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alindsley
Posted : Saturday, July 01, 2006 2:33:44 PM

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Joined: 2/28/2005
Posts: 825
A daily training video is sent to me which uses a competitors (Tradestation) software. They have a neat indicator called the TTM Squeeze. Do we have anything like that available (or something that might duplicate its action) in Telechart? As I've watched the TTM demonstrated for weeks now, I find it to be a very handy indicator.

TIA
Craig_S
Posted : Sunday, July 02, 2006 8:04:26 AM


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Joined: 10/1/2004
Posts: 18,819
I looked around the net and it appears it is not a publicly released formula. If you can track down how the indicator is constructed, we can try and adapt it for TeleChart.

- Craig
Here to Help!
alindsley
Posted : Wednesday, July 05, 2006 7:26:16 PM

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Joined: 2/28/2005
Posts: 825
I came across this site. If you have the time, I'm would think a good programmer, such as yourself, could glean something from it (external link removed by moderator)

I followed another link from the above site which seems to do quite a job describing what the TTM Squeeze is doing (external link removed by moderator)

I'm looking forward a few more months and I ought to be able to justify moving out of Gold into daily data with TeleChart. I can see it being a great help if this could somehow be adapted for daily data (in TC Gold). But would have a greater value, obviously, as one trades daily.

Hubert's TTM Squeeze, as you probably know, is a very popular indicator and I'm sure it would eventually be a great indicator for those of us committed to TeleChart's powerful features.
Bruce_L
Posted : Wednesday, July 05, 2006 7:48:47 PM


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Posts: 63,198
alindsley,
As far as I can tell from reading your articles, the TTM Squeeze appears to be the difference between the Bollinger Band and the Keltner Channel (the coloring/shading aspects probably can't be replicated using TeleChart). You may wish to review the following:

Help with writing a scan
Bollinger/Keltner Cross

-Bruce
Personal Criteria Formulas
TC2000 Support Articles
alindsley
Posted : Wednesday, July 05, 2006 9:28:43 PM

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Joined: 2/28/2005
Posts: 825
Bruce I just heard from the author of the squeeze I mentioned above. Here is what he had to say:

The Squeeze is a pretty easy indicator for them to program. Using a standard momentum indicator for trade direction and a squeeze indicator that basically signals when bollinger bands are inside the keltner channels. I'd be happy to help further if you try to integrate it. I'm sure the programming syntax is easily understandable on Telechart...

I'll check out the links you sent and see if I can figure them out.

Thanks
art
diceman
Posted : Wednesday, July 05, 2006 9:45:20 PM
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Joined: 1/28/2005
Posts: 6,048
Bruce

Can this be written as a ratio of BB(STD) to ATR.

If I'm not mistaken the center line should not matter.

So for +/- 2*(20 period STD) and +/-1.5*(20 period ATR) it would be:

4*(20 period STD)/ 3*(20 period ATR)

When they are equal it would be 1.

When the BB (or STD) is smaller it would be less than 1.

Just to make it clear the BB is 20 period and 2*STD.
The Keltner Chan is 20 period and 1.5*ATR.


Thanks
Bruce_L
Posted : Wednesday, July 05, 2006 11:45:33 PM


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Joined: 10/7/2004
Posts: 63,198
diceman,
Your suggestion seems to represent the very common settings. You may wish to try the following (but when creating it as a Custom Indicator, subtracting one and selecting Center Zero Line creates a nice visual clue):

SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 19) * 4 / 3 / (XAVGH39 - XAVGL39 + .025024606734037 * (ABS(H - C1) + ABS(L - C1) - H + L + .95 * (ABS(H1 - C2) + ABS(L1 - C2) - H1 + L1 + .95 * (ABS(H2 - C3) + ABS(L2 - C3) - H2 + L2 + .95 * (ABS(H3 - C4) + ABS(L3 - C4) - H3 + L3 + .95 * (ABS(H4 - C5) + ABS(L4 - C5) - H4 + L4 + .95 * (ABS(H5 - C6) + ABS(L5 - C6) - H5 + L5 + .95 * (ABS(H6 - C7) + ABS(L6 - C7) - H6 + L6 + .95 * (ABS(H7 - C8) + ABS(L7 - C8) - H7 + L7 + .95 * (ABS(H8 - C9) + ABS(L8 - C9) - H8 + L8 + .95 * (ABS(H9 - C10) + ABS(L9 - C10) - H9 + L9 + .95 * (ABS(H10 - C11) + ABS(L10 - C11) - H10 + L10 + .95 * (ABS(H11 - C12) + ABS(L11 - C12) - H11 + L11 + .95 * (ABS(H12 - C13) + ABS(L12 - C13) - H12 + L12 + .95 * (ABS(H13 - C14) + ABS(L13 - C14) - H13 + L13 + .95 * (ABS(H14 - C15) + ABS(L14 - C15) - H14 + L14 + .95 * (ABS(H15 - C16) + ABS(L15 - C16) - H15 + L15 + .95 * (ABS(H16 - C17) + ABS(L16 - C17) - H16 + L16 + .95 * (ABS(H17 - C18) + ABS(L17 - C18) - H17 + L17 + .95 * (ABS(H18 - C19) + ABS(L18 - C19) - H18 + L18 + .95 * (ABS(H19 - C20) + ABS(L19 - C20) - H19 + L19 + .95 * (ABS(H20 - C21) + ABS(L20 - C21) - H20 + L20 + .95 * (ABS(H21 - C22) + ABS(L21 - C22) - H21 + L21 + .95 * (ABS(H22 - C23) + ABS(L22 - C23) - H22 + L22 + .95 * (ABS(H23 - C24) + ABS(L23 - C24) - H23 + L23 + .95 * (ABS(H24 - C25) + ABS(L24 - C25) - H24 + L24 + .95 * (ABS(H25 - C26) + ABS(L25 - C26) - H25 + L25 + .95 * (ABS(H26 - C27) + ABS(L26 - C27) - H26 + L26 + .95 * (ABS(H27 - C28) + ABS(L27 - C28) - H27 + L27 + .95 * (ABS(H28 - C29) + ABS(L28 - C29) - H28 + L28 + .95 * (ABS(H29 - C30) + ABS(L29 - C30) - H29 + L29 + .95 * (ABS(H30 - C31) + ABS(L30 - C31) - H30 + L30 + .95 * (ABS(H31 - C32) + ABS(L31 - C32) - H31 + L31 + .95 * (ABS(H32 - C33) + ABS(L32 - C33) - H32 + L32 + .95 * (ABS(H33 - C34) + ABS(L33 - C34) - H33 + L33 + .95 * (ABS(H34 - C35) + ABS(L34 - C35) - H34 + L34 + .95 * (ABS(H35 - C36) + ABS(L35 - C36) - H35 + L35 + .95 * (ABS(H36 - C37) + ABS(L36 - C37) - H36 + L36 + .95 * (ABS(H37 - C38) + ABS(L37 - C38) - H37 + L37 + .95 * (ABS(H38 - C39) + ABS(L38 - C39) - H38 + L38 + .95 * (ABS(H39 - C40) + ABS(L39 - C40) - H39 + L39 + .95 * (ABS(H40 - C41) + ABS(L40 - C41) - H40 + L40 + .95 * (ABS(H41 - C42) + ABS(L41 - C42) - H41 + L41 + .95 * (ABS(H42 - C43) + ABS(L42 - C43) - H42 + L42 + .95 * (ABS(H43 - C44) + ABS(L43 - C44) - H43 + L43 + .95 * (ABS(H44 - C45) + ABS(L44 - C45) - H44 + L44 + .95 * (ABS(H45 - C46) + ABS(L45 - C46) - H45 + L45 + .95 * (ABS(H46 - C47) + ABS(L46 - C47) - H46 + L46 + .95 * (ABS(H47 - C48) + ABS(L47 - C48) - H47 + L47 + .95 * (ABS(H48 - C49) + ABS(L48 - C49) - H48 + L48 + .95 * (ABS(H49 - C50) + ABS(L49 - C50) - H49 + L49 + .95 * (ABS(H50 - C51) + ABS(L50 - C51) - H50 + L50 + .95 * (ABS(H51 - C52) + ABS(L51 - C52) - H51 + L51 + .95 * (ABS(H52 - C53) + ABS(L52 - C53) - H52 + L52 + .95 * (ABS(H53 - C54) + ABS(L53 - C54) - H53 + L53 + .95 * (ABS(H54 - C55) + ABS(L54 - C55) - H54 + L54 + .95 * (ABS(H55 - C56) + ABS(L55 - C56) - H55 + L55 + .95 * (ABS(H56 - C57) + ABS(L56 - C57) - H56 + L56 + .95 * (ABS(H57 - C58) + ABS(L57 - C58) - H57 + L57 + .95 * (ABS(H58 - C59) + ABS(L58 - C59) - H58 + L58 + .95 * (ABS(H59 - C60) + ABS(L59 - C60) - H59 + L59 + .95 * (ABS(H60 - C61) + ABS(L60 - C61) - H60 + L60 + .95 * (ABS(H61 - C62) + ABS(L61 - C62) - H61 + L61 + .95 * (ABS(H62 - C63) + ABS(L62 - C63) - H62 + L62 + .95 * (ABS(H63 - C64) + ABS(L63 - C64) - H63 + L63 + .95 * (ABS(H64 - C65) + ABS(L64 - C65) - H64 + L64 + .95 * (ABS(H65 - C66) + ABS(L65 - C66) - H65 + L65 + .95 * (ABS(H66 - C67) + ABS(L66 - C67) - H66 + L66 + .95 * (ABS(H67 - C68) + ABS(L67 - C68) - H67 + L67 + .95 * (ABS(H68 - C69) + ABS(L68 - C69) - H68 + L68 + .95 * (ABS(H69 - C70) + ABS(L69 - C70) - H69 + L69 + .95 * (ABS(H70 - C71) + ABS(L70 - C71) - H70 + L70 + .95 * (ABS(H71 - C72) + ABS(L71 - C72) - H71 + L71 + .95 * (ABS(H72 - C73) + ABS(L72 - C73) - H72 + L72 + .95 * (ABS(H73 - C74) + ABS(L73 - C74) - H73 + L73 + .95 * (ABS(H74 - C75) + ABS(L74 - C75) - H74 + L74 + .95 * (ABS(H75 - C76) + ABS(L75 - C76) - H75 + L75 + .95 * (ABS(H76 - C77) + ABS(L76 - C77) - H76 + L76 + .95 * (ABS(H77 - C78) + ABS(L77 - C78) - H77 + L77 + .95 * (ABS(H78 - C79) + ABS(L78 - C79) - H78 + L78 + .95 * (ABS(H79 - C80) + ABS(L79 - C80) - H79 + L79 + .95 * (ABS(H80 - C81) + ABS(L80 - C81) - H80 + L80 + .95 * (ABS(H81 - C82) + ABS(L81 - C82) - H81 + L81 + .95 * (ABS(H82 - C83) + ABS(L82 - C83) - H82 + L82 + .95 * (ABS(H83 - C84) + ABS(L83 - C84) - H83 + L83 + .95 * (ABS(H84 - C85) + ABS(L84 - C85) - H84 + L84 + .95 * (ABS(H85 - C86) + ABS(L85 - C86) - H85 + L85 + .95 * (ABS(H86 - C87) + ABS(L86 - C87) - H86 + L86 + .95 * (ABS(H87 - C88) + ABS(L87 - C88) - H87 + L87 + .95 * (ABS(H88 - C89) + ABS(L88 - C89) - H88 + L88 + .95 * (ABS(H89 - C90) + ABS(L89 - C90) - H89 + L89 + .95 * (ABS(H90 - C91) + ABS(L90 - C91) - H90 + L90 + .95 * (ABS(H91 - C92) + ABS(L91 - C92) - H91 + L91 + .95 * (ABS(H92 - C93) + ABS(L92 - C93) - H92 + L92 + .95 * (ABS(H93 - C94) + ABS(L93 - C94) - H93 + L93 + .95 * (ABS(H94 - C95) + ABS(L94 - C95) - H94 + L94 + .95 * (ABS(H95 - C96) + ABS(L95 - C96) - H95 + L95 + .95 * (ABS(H96 - C97) + ABS(L96 - C97) - H96 + L96 + .95 * (ABS(H97 - C98) + ABS(L97 - C98) - H97 + L97 + .95 * (ABS(H98 - C99) + ABS(L98 - C99) - H98 + L98 + .95 * (ABS(H99 - C100) + ABS(L99 - C100) - H99 + L99 + .95 * (ABS(H100 - C101) + ABS(L100 - C101) - H100 + L100 + .95 * (ABS(H101 - C102) + ABS(L101 - C102) - H101 + L101 + .95 * (ABS(H102 - C103) + ABS(L102 - C103) - H102 + L102 + .95 * (ABS(H103 - C104) + ABS(L103 - C104) - H103 + L103 + .95 * (ABS(H104 - C105) + ABS(L104 - C105) - H104 + L104 + .95 * (ABS(H105 - C106) + ABS(L105 - C106) - H105 + L105 + .95 * (ABS(H106 - C107) + ABS(L106 - C107) - H106 + L106 + .95 * (ABS(H107 - C108) + ABS(L107 - C108) - H107 + L107 + .95 * (ABS(H108 - C109) + ABS(L108 - C109) - H108 + L108 + .95 * (ABS(H109 - C110) + ABS(L109 - C110) - H109 + L109 + .95 * (ABS(H110 - C111) + ABS(L110 - C111) - H110 + L110 + .95 * (ABS(H111 - C112) + ABS(L111 - C112) - H111 + L111 + .95 * (ABS(H112 - C113) + ABS(L112 - C113) - H112 + L112 + .95 * (ABS(H113 - C114) + ABS(L113 - C114) - H113 + L113 + .95 * (ABS(H114 - C115) + ABS(L114 - C115) - H114 + L114 + .95 * (ABS(H115 - C116) + ABS(L115 - C116) - H115 + L115 + .95 * (ABS(H116 - C117) + ABS(L116 - C117) - H116 + L116 + .95 * (ABS(H117 - C118) + ABS(L117 - C118) - H117 + L117 + .95 * (ABS(H118 - C119) + ABS(L118 - C119) - H118 + L118 + .95 * (ABS(H119 - C120) + ABS(L119 - C120) - H119 + L119 + .95 * (ABS(H120 - C121) + ABS(L120 - C121) - H120 + L120 + .95 * (ABS(H121 - C122) + ABS(L121 - C122) - H121 + L121 + .95 * (ABS(H122 - C123) + ABS(L122 - C123) - H122 + L122 + .95 * (ABS(H123 - C124) + ABS(L123 - C124) - H123 + L123 + .95 * (ABS(H124 - C125) + ABS(L124 - C125) - H124 + L124 + .95 * (ABS(H125 - C126) + ABS(L125 - C126) - H125 + L125 + .95 * (ABS(H126 - C127) + ABS(L126 - C127) - H126 + L126 + .95 * (ABS(H127 - C128) + ABS(L127 - C128) - H127 + L127 + .95 * (ABS(H128 - C129) + ABS(L128 - C129) - H128 + L128 + .95 * (ABS(H129 - C130) + ABS(L129 - C130) - H129 + L129 + .95 * (ABS(H130 - C131) + ABS(L130 - C131) - H130 + L130 + .95 * (ABS(H131 - C132) + ABS(L131 - C132) - H131 + L131 + .95 * (ABS(H132 - C133) + ABS(L132 - C133) - H132 + L132 + .95 * (ABS(H133 - C134) + ABS(L133 - C134) - H133 + L133 + .95 * (ABS(H134 - C135) + ABS(L134 - C135) - H134 + L134))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))) + .000001)

