71=DnDeltP71+(Price-Price[1]);
If DnCount[2]=7 then DnDeltP72=DnDeltP72+(Price-Price[2]);
If DnCount[3]=7 then DnDeltP73=DnDeltP73+(Price-Price[3]);
If LastBarOnChart and PrntStat then begin
Print(" ");
Print(" ");
Print("Data for: ",GetSymbolName," Period ",NumToStr(FirstDate,0),"/",NumToStr(LastDate,0),
" Delta=",NumToStr(BarsBack,0)," @",NumToStr(BarMins,0));
Print(" ");
Print("Up1=",UpCount1," Up2=",UpCount2," Up3=",UpCount3);
Print("Dn1=",DnCount1," Dn2=",DnCount2," Dn3=",DnCount3);
Print(" ");
Print("Up4=",UpCount4," Up5=",UpCount5," Up6=",UpCount6," Up7=",UpCount7);
Print("Dn4=",DnCount4," Dn5=",DnCount5," Dn6=",DnCount6," Dn7=",DnCount7);
Print(" ");
Print("Percent Up5/4=",UpCount5/UpCount4," Percent Up6/4=",UpCount6/UpCount4,
" Percent Up7/4=",UpCount7/UpCount4);
Print("Percent Dn5/4=",DnCount5/DnCount4," Percent Dn6/4=",DnCount6/DnCount4,
" Percent Dn7/4=",DnCount7/DnCount4);
Print(" ");
Print("Up4barX1Pr=",UpDeltP41/UpCount4," Up4barX2Pr=",UpDeltP42/UpCount4," Up4barX3Pr=",UpDeltP43/UpCount4);
Print("Up5barX1Pr=",UpDeltP51/UpCount5," Up5barX2Pr=",UpDeltP52/UpCount5," Up5barX3Pr=",UpDeltP53/UpCount5);
Print("Up6barX1Pr=",UpDeltP61/UpCount6," Up6barX2Pr=",UpDeltP62/UpCount6," Up6barX3Pr=",UpDeltP63/UpCount6);
Print("Up7barX1Pr=",UpDeltP71/UpCount7," Up7barX2Pr=",UpDeltP72/UpCount7," Up7barX3Pr=",UpDeltP73/UpCount7);
Print(" ");
Print("Dn4barX1Pr=",DnDeltP41/DnCount4," Dn4barX2Pr=",DnDeltP42/DnCount4," Dn4barX3Pr=",DnDeltP43/DnCount4);
Print("Dn5barX1Pr=",DnDeltP51/DnCount5," Dn5barX2Pr=",DnDeltP52/DnCount5," Dn5barX3Pr=",DnDeltP53/DnCount5);
Print("Dn6barX1Pr=",DnDeltP61/DnCount6," Dn6barX2Pr=",DnDeltP62/DnCount6," Dn6barX3Pr=",DnDeltP63/DnCount6);
Print("Dn7barX1Pr=",DnDeltP71/DnCount7," Dn7barX2Pr=",DnDeltP72/DnCount7," Dn7barX3Pr=",DnDeltP73/DnCount7);
Print(" ");
Print(" ");
End;
[LegacyColorValue = true];
{TSPro returns bad value for BarInterval for Daily data}
{Only worry about reported sess1 for daily data }
BarMins=iff(DataCompression>1,Sess1EndTime-Sess1StartTime,BarInterval);
Attachment:
Description: Binary data
Attachment:
COUNT_UPDN.gif
Description: GIF image
Attachment:
Description: Binary data
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