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I'm attempting to do a screen for efficiency stocks as discussed in Van Tharp's 'Safe Strategies for Financial Freedom.' The screen involves taking the most recent closing price and subtracting it from the closing price 60 trading days ago. That difference is then divided by the ATR of the stock over the last 60 days. Tharp recommends considering stocks with a ratio over 15. I've tried to use the following PCF but am skeptical of the results. It is a modification of Sir Tanstaafl's 60-day SMA of True Range divided by the most recent closing price subtracted from the closing price 60 trading days ago. Any guidance is appreciated.
bobw
PCF follows:
.016667 * ((H0 - L0 + ABS(H0 - C1) + ABS(L0 - C1)) + (H1 - L1 + ABS(H1 - C2) + ABS(L1 - C2)) + (H2 - L2 + ABS(H2 - C3) + ABS(L2 - C3)) + (H3 - L3 + ABS(H3 - C4) + ABS(L3 - C4)) + (H4 - L4 + ABS(H4 - C5) + ABS(L4 - C5)) + (H5 - L5 + ABS(H5 - C6) + ABS(L5 - C6)) + (H6 - L6 + ABS(H6 - C7) + ABS(L6 - C7)) + (H7 - L7 + ABS(H7 - C8) + ABS(L7 - C8)) + (H8 - L8 + ABS(H8 - C9) + ABS(L8 - C9)) + (H9 - L9 + ABS(H9 - C10) + ABS(L9 - C10)) + (H10 - L10 + ABS(H10 - C11) + ABS(L10 - C11)) + (H11 - L11 + ABS(H11 - C12) + ABS(L11 - C12)) + (H12 - L12 + ABS(H12 - C13) + ABS(L12 - C13)) + (H13 - L13 + ABS(H13 - C14) + ABS(L13 - C14)) + (H14 - L14 + ABS(H14 - C15) + ABS(L14 - C15)) + (H15 - L15 + ABS(H15 - C16) + ABS(L15 - C16)) + (H16 - L16 + ABS(H16 - C17) + ABS(L16 - C17)) + (H17 - L17 + ABS(H17 - C18) + ABS(L17 - C18)) + (H18 - L18 + ABS(H18 - C19) + ABS(L18 - C19)) + (H19 - L19 + ABS(H19 - C20) + ABS(L19 - C20)) + (H20 - L20 + ABS(H20 - C21) + ABS(L20 - C21)) + (H21 - L21 + ABS(H21 - C22) + ABS(L21 - C22)) + (H22 - L22 + ABS(H22 - C23) + ABS(L22 - C23)) + (H23 - L23 + ABS(H23 - C24) + ABS(L23 - C24)) + (H24 - L24 + ABS(H24 - C25) + ABS(L24 - C25)) + (H25 - L25 + ABS(H25 - C26) + ABS(L25 - C26)) + (H26 - L26 + ABS(H26 - C27) + ABS(L26 - C27)) + (H27 - L27 + ABS(H27 - C28) + ABS(L27 - C28)) + (H28 - L28 + ABS(H28 - C29) + ABS(L28 - C29)) + (H29 - L29 + ABS(H29 - C30) + ABS(L29 - C30)) + (H30 - L30 + ABS(H30 - C31) + ABS(L30 - C31)) + (H31 - L31 + ABS(H31 - C32) + ABS(L31 - C32)) + (H32 - L32 + ABS(H32 - C33) + ABS(L32 - C33)) + (H33 - L33 + ABS(H33 - C34) + ABS(L33 - C34)) + (H34 - L34 + ABS(H34 - C35) + ABS(L34 - C35)) + (H35 - L35 + ABS(H35 - C36) + ABS(L35 - C36)) + (H36 - L36 + ABS(H36 - C37) + ABS(L36 - C37)) + (H37 - L37 + ABS(H37 - C38) + ABS(L37 - C38)) + (H38 - L38 + ABS(H38 - C39) + ABS(L38 - C39)) + (H39 - L39 + ABS(H39 - C40) + ABS(L39 - C40)) + (H40 - L40 + ABS(H40 - C41) + ABS(L40 - C41)) + (H41 - L41 + ABS(H41 - C42) + ABS(L41 - C42)) + (H42 - L42 + ABS(H42 - C43) + ABS(L42 - C43)) + (H43 - L43 + ABS(H43 - C44) + ABS(L43 - C44)) + (H44 - L44 + ABS(H44 - C45) + ABS(L44 - C45)) + (H45 - L45 + ABS(H45 - C46) + ABS(L45 - C46)) + (H46 - L46 + ABS(H46 - C47) + ABS(L46 - C47)) + (H47 - L47 + ABS(H47 - C48) + ABS(L47 - C48)) + (H48 - L48 + ABS(H48 - C49) + ABS(L48 - C49)) + (H49 - L49 + ABS(H49 - C50) + ABS(L49 - C50)) + (H50 - L50 + ABS(H50 - C51) + ABS(L50 - C51)) + (H51 - L51 + ABS(H51 - C52) + ABS(L51 - C52)) + (H52 - L52 + ABS(H52 - C53) + ABS(L52 - C53)) + (H53 - L53 + ABS(H53 - C54) + ABS(L53 - C54)) + (H54 - L54 + ABS(H54 - C55) + ABS(L54 - C55)) + (H55 - L55 + ABS(H55 - C56) + ABS(L55 - C56)) + (H56 - L56 + ABS(H56 - C57) + ABS(L56 - C57)) + (H57 - L57 + ABS(H57 - C58) + ABS(L57 - C58)) + (H58 - L58 + ABS(H58 - C59) + ABS(L58 - C59)) + (H59 - L59 + ABS(H59 - C60) + ABS(L59 - C60)) ) / 2 / (C60 - C1)
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I think the following should be correct assuming you really want a 60-Period Simple Moving Average of True Range and not a 60-Period Average True Range:
120*(C-C60)/(60*AVGH60-60*AVGL60 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44) +ABS(C46-L45)+ABS(C46-H45) +ABS(C47-L46)+ABS(C47-H46) +ABS(C48-L47)+ABS(C48-H47) +ABS(C49-L48)+ABS(C49-H48) +ABS(C50-L49)+ABS(C50-H49) +ABS(C51-L50)+ABS(C51-H50) +ABS(C52-L51)+ABS(C52-H51) +ABS(C53-L52)+ABS(C53-H52) +ABS(C54-L53)+ABS(C54-H53) +ABS(C55-L54)+ABS(C55-H54) +ABS(C56-L55)+ABS(C56-H55) +ABS(C57-L56)+ABS(C57-H56) +ABS(C58-L57)+ABS(C58-H57) +ABS(C59-L58)+ABS(C59-H58) +ABS(C60-L59)+ABS(C60-H59))
Give it a try and let me know if you think it needs adjusting. It is already adjusted to include a slightly modified version of bustermu's suggested optimization. And I did misread your post in that the C-C60 is reversed from what you said. I'm leaving it as is for the moment because the other way just doesn't make a lot of sense to me (at least if you are looking for longs and a ratio over 15).
-Bruce
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Registered User
Joined: 1/1/2005
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The PCF can be shortened somewhat to:
120*(C-C60)/(60*(AVGH60-AVGL60)+ABS(C1-L)+ABS(C1-H)
+ABS(C2-L1)+ABS(C2-H1)+...+ABS(C60-L59)+ABS(C60-H59))
> 15
if desired. The result agrees with that of Bruce.
bobw,
You said C60-C, you wrote C60-C1 downstairs, while Bruce and the above use C-C60 upstairs.
Thanks,
Jim Murphy
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Registered User
Joined: 4/11/2005
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My thanks to everyone for the assistance and the quick response.
I tried PCFs with the input from Bruce and from Jim Murphy with the following results:
Bruce’s version provided results with numbers and allowed me to see incremental changes or strength and weakness in the results … not sure if this is meaningful.
Jim’s shortened version returned TRUE/FALSE results. Although results of both PCF sorts seemed to select the same stocks, the ability to see strength (which stocks were above 15 in the 20+ range) was missing.