-Bruce
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diceman
Posted : Thursday, July 06, 2006 9:06:21 AM
Registered User
Joined: 1/28/2005
Posts: 6,048
Thanks Bruce..

A few questions.

A ticker like: FDM comes up not enough data even though
it goes back to 10/05.
(I guess exp moving averages need time to normalize)?

I have this in tradestation. I'm getting some different values.

Using (STD*2)/(ATR*1.5).

"TC" are the Telechart values.

For ticker:
-------------------TC---------TS

CHRW -------2.81------2.65
KMG-----------6.52------5.49
KMX-----------4.01------3.52

-------------------------------------------------------------------------------------------
Taking the "raw" values

-------------TS----STD*2-------ATR*1.5
CHRW------------7.11-----------2.68
KMG-------------18.38-----------3.35
KMX--------------4.56------------1.29
**************************************************************************
-------------TC----STD*2-------ATR*1.5
CHRW------------7.31-----------2.59
KMG-------------18.86-----------2.89
KMX---------------4.67------------1.17

(I hope I have this right. I had to figure out where to dissect your equation)
--------------------------------------------------------------------------------------------

Do you think its possible TS could be using simple smoothing for ATR ?

I remember a discussion about the exact length for STD calculations.

Do you think the "length " of STD and or the "smoothing" of ATR are
playing a role in the different values ?

I was hoping to duplicate the TS values.

