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General Discussion · CHETRON IS LEAVING???
tomm1111
msg #93262
5/28/2010 11:42:34 PM

Thanks Chetron.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
tomm1111
msg #91307
4/16/2010 8:01:20 PM

Kevin, Nice work and good explaination of the ratios.

Filter Exchange ·  Percentage Hughes AD Oscillator with 8 Parameters
tomm1111
msg #90789
4/4/2010 8:17:04 PM

Both are effective, but very different. The EMA is based on price and the Hughes is based on breadth. I think looking at different types of indicator can work together in the analysis.

Filter Exchange · NYSE New Highs / New Lows
tomm1111
msg #90788
4/4/2010 8:01:39 PM

With the new highs - new lows are on the decline, I would expect the market to follow suit at some point. The new high - new low 10ma crossed below the 30ma. Those signals have been fairly reliable recently on catching direction of the trend. I would be surprised if the market moves sideways for another week.

Fetcher[
/* NYSE New Highs/New Lows */
symlist(spy)

set{newh,ind(^hign,close)}
set{newl,ind(^lown,close)}

set{HL_osc,newh-newl}
set{denom,newh+newl}
set{calc,HL_osc/denom}
set{HL_ratio,100*calc}
set{ratio_ema,cema(HL_ratio,9)}

set{HL_10ema,cema(HL_osc,10)}
set{HL_30ema,cema(HL_osc,30)}

set{long,count(HL_10ema crossed above HL_30ema,1)}
set{short,count(HL_30ema crossed above HL_10ema,1)}
draw long
draw short on plot long
draw HL_10ema
draw HL_30ema on plot HL_10ema

draw HL_osc
draw HL_osc line at 0
draw HL_ratio
draw ratio_ema on plot HL_ratio
draw HL_ratio line at 0

and chart-time is 6 months
]



Filter Exchange ·  Percentage Hughes AD Oscillator with 8 Parameters
tomm1111
msg #90764
4/4/2010 4:38:26 AM

It certainly is hyperactive as stated in the book. Not sure how this performs since the book was published.

http://books.google.com/books?id=SYWkGQawUgAC&pg=PA74&dq=percent+hughes&cd=2#v=onepage&q=percent%20hughes&f=false

Fetcher[
symlist(dia)

set{vara,ind(^advn,close)}
set{vard,ind(^decn,close)}
set{varu,ind(^uncn,close)}
set{var1,vara-vard}
set{var2,vara+vard}
set{var3,var2+varu}
set{var4,var1/var3}
set{var5,var4*100}
set{var6,var5+100}
set{var7, var6 1 day ago}
set{var8,cema(var7,12)}
set{var9,cema(var7,2)}
set{var10,cema(var7,8)}
set{var11,cema(var7,46)}
set{var12,var8*0.92}
set{var13,var9*1.04}
set{var14,var10*1.04}
set{var15,var11*0.92}

set{enter_long,count(var6 crossed above var12,1)}
set{enter_short,count(var6 crossed below var14,1)}
set{exit_short,count(var6 crossed above var15,1)}
set{exit_long,count(var6 crossed below var13,1)}

draw enter_long
draw exit_long on plot enter_long
draw enter_short
draw exit_short on plot enter_short
]



Filter Exchange · can someone help me write a custom standard deviation filter for sf
tomm1111
msg #90763
4/4/2010 4:09:28 AM

This might similar to what you describe. 21 day high/low SD channel. The long/short criteria is established when touching the new 21 day highs or lows.


Fetcher[
set{var,cstddev(close,21)}
set{var1,close + var}
set{var2,close - var}
set{var3,var * 2}
set{var4,close + var3}
set{var5,close - var3}

draw var1 21 day high on plot price
draw var2 21 day low on plot price

set{long,count(var2 at 21 day low,1)}
set{short,count(var1 at 21 day high,1)}

draw long
draw short on plot long

close above 1
VOLUME ABOVE 100000
]



Filter Exchange · does anybody know about this indicator?
tomm1111
msg #88550
2/23/2010 2:04:07 AM

Chetron, Nice work!

General Discussion · Finding stocks that trend - highly directional within a range
tomm1111
msg #88549
2/23/2010 2:01:26 AM

Here is a filter that will identify strong 30 day trends. It is sorted in order of trend strength. If you want to look at different period change every "30" you see to what you want.

Fetcher[
/*30 day trend*/
set{prc_chg,close - close 1 day ago}
set{np, prc_chg / close 1 day ago}
set{my_ind,np * 100}
set{my_sd_30,cstddev(my_ind,30)}
set{my_sum_30,sum(my_ind,30)}
set{my_mean_30,my_sum_30 / 30}
set{target_L30,0}
set{p30,target_L30 - my_mean_30}
set{z_30,p30 / my_sd_30}

show stocks where close is above 1
and volume is above 100000

add column z_30{30-day}

sort by column 5 ascending
]



Filter Exchange · Bollinger Bandwidth Oscillator
tomm1111
msg #88154
2/11/2010 9:41:41 PM

mm, Is this what you have in mind? I've applied roc(8) prior the bollinger width calc but it doesn't look that smooth.

Fetcher[
set{var,roc(8)}
set{c_sd,cstddev(var,20)}
set{c_ma,cma(var,20)}

set{c1,c_sd * 2}
set{c2,c1 + var}
set{c3,c2 - c_ma}
set{c4,4 * c_sd}
set{c5,c3 / c4}
set{BBW,c5 * 100}

draw BBW

draw Bollinger Width Oscillator(20,2)
]



General Discussion · Vortex
tomm1111
msg #87850
2/5/2010 11:14:39 AM

I modified to calculated the difference between vortex lines. I used the difference to cross below 0.5 for short and cross above -0.5 for long. Eyeballing it, some of the entries look promising. I haven't back tested this to get a better gauge on performance.


Fetcher[
/* Vortex */
set{var,abs(high minus low 1 day ago)}
set{var1,abs(low minus high 1 day ago)}
set{var2,sum(var,14)}
set{var3,sum(var1,14)}
set{var4,average true range(1)}
set{var5,sum(var4,14)}
set{vi_up,var2/var5}
set{vi_dn,var3/var5}

draw vi_up
draw vi_dn on plot vi_up

set{diff,vi_up - vi_dn}
draw diff

set{hit_l,count(diff crossed above -0.5,1)}
set{hit_s,count(diff crossed below 0.5,1)}
set{hit,hit_l+hit_s}

draw hit_l
draw hit_s on plot hit_l

show stocks where close above 1
and volume is above 100000
and hit equals 1
and do not draw hit

add column separator
add column vi_up
add column vi_dn
add column diff
add column separator
add column hit_l{long}
add column hit_s{short}
add column separator
]



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