Given a choice, I would prefer to see numbers as the results of the scan or sort.
When reviewing the results, I became concerned about the accuracy of how I understood the selection criteria. Van Tharp says there should only be a few selections in the current market (fewer that 10 and more like 4 or 5 depending on the number of equities scanned). I sorted several watchlists and routinely the results identified 30 or 40 stocks … sometimes more.
Please disregard my previous writing of ‘C60-C1.’ It reflects my poor attempt to translate the written word into numbers which also makes writing PCFs a challenge.
Here is a quote of the instructions from Safe Strategies for Financial Freedom by Van K. Tharp, “… do an efficiency screen for 60 days. You’d first find the change in price over the last 60 days for a particular stock. Take the most recent closing price and subtract the closing price from 60 trading days ago. Let’s say the difference was $13.51. You’d then find the average true range of the stock over the last 60 days. Let’s say that was $0.83. The stock’s 60-day efficiency calculation (or efficiency ratio) would be $13.51 divided by 0.83, which is 16.27. That is an efficient stock. In fact, anything with a ratio over 15 is usually worth looking at more closely.”
Considering the above, perhaps ATR should be used instead of True Range and the C-C60 should be downstairs.
Any help to untangle this is appreciated,
bobw
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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C-C60 seems both correct and where it belongs based on the description. I really can't tell if a 60-Period Moving Average of True Range is correct or a 60-Period Average True Range (although I tend toward thinking he means the shorter SMA version). The Wilder's Smoothing on a 60-Period ATR makes for a very long formula and won't necessarily decrease the number of symbols matching your condition. Even when the formula is only taken to the point where the sum of the unadjusted coefficients first exceeds 0.9, it is almost three times as long as the SMA version and has more than twice the terms. You can give it a try, but I doubt it is worth the extra time required for the calculations:
10814*(C-C60)/(5407*XAVGH119-5407*XAVGL119 +100*(ABS(C1-L)+ABS(C1-H)) +98*(ABS(C2-L1)+ABS(C2-H1)) +97*(ABS(C3-L2)+ABS(C3-H2)) +95*(ABS(C4-L3)+ABS(C4-H3)) +93*(ABS(C5-L4)+ABS(C5-H4)) +92*(ABS(C6-L5)+ABS(C6-H5)) +90*(ABS(C7-L6)+ABS(C7-H6)) +89*(ABS(C8-L7)+ABS(C8-H7)) +87*(ABS(C9-L8)+ABS(C9-H8)) +86*(ABS(C10-L9)+ABS(C10-H9)) +85*(ABS(C11-L10)+ABS(C11-H10)) +83*(ABS(C12-L11)+ABS(C12-H11)) +82*(ABS(C13-L12)+ABS(C13-H12)) +80*(ABS(C14-L13)+ABS(C14-H13)) +79*(ABS(C15-L14)+ABS(C15-H14)) +78*(ABS(C16-L15)+ABS(C16-H15)) +76*(ABS(C17-L16)+ABS(C17-H16)) +75*(ABS(C18-L17)+