Thanks
Bruce_L
Posted : Thursday, July 06, 2006 9:55:02 AM


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Joined: 10/7/2004
Posts: 63,198
diceman,
Please try the following instead:

SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 20) * 4 / 3 / ((AVGH20 - AVGL20) / 2 + (ABS(H - C1) + ABS(L - C1) + ABS(H1 - C2) + ABS(L1 - C2) + ABS(H2 - C3) + ABS(L2 - C3) + ABS(H3 - C4) + ABS(L3 - C4) + ABS(H4 - C5) + ABS(L4 - C5) + ABS(H5 - C6) + ABS(L5 - C6) + ABS(H6 - C7) + ABS(L6 - C7) + ABS(H7 - C8) + ABS(L7 - C8) + ABS(H8 - C9) + ABS(L8 - C9) + ABS(H9 - C10) + ABS(L9 - C10) + ABS(H10 - C11) + ABS(L10 - C11) + ABS(H11 - C12) + ABS(L11 - C12) + ABS(H12 - C13) + ABS(L12 - C13) + ABS(H13 - C14) + ABS(L13 - C14) + ABS(H14 - C15) + ABS(L14 - C15) + ABS(H15 - C16) + ABS(L15 - C16) + ABS(H16 - C17) + ABS(L16 - C17) + ABS(H17 - C18) + ABS(L17 - C18) + ABS(H18 - C19) + ABS(L18 - C19) + ABS(H19 - C20) + ABS(L19 - C20)) / 40 + .000001)

-Bruce
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diceman
Posted : Thursday, July 06, 2006 11:02:31 AM
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Joined: 1/28/2005
Posts: 6,048
Excellent Bruce.

Looks good.

Bruce_L
Posted : Thursday, July 06, 2006 11:06:22 AM


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Joined: 10/7/2004
Posts: 63,198
diceman,
You did the hard work of figuring out they were using a 20-Period Simple Moving Average of True Range instead of the more standard Wilder's Smoothed 20-Period Average True Range. The other issue was switching to the / 20 used in their Standard Deviation instead of the / 19 that I normally use to match TeleChart's Bollinger Bands.

-Bruce
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Michaelc1507
Posted : Saturday, June 09, 2007 5:43:28 PM
Gold Customer Gold Customer

Joined: 12/3/2006
Posts: 267
Bruce & Diceman - I'm interested in setting up the above custom indicator as you two finally got it worked out on the 7/6/06 post. I'm ok on the BB's but need a step by step on the indicator!! Thank You - Mike
diceman
Posted : Saturday, June 09, 2007 8:09:17 PM
Registered User
Joined: 1/28/2005
Posts: 6,048
Michaelc1507


You can copy and paste Bruce's 7/6/06 equation as a custom indicator.

You may be interested in this:


Plotting Custom Indicators with Examples


Thanks
diceman
Michaelc1507
Posted : Sunday, June 10, 2007 8:50:50 AM
Gold Customer Gold Customer

Joined: 12/3/2006
Posts: 267
Thanks diceman - I didn't ask the question correctly - hopefully this will show my confusion. Still confused about the set-up. Is this just another 20 period BB with 2 std dev and I add a 20 with 1.5 or is it something else with the ATR of 1.5 mentioned? Your post "Just to make it clear the BB is 20 period and 2*STD. The Keltner Chan is 20 period and 1.5*ATR" makes me wonder if I'm doing things correctly. You had an error and you said "I guess exp moving averages need time to normalize" so I'm wondering if I'm supposed to be plotting in EMA's too? From what I'm reading, this seems like I need a separate plot of the Keltner Channel for the BB's to run in and out of? Thanks for your help - Mike
diceman
Posted : Sunday, June 10, 2007 9:27:28 AM
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Joined: 1/28/2005
Posts: 6,048
From my earlier post. This is a definition of what it is:

"Can this be written as a ratio of BB(STD) to ATR.

So for +/- 2*(20 period STD) and +/-1.5*(20 period ATR) it would be:

4*(20 period STD)/ 3*(20 period ATR)

When they are equal it would be 1.

When the BB (or STD) is smaller it would be less than 1.

Just to make it clear the BB is 20 period and 2*STD.
The Keltner Chan is 20 period and 1.5*ATR."

--------------------------------------------------------------------------

When we calculate Average True range. We have a choice of
how to smooth the ranges.

Simple
Exp.
or Wilders.

