Re: [RT] persistence of trend

["Clyde Lee\(swb\)" <clydelee@xxxxxxxxxx>]

Look at the Pearson Moment Correlation routine

 

 

{ Pearson's coefficient R }

 

inputs:
 Dep( numericseries ),
 Length( numericsimple ) ;

 

variables:
 AvgX( 0 ),
 AvgY( 0 ),
 SumDySqr( 0 ),
 SumDxDy( 0 ),
 SumDxSqr( 0 ),
 Dy( 0 ),
 Dx( 0 ),
 R( 0 ),
 Counter( 0 ),
 ProdDxDySqr( 0 ) ;

 

CoefficientREasy = -2 ;

 

if Length > 0 then
 begin

 

 AvgX = 0.5 * ( Length - 1 ) ;
 AvgY = 0 ;
 for Counter = 0 to Length - 1
  begin
  AvgY = AvgY + Dep[Counter] ;
  end ;
 AvgY = AvgY / Length ;

 

 SumDxSqr = 0 ;
 SumDySqr = 0 ;
 SumDxDy = 0 ;
 for Counter = 0 to Length - 1
  begin
  Dx = Length - 1 - Counter - AvgX ;
  Dy = Dep[Counter] - AvgY ;
  SumDxSqr = SumDxSqr + Square( Dx ) ;
  SumDySqr = SumDySqr + Square( Dy ) ;
  SumDxDy = SumDxDy + Dx * Dy ;
  end ;

 

 ProdDxDySqr = SumDxSqr * SumDySqr ;
 if ProdDxDySqr > 0 then
  begin
  R = SumDxDy / SquareRoot( ProdDxDySqr ) ;
  if R >= -1 and R <= 1 then
   CoefficientREasy =  R ;
  end ;
 end ;

 

{ ** Copyright (c) 2004 TradeStation Technologies, Inc. All rights reserved. **
  ** TradeStation reserves the right to modify or overwrite this analysis technique
     with each release. ** }

----- Original Message -----

From: Jeff

To: realtraders@xxxxxxxxxxxxxxx

Sent: Wednesday, October 22, 2008 11:15 AM

Subject: RE: [RT] persistence of trend

Hi Clyde:

 

Thanks a lot for the sharing.  I like your Trend Projector as well.

 

Have a good one

Jeff

 

---

From: realtraders@xxxxxxxxxxxxxxx [mailto:realtraders@xxxxxxxxxxxxxxx] On Behalf Of Clyde Lee(swb)
Sent: Wednesday, October 22, 2008 10:13 PM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] persistence of trend

 

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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----- Original Message -----

From: Jim White

To: realtraders@xxxxxxxxxxxxxxx

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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