ABS(C18-H17)) +74*(ABS(C19-L18)+ABS(C19-H18)) +73*(ABS(C20-L19)+ABS(C20-H19)) +71*(ABS(C21-L20)+ABS(C21-H20)) +70*(ABS(C22-L21)+ABS(C22-H21)) +69*(ABS(C23-L22)+ABS(C23-H22)) +68*(ABS(C24-L23)+ABS(C24-H23)) +67*(ABS(C25-L24)+ABS(C25-H24)) +66*(ABS(C26-L25)+ABS(C26-H25)) +65*(ABS(C27-L26)+ABS(C27-H26)) +64*(ABS(C28-L27)+ABS(C28-H27)) +62*(ABS(C29-L28)+ABS(C29-H28)) +61*(ABS(C30-L29)+ABS(C30-H29)) +60*(ABS(C31-L30)+ABS(C31-H30)) +59*(ABS(C32-L31)+ABS(C32-H31)) +58*(ABS(C33-L32)+ABS(C33-H32)) +57*(ABS(C34-L33)+ABS(C34-H33)) +56*(ABS(C35-L34)+ABS(C35-H34)) +56*(ABS(C36-L35)+ABS(C36-H35)) +55*(ABS(C37-L36)+ABS(C37-H36)) +54*(ABS(C38-L37)+ABS(C38-H37)) +53*(ABS(C39-L38)+ABS(C39-H38)) +52*(ABS(C40-L39)+ABS(C40-H39)) +51*(ABS(C41-L40)+ABS(C41-H40)) +50*(ABS(C42-L41)+ABS(C42-H41)) +49*(ABS(C43-L42)+ABS(C43-H42)) +49*(ABS(C44-L43)+ABS(C44-H43)) +48*(ABS(C45-L44)+ABS(C45-H44)) +47*(ABS(C46-L45)+ABS(C46-H45)) +46*(ABS(C47-L46)+ABS(C47-H46)) +45*(ABS(C48-L47)+ABS(C48-H47)) +45*(ABS(C49-L48)+ABS(C49-H48)) +44*(ABS(C50-L49)+ABS(C50-H49)) +43*(ABS(C51-L50)+ABS(C51-H50)) +42*(ABS(C52-L51)+ABS(C52-H51)) +42*(ABS(C53-L52)+ABS(C53-H52)) +41*(ABS(C54-L53)+ABS(C54-H53)) +40*(ABS(C55-L54)+ABS(C55-H54)) +40*(ABS(C56-L55)+ABS(C56-H55)) +39*(ABS(C57-L56)+ABS(C57-H56)) +38*(ABS(C58-L57)+ABS(C58-H57)) +38*(ABS(C59-L58)+ABS(C59-H58)) +37*(ABS(C60-L59)+ABS(C60-H59)) +36*(ABS(C61-L60)+ABS(C61-H60)) +36*(ABS(C62-L61)+ABS(C62-H61)) +35*(ABS(C63-L62)+ABS(C63-H62)) +35*(ABS(C64-L63)+ABS(C64-H63)) +34*(ABS(C65-L64)+ABS(C65-H64)) +34*(ABS(C66-L65)+ABS(C66-H65)) +33*(ABS(C67-L66)+ABS(C67-H66)) +32*(ABS(C68-L67)+ABS(C68-H67)) +32*(ABS(C69-L68)+ABS(C69-H68)) +31*(ABS(C70-L69)+ABS(C70-H69)) +31*(ABS(C71-L70)+ABS(C71-H70)) +30*(ABS(C72-L71)+ABS(C72-H71)) +30*(ABS(C73-L72)+ABS(C73-H72)) +29*(ABS(C74-L73)+ABS(C74-H73)) +29*(ABS(C75-L74)+ABS(C75-H74)) +28*(ABS(C76-L75)+ABS(C76-H75)) +28*(ABS(C77-L76)+ABS(C77-H76)) +27*(ABS(C78-L77)+ABS(C78-H77)) +27*(ABS(C79-L78)+ABS(C79-H78)) +27*(ABS(C80-L79)+ABS(C80-H79)) +26*(ABS(C81-L80)+ABS(C81-H80)) +26*(ABS(C82-L81)+ABS(C82-H81)) +25*(ABS(C83-L82)+ABS(C83-H82)) +25*(ABS(C84-L83)+ABS(C84-H83)) +24*(ABS(C85-L84)+ABS(C85-H84)) +24*(ABS(C86-L85)+ABS(C86-H85)) +24*(ABS(C87-L86)+ABS(C87-H86)) +23*(ABS(C88-L87)+ABS(C88-H87)) +23*(ABS(C89-L88)+ABS(C89-H88)) +22*(ABS(C90-L89)+ABS(C90-H89)) +22*(ABS(C91-L90)+ABS(C91-H90)) +22*(ABS(C92-L91)+ABS(C92-H91)) +21*(ABS(C93-L92)+ABS(C93-H92)) +21*(ABS(C94-L93)+ABS(C94-H93)) +21*(ABS(C95-L94)+ABS(C95-H94)) +20*(ABS(C96-L95)+ABS(C96-H95)) +20*(ABS(C97-L96)+ABS(C97-H96)) +20*(ABS(C98-L97)+ABS(C98-H97)) +19*(ABS(C99-L98)+ABS(C99-H98)) +19*(ABS(C100-L99)+ABS(C100-H99)) +19*(ABS(C101-L100)+ABS(C101-H100)) +18*(ABS(C102-L101)+ABS(C102-H101)) +18*(ABS(C103-L102)+ABS(C103-H102)) +18*(ABS(C104-L103)+ABS(C104-H103)) +17*(ABS(C105-L104