In his July 05 2006 11:45 post Bruce supplied a version where
ATR had Wilders smoothing. (this uses EXP moving averages
which require more stock data in the data base also notice the
equation is much larger)

I had this running in different software and the values did not
match. (I figured out that it was because my software was
using simple smoothing for the ATR)

This lead to Bruce supplying a second version July 06
with simple smoothing.
--------------------------------------------------------------------------------------------

So to answer your question. You do not need to add any
moving averages. (the moving averages discussed were
in the calculation of ATR)

The indicator is a ratio of Bollinger Bands (20, 20)
and a Keltner Channel who's width is based on a
20 period ATR. (+/- * 1.5)

In the July 05 post ATR used Wilders smoothing.
In the July 06 post ATR uses simple smoothing.

The indicator is complete as is.

Low values equal low volatility and high values
equal high volatility.

(You can make your choice if you like the
July 05 or July 06 version better)



Hope that helps

Thanks
diceman
Michaelc1507
Posted : Sunday, June 10, 2007 12:13:23 PM
Gold Customer Gold Customer

Joined: 12/3/2006
Posts: 267
diceman - thanks for getting back to me so quickly! I'm trying to get the channels you and Bruce settled on in the July 06, post. Where or how do I see the channels? If I pull this up on my BB screen, that's all I see. I don't see a channel that the BB's go in and out of?? Thanks again - Mike
diceman
Posted : Sunday, June 10, 2007 1:02:42 PM
Registered User
Joined: 1/28/2005
Posts: 6,048
The indicator is:

(bollinger Band equation) divided by (ATR equation)


The result is a line that shows the ratio of the two.

You do not actually see the 2 bollinger bands or the
2 atr bands.

(one width is divided by the other)

Imagine the bollinger bandwidth is 2 points
and the ATR bandwidth is 4. The result of the
indicator will be .5 (2 divided by 4)

Does that help?

It is not clear to me why you are confused or what you
are looking for.

(please re-read my posts)

Thanks
diceman

Michaelc1507
Posted : Sunday, June 10, 2007 1:15:29 PM
Gold Customer Gold Customer

Joined: 12/3/2006
Posts: 267
diceman - thanks again - I now think I might be looking for one thing and you may be explaining something else that sounds the same. Please go to tradethemarkets.com and look at that squeeze indicator. It has BB's dropping in and out of a Keltner Channel. That's what I thought we were trying to do and that's what I wanted if possible.
diceman
Posted : Sunday, June 10, 2007 3:31:51 PM
Registered User
Joined: 1/28/2005
Posts: 6,048
Yes this is the same type indicator.
Just viewed in a different form.
(I don't know if the settings are the same)

The "squeeze is on" when the value is less than
one.

Imagine you took the top white line shown in the
video and subtracted the bottom white line and
had a value of 2.

Then did the same with the top red and lower red
and had a value of 4.

2 divided by 4 is .5 (because it is less that one
the BB bands are smaller than the Kelt Channel
a squeeze is on.)

So a squeeze is on when this is below 1. The squeeze
ends when it is above 1.

Bruce's equations give this value. Dropping is heading
toward a squeeze. Rising is moving away from it.

So you are generating the same thing. Just not plotted
with 4 lines.

If needed. I'm sure Bruce would be able to create a
channel that you could use with your bollingerbands
to see it like it is show in the video.

It can also be edited to a percent true indicator so that
you get an indication when the squeeze is on:

(Equation)<1

When true a squeeze is on.

Thanks
diceman
jcfla7
Posted : Sunday, June 10, 2007 3:38:58 PM
Registered User
Joined: 9/21/2005
Posts: 566
Diceman, which formula is the correct formula to use in this topic thread, the one you posted or the one Bruce posted below:


diceman,
Please try the following instead:

SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 20) * 4 / 3 / ((AVGH20 - AVGL20) / 2 + (ABS(H - C1) + ABS(L - C1) + ABS(H1 - C2) + ABS(L1 - C2) + ABS(H2 - C3) + ABS(L2 - C3) + ABS(H3 - C4) + ABS(L3 - C4) + ABS(H4 - C5) + ABS(L4 - C5) + ABS(H5 - C6) + ABS(L5 - C6) + ABS(H6 - C7) + ABS(L6 - C7) + ABS(H7 - C8) + ABS(L7 - C8) + ABS(H8 - C9) + ABS(L8 - C9) + ABS(H9 - C10) + ABS(L9 - C10) + ABS(H10 - C11) + ABS(L10 - C11) + ABS(H11 - C12) + ABS(L11 - C12) + ABS(H12 - C13) + ABS(L12 - C13) + ABS(H13 - C14) + ABS(L13 - C14) + ABS(H14 - C15) + ABS(L14 - C15) + ABS(H15 - C16) + ABS(L15 - C16) + ABS(H16 - C17) + ABS(L16 - C17) + ABS(H17 - C18) + ABS(L17 - C18) + ABS(H18 - C19) + ABS(L18 - C19) + ABS(H19 - C20) + ABS(L19 - C20)) / 40 + .000001)

