StockFetcher Forums · Filter Exchange · TTM Squeeze<< 1 2 >>Post Follow-up
xarlor
327 posts
msg #152476
Ignore xarlor
6/4/2020 6:40:12 PM

I finally got off my duff and tried to recreate the TTM Squeeze on SF. I use it all the time in ThinkOrSwim and it is a fantastic indicator. To summarize Ryan from cypherscope.com:

"The TTM Squeeze captures the moments where a market is in a period of consolidation right before a big move and predicts the subsequent direction of that move."

The indicator is a lot prettier on other charting tools, but I have need of it on SF to incorporate into other filters. Note that this is not as "tight" as the ToS version. It captures the squeezes at the same time, but draws them sooner than ToS would and also longer. Still, if you enter at any time during the squeeze, it's often rewarding.

How do you use TTM Squeeze? It truly is as easy as entering a position when TTM_Squeeze flashes and to do so in the direction of momo (momentum). If momo is increasing, go long. If momo is decresing, go short. Simple as that.

Here is the filter with FAANG+M

Fetcher[
symlist(MSFT,AMZN,AAPL,GOOG,NFLX,FB)

set{momo,momentum(16)}
add column momo
draw momo
plottype{momo,zerobar}

set{Pchange1,momentum(16)/momentum(16) 1 day ago}
set{Pchange,Pchange1 - 1}
add column pchange

draw Bollinger Band(20,2)
draw Keltner Band(20,2)

set{sqz1,count(momo > .01,1)}
set{sqz2,count(momo < 0,1)}
set{sqz3,count(Upper Bollinger Band(20,2) < Upper Keltner Band(20,2),1)}
set{sqz4,count(Lower Bollinger Band(20,2) > Lower Keltner Band(20,2),1)}
set{sqz5,sqz3 * sqz4}
set{sqz6,sqz1 + sqz2}
set{TTM_Squeeze,sqz5 * sqz6}

draw TTM_Squeeze
]





Cheese
938 posts
msg #152478
Ignore Cheese
6/4/2020 8:12:43 PM

Thank you, xarlor.

So, is TTM very much like the more commonly known Bollinger Squeeze, perhaps with two differences
1. momentum is considered
2. Keltner 2 instead of 1.5?

xarlor
327 posts
msg #152479
Ignore xarlor
6/4/2020 9:04:35 PM

Yes, it is very much like Bollinger Squeeze, but with the added predictor of momentum. It usually does have 1.5 Keltner, but I found that missing a lot of the squeezes. I played with various settings but these are the most I'm happy with on SF.

In fact, I just noticed that TTM Squeeze was posted recently by data-miner in the General Discussion thread John Carter Squeeze. I just updated the filter after borrowing data-miner's momentum code since it does a wonderful job of smoothing out momentum.

Fetcher[
symlist(MSFT,AMZN,AAPL,GOOG,NFLX,FB)

set{momo,cema(momentum(16),5)}
add column momo
draw momo
plottype{momo,zerobar}

set{Pchange1,momentum(16)/momentum(16) 1 day ago}
set{Pchange,Pchange1 - 1}
add column pchange

draw Bollinger Band(20,2)
draw Keltner Band(20,2)

set{sqz1,count(momo > .01,1)}
set{sqz2,count(momo < 0,1)}
set{sqz3,count(Upper Bollinger Band(20,2) < Upper Keltner Band(20,2),1)}
set{sqz4,count(Lower Bollinger Band(20,2) > Lower Keltner Band(20,2),1)}
set{sqz5,sqz3 * sqz4}
set{sqz6,sqz1 + sqz2}
set{TTM_Squeeze,sqz5 * sqz6}

draw TTM_Squeeze
]



Cheese
938 posts
msg #152481
Ignore Cheese
6/4/2020 10:41:01 PM

Thank you.

shillllihs
5,431 posts
msg #152484
Ignore shillllihs
6/5/2020 12:55:15 AM

Xarlor, do you have an email you can share, I have a few questions.

Mansor
62 posts
msg #152487
Ignore Mansor
6/5/2020 8:29:31 AM

xarlor - trying to figure out, it seems like if we have column6 (pchange with highest value/change) descending along with ttm blue box popping - it's like double confirmation? cause backtesting dates is what im looking at, please advice. thanks again

xarlor
327 posts
msg #152488
Ignore xarlor
6/5/2020 10:41:36 AM

@Mansor, the pchange I put in there to show the percent change in momentum(16) from yesterday to today. Sometimes when consolidation is real narrow, it's hard to see what momentum is doing so I added pchange to help. You could use it as a further confirmation, but don't put a lot of weight on it.

@shillllihs and anyone else. Wish there was a PM feature on SF. I'll just have to make do with a spam catcher. Obfuscated for spam bots:

JoeyVinyl
120 posts
msg #152493
Ignore JoeyVinyl
6/5/2020 4:58:22 PM

@xarlor

Awesome! Thank you! I've been using ToS for about two months now but only for day trading. I'm going to have to look at this in there and see if I can use it.

ron22
221 posts
msg #152495
Ignore ron22
6/5/2020 11:41:45 PM

@xarlor, what do you recommend as an exit trigger? Thank you. Ron

xarlor
327 posts
msg #152496
Ignore xarlor
6/6/2020 12:34:54 AM

@ron Depends on your trading style. I don't let my winners run. I take profits and move to the next trade.

Don't exit while the indicator is still flashing a squeeze. Once there is no longer a squeeze and it is moving in the direction you predicted, plan your exit. Here are 3 suggestions for the long side:

1. Exit when close is above Upper Bollinger(20)
2. Exit when momo declines 2 bars in a row.
3. Wait till the LOW of the day is higher than your entry. At market close, set a stoplimit 6 cents below the day's LOW. Repeat at the end of each day, but only if higher than the last stoplimit.

If you want to let your winner's run, exit when close is below Middle Keltner(20).

StockFetcher Forums · Filter Exchange · TTM Squeeze<< 1 2 >>Post Follow-up

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