)+ABS(C105-H104)) +17*(ABS(C106-L105)+ABS(C106-H105)) +17*(ABS(C107-L106)+ABS(C107-H106)) +17*(ABS(C108-L107)+ABS(C108-H107)) +16*(ABS(C109-L108)+ABS(C109-H108)) +16*(ABS(C110-L109)+ABS(C110-H109)) +16*(ABS(C111-L110)+ABS(C111-H110)) +15*(ABS(C112-L111)+ABS(C112-H111)) +15*(ABS(C113-L112)+ABS(C113-H112)) +15*(ABS(C114-L113)+ABS(C114-H113)) +15*(ABS(C115-L114)+ABS(C115-H114)) +14*(ABS(C116-L115)+ABS(C116-H115)) +14*(ABS(C117-L116)+ABS(C117-H116)) +14*(ABS(C118-L117)+ABS(C118-H117)) +14*(ABS(C119-L118)+ABS(C119-H118)) +14*(ABS(C120-L119)+ABS(C120-H119)) +13*(ABS(C121-L120)+ABS(C121-H120)) +13*(ABS(C122-L121)+ABS(C122-H121)) +13*(ABS(C123-L122)+ABS(C123-H122)) +13*(ABS(C124-L123)+ABS(C124-H123)) +12*(ABS(C125-L124)+ABS(C125-H124)) +12*(ABS(C126-L125)+ABS(C126-H125)) +12*(ABS(C127-L126)+ABS(C127-H126)) +12*(ABS(C128-L127)+ABS(C128-H127)) +12*(ABS(C129-L128)+ABS(C129-H128)) +11*(ABS(C130-L129)+ABS(C130-H129)) +11*(ABS(C131-L130)+ABS(C131-H130)) +11*(ABS(C132-L131)+ABS(C132-H131)) +11*(ABS(C133-L132)+ABS(C133-H132)) +11*(ABS(C134-L133)+ABS(C134-H133)) +11*(ABS(C135-L134)+ABS(C135-H134)) +10*(ABS(C136-L135)+ABS(C136-H135)) +10*(ABS(C137-L136)+ABS(C137-H136)) +10*(ABS(C138-L137)+ABS(C138-H137)))
On another note, do you know when Safe Strategies for Financial Freedom was written? The number of stocks with an efficiency of 15 or greater could vary dramatically with market conditions.
-Bruce
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Registered User
Joined: 4/11/2005
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Bruce,
Safe Strategies for Financial Freedom was written in 2004. According to Tharp's newsletters, today's market climate is somewhat similar.
Will try the PCF with ATR over the weekend and let you know the results.
Thank you again,
bobw
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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One more thought. The phrase, "fewer than 10 and more like 4 or 5 depending on the number of equities scanned" indicates to me there might be some initial screening happening before looking at efficiency.
When looking at All Stocks updated through 7/21/2005 Market Close, the SMA version produces 89 matches versus 77 for the ATR version. There are 100 stocks meeting at least one of the two conditions and 66 stocks meeting both conditions, including the top 14 in the SMA version and the top 33 in the ATR version.
I'm not suggesting any of these conditions, but it doesn't take a lot to trim these lists pretty significantly. A simple scan to make sure at least 5% of the Net Price Change over the last 60-Days occurred during the last week brings the list of 100 stocks meeting at least one of the two conditions down to 46 (SMA:38/ATR:35/Both:27), and of those, only 15 (SMA:11/ATR:11/Both:7) are Optionable.