--------------------------------------------------------------------------------
-Bruce
Michaelc1507
Posted : Sunday, June 10, 2007 4:22:25 PM
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diceman - thanks so much for helping me get a little clearer on this!! Now I need to find Bruce - can you pass this on or do I need to start another topic thread??

Thanks Again - Mike
diceman
Posted : Sunday, June 10, 2007 5:12:42 PM
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I'm sure Bruce will see this.

-----------------------------------------

jcfla7

Neither is "correct". The first (the long one) uses Wilders
smoothing. (for the ATR)

The second (smaller) uses simple smoothing.

(Bruce assumed Wilders what I had somewhere else was using
simple. So he supplied the second so they would match)

Thanks
diceman


Bruce_L
Posted : Monday, June 11, 2007 9:37:56 AM


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Michaelc1507,
If you wish to plot the Bollinger Bands and Keltner Channels instead of the TTM Squeeze itself, you may wish to review the following (these links are referenced earlier in the topic):

Help with writing a scan
Bollinger/Keltner Cross

You can use the built in indicator to plot Bollinger Bands.

-Bruce
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Michaelc1507
Posted : Monday, June 11, 2007 10:04:17 AM
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Morning Bruce - thanks for the above - I had seen this while researching for the custom indicator. Also while researching I found a post from you to diceman on 7/6/'06 at 9:55 AM where it looks like you fine tuned the PCF to include ATR smoothing to match the TS search. My question is -- does the indicator you pointed me to above, by dwalls, take the smoothed ATR into account?? And/or if I just search with this PCF of yours and look at it in my custom indicator and BB screen, am I looking at the TS indicator screen, minus the arrows of course?
Thanks Again - Mike
Bruce_L
Posted : Monday, June 11, 2007 10:44:10 AM


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QUOTE (Michaelc1507)
Also while researching I found a post from you to diceman on 7/6/ག at 9:55 AM where it looks like you fine tuned the PCF to include ATR smoothing to match the TS search.

Unless I'm missing something, that post is in this very topic. It adjusted the smoothing on the Keltner Channel from Wilder's to Simple.

QUOTE (Michaelc1507)
My question is -- does the indicator you pointed me to above, by dwalls, take the smoothed ATR into account??

All of the work in Bollinger/Keltner Cross is based on Simple Smoothing (but using Range, not True Range). Some of the work in Help with writing a scan is based on Simple Smoothing, some is based on Wilder's Smoothing, some uses Range and some uses True Range (they are differentiated in the descriptions).

One thing to note is that the TTM Squeeze indicator is based on the width of the channels. There is some indication that the centerlines might be different (there does not appear to be universal agreement on how Keltner Channels are calculated). If the centerlines are different, the crossovers of the actual lines will not be at the same point as the width crosses.

Here's a Keltner Channel based on True Range with a Simple Moving Average Centerline and Width (to match the Bollinger Bands and my Thursday, July 06, 2006 9:55:02 AM ET post):

Select Chart Template | Add Indicator | Price Channel.
- Visible: Checked
- Plot Formula Line: Up to you.
- Smoothing Average: 20
- Average Type: Simple
- Width Multiplier: 15
- Indicator Line Formula: C
- Channel Width Formula: (H - L + ABS(H - C1) + ABS(C1 - L)) / 2

QUOTE (Michaelc1507)
And/or if I just search with this PCF of yours and look at it in my custom indicator and BB screen, am I looking at the TS indicator screen, minus the arrows of course?

I don't understand the question.

-Bruce
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Michaelc1507
Posted : Monday, June 11, 2007 4:01:13 PM
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Thanks Bruce - what I didn't have was the Keltner Channel from your last post so I could see the interaction of these and the Bollinger Bands. I'll study this for awhile and see how it works. Thanks again - Mike
godenir
Posted : Tuesday, November 27, 2007 4:52:16 PM
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Hi Bruce,
you said:
You can copy and paste Bruce's 7/6/06 equation as a custom indicator.

I did it but I want to scale this from 0 to 1 and above 1

Is this possible?
Thx 
Vincent
Bruce_L
Posted : Tuesday, November 27, 2007 5:02:34 PM


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godenir,
Custom Indicators have an option to Center Zero Line but do not have an option to center any other value. What you can do is subtract one from the Custom Indicator (by adding - 1 to the end of the formula) and select Center Zero Line to create a visual clue (as previously mentioned in my Wednesday, July 05, 2006 11:45:33 PM ET post).

-Bruce
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TGS618
Posted : Tuesday, May 29, 2012 2:29:29 PM
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I wish to create a scan condition based on the squeeze ending with the bollinger band crossing back out of the keltner channel.   Thus my condition would be short hand (squeeze.0 >= 1 and squeeze.1 < 1)  thus I need as I understand the thread the "previous"  days code for the example of the current day code example below from the thread...

July 6,2006 9:55AM - Thread: TTM Squeeze Indicator

SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 20) * 4 / 3 / ((AVGH20 - AVGL20) / 2 + (ABS(H - C1) + ABS(L - C1) + ABS(H1 - C2) + ABS(L1 - C2) + ABS(H2 - C3) + ABS(L2 - C3) + ABS(H3 - C4) + ABS(L3 - C4) + ABS(H4 - C5) + ABS(L4 - C5) + ABS(H5 - C6) + ABS(L5 - C6) + ABS(H6 - C7) + ABS(L6 - C7) + ABS(H7 - C8) + ABS(L7 - C8) + ABS(H8 - C9) + ABS(L8 - C9) + ABS(H9 - C10) + ABS(L9 - C10) + ABS(H10 - C11) + ABS(L10 - C11) + ABS(H11 - C12) + ABS(L11 - C12) + ABS(H12 - C13) + ABS(L12 - C13) + ABS(H13 - C14) + ABS(L13 - C14) + ABS(H14 - C15) + ABS(L14 - C15) + ABS(H15 - C16) + ABS(L15 - C16) + ABS(H16 - C17) + ABS(L16 - C17) + ABS(H17 - C18) + ABS(L17 - C18) + ABS(H18 - C19) + ABS(L18 - C19) + ABS(H19 - C20) + ABS(L19 - C20)) / 40 + .000001)

Bruce_L
Posted : Tuesday, May 29, 2012 2:34:30 PM


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A version of your formula from 1-bar ago could be written as:

SQR(ABS(C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2 - 20 * AVGC20.1 ^ 2) / 20) * 4 / 3 / ((AVGH20.1 - AVGL20.1) / 2 + (ABS(H1 - C2) + ABS(L1 - C2) + ABS(H2 - C3) + ABS(L2 - C3) + ABS(H3 - C4) + ABS(L3 - C4) + ABS(H4 - C5) + ABS(L4 - C5) + ABS(H5 - C6) + ABS(L5 - C6) + ABS(H6 - C7) + ABS(L6 - C7) + ABS(H7 - C8) + ABS(L7 - C8) + ABS(H8 - C9) + ABS(L8 - C9) + ABS(H9 - C10) + ABS(L9 - C10) + ABS(H10 - C11) + ABS(L10 - C11) + ABS(H11 - C12) + ABS(L11 - C12) + ABS(H12 - C13) + ABS(L12 - C13) + ABS(H13 - C14) + ABS(L13 - C14) + ABS(H14 - C15) + ABS(L14 - C15) + ABS(H15 - C16) + ABS(L15 - C16) + ABS(H16 - C17) + ABS(L16 - C17) + ABS(H17 - C18) + ABS(L17 - C18) + ABS(H18 - C19) + ABS(L18 - C19) + ABS(H19 - C20) + ABS(L19 - C20) + ABS(H20 - C21) + ABS(L20 - C21)) / 40 + .000001)



-Bruce
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TGS618
Posted : Tuesday, May 29, 2012 2:40:58 PM
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looks great..thanks

kwaps
Posted : Monday, October 29, 2012 9:52:20 AM
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which is the right formula for the ttm squeeze?

 

Bruce_L
Posted : Monday, October 29, 2012 10:07:49 AM


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As diceman pointed out in his Sunday, June 10, 2007 5:12:42 PM ET post, there is no "right formula" for the TTM Squeeze. It depends on the exact definitions used for indicators upon which there is no universal agreement as to their calculation. That said, the formula given in my Thursday, July 06, 2006 9:55:02 AM ET post matches the TradeStation results.



-Bruce
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