The actual conditions aren't all that important. I have no idea what, if anything, you or Van K. Tharp would want to use. The point I'm trying to make is that the initial screen wouldn't have to be all that restrictive to bring the list down to 10 or less.
-Bruce
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Registered User
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bobw,
I suggest you use Range in place of True Range to start with because it is so easy to adjust:
(C0-C60)/(AVGH60-AVGL60)
Compare using periods other than 60. The values for the PCF, if positive, will usually be a little larger than the corresponding values obtained using True Range, but never smaller.
Consider replacing Range with True Range after you get close to what you like.
Thanks,
Jim Murphy
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Hi, all:
Coming in to this a bit late (been underwater in the Keys for a while :~)
IMO, there is a HUGE difference between this distinction between "Simple Moving Average of True Range" and the "Average True Range" ... the terminology confuses me.
Wells Wilder defined True Range ... Max(H,C1)-Min(L,C1). He used his own smoothing method, similar to exponential smoothing but slower in response, to average those values for his uses (typically over 14 days).
In a number of posts here and elsewhere, as well as a Worden Report, I explained how to calculate an Average True Range (i.e. the average of several bars' True Range values) using a Simple average, for simplicity. The "long" forms used above are expansions of that.
For the purposes of calculating efficiency of movement, I would consider the Simple average the best approach, as opposed to the forward-weighting that Wilder uses.
However, the tactic of oversimplifying the Simple Average True Range by using Max(AvgHn,AvgCn.1)-Min(AvgLn,AvgCn.1) is, IMO, a totally illegitimate representation of the whole idea of what True Range is about.
For simplification purposes, I *far* prefer the use of the Average Daily Range formula AvgH60-AvgL60 which is precisely equivalent to the longhand form ( (H-L)+(H1-L1)+...(H59-L59) )/60
If you do a study on All Stocks (or some large subset) to see what the mid/long-term differences in Average Daily Range and (the correct) Average True Range are (say, over 50-60 bars), I think you will find that the GREAT majority of stocks' ATR's are no more than about 10% greater than those same stocks' ADR's ... and most are within about 3%.
ATR is IMHO important and useful for shorter term windows (5-20 days) versus using the simpler ADR formulae.
I hope this helps.
Jim Dean
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (Tanstaafl) However, the tactic of oversimplifying the Simple Average True Range by using Max(AvgHn,AvgCn.1)-Min(AvgLn,AvgCn.1) is, IMO, a totally illegitimate representation of the whole idea of what True Range is about.
Have you seen this method used in the forums?
-Bruce
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Not here, Bruce, but elsewhere in outside fora ... it's a tempting simplification that doesn't really help. Just trying to be complete .. probably should not have mentioned it.
Jim
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Joined: 5/31/2006
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Hi Bruce
I have been using the efficiency screen you posted above on July 20 and like the results it gives. However, I would like to take the 20, 45, 90 and 180 period simple MA of true range that is discussed on this thread
Tight trading ranges
and compare it with the 60 day that I've been using by averaging those four periods together to come up with one efficiency number. How would you do this in a PCF? Hope this makes sense! Thanks.
Mark
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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markd859123,
It seems like you would just add them together and divide by four, but that would make for a very long formula. Have you considered trying bustermu's Friday, July 22, 2005 12:15:57 PM ET suggestion:
For the 60-Period:
(C-C60)/(AVGH60-AVGL60)
For the combined 20,45,90,180-Period:
((C-C20)/(AVGH20-AVGL20) + (C-C45)/(AVGH45-AVGL45) + (C-C90)/(AVGH90-AVGL90) + (C-C180)/(AVGH180-AVGL180)) / 4
If you really want the long version of this:
((C-C20)/((20*AVGH20-20*AVGL20 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19))/40) + (C-C45)/((45*AVGH45-45*AVGL45 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44))/90) + (C-C90)/((90*AVGH90-90*AVGL90 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44) +ABS(C46-L45)+ABS(C46-H45) +ABS(C47-L46)+ABS(C47-H46) +ABS(C48-L47)+ABS(C48-H47) +ABS(C49-L48)+ABS(C49-H48) +ABS(C50-L49)+ABS(C50-H49) +ABS(C51-L50)+ABS(C51-H50) +ABS(C52-L51)+ABS(C52-H51) +ABS(C53-L52)+ABS(C53-H52) +ABS(C54-L53)+ABS(C54-H53) +ABS(C55-L54)+ABS(C55-H54) +ABS(C56-L55)+ABS(C56-H55) +ABS(C57-L56)+ABS(C57-H56) +ABS(C58-L57)+ABS(C58-H57) +ABS(C59-L58)+ABS(C59-H58) +ABS(C60-L59)+ABS(C60-H59) +ABS(C61-L60)+ABS(C61-H60) +ABS(C62-L61)+ABS(C62-H61) +ABS(C63-L62)+ABS(C63-H62) +ABS(C64-L63)+ABS(C64-H63) +ABS(C65-L64)+ABS(C65-H64) +ABS(C66-L65)+ABS(C66-H65) +ABS(C67-L66)+ABS(C67-H66) +ABS(C68-L67)+ABS(C68-H67) +ABS(C69-L68)+ABS(C69-H68) +ABS(C70-L69)+ABS(C70-H69) +ABS(C71-L70)+ABS(C71-H70) +ABS(C72-L71)+ABS(C72-H71) +ABS(C73-L72)+ABS(C73-H72) +ABS(C74-L73)+ABS(C74-H73) +ABS(C75-L74)+ABS(C75-H74) +ABS(C76-L75)+ABS(C76-H75) +ABS(C77-L76)+ABS(C77-H76) +ABS(C78-L77)+ABS(C78-H77) +ABS(C79-L78)+ABS(C79-H78) +ABS(C80-L79)+ABS(C80-H79) +ABS(C81-L80)+ABS(C81-H80) +ABS(C82-L81)+ABS(C82-H81) +ABS(C83-L82)+ABS(C83-H82) +ABS(C84-L83)+ABS(C84-H83) +ABS(C85-L84)+ABS(C85-H84) +ABS(C86-L85)+ABS(C86-H85) +ABS(C87-L86)+ABS(C87-H86) +ABS(C88-L87)+ABS(C88-H87) +ABS(C89-L88)+ABS(C89-H88) +ABS(C90-L89)+ABS(C90-H89))/180) + (C-C180)/((180*AVGH180-180*AVGL180 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44) +ABS(C46-L45)+ABS(C46-H45) +ABS(C47-L46)+ABS(C47-H46) +ABS(C48-L47)+ABS(C48-H47) +ABS(C49-L48)+ABS(C49-H48) +ABS(C50-L49)+ABS(C50-H49) +ABS(C51-L50)+ABS(C51-H50) +ABS(C52-L51)+ABS(C52-H51) +ABS(C53-L52)+ABS(C53-H52) +ABS(C54-L53)+ABS(C54-H53) +ABS(C55-L54)+ABS(C55-H54) +ABS(C56-L55)+ABS(C56-H55) +ABS(C57-L56)+ABS(C57-H56) +ABS(C58-L57)+ABS(C58-H57) +ABS(C59-L58)+ABS(C59-H58) +ABS(C60-L59)+ABS(C60-H59) +ABS(C61-L60)+ABS(C61-H60) +ABS(C62-L61)+ABS(C62-H61) +ABS(C63-L62)+ABS(C63-H62) +ABS(C64-L63)+ABS(C64-H63) +ABS(C65-L64)+ABS(C65-H64) +ABS(C66-L65)+ABS(C66-H65) +ABS(C67-L66)+ABS(C67-H66) +ABS(C68-L67)+ABS(C68-H67) +ABS(C69-L68)+ABS(C69-H68) +ABS(C70-L69)+ABS(C70-H69) +ABS(C71-L70)+ABS(C71-H70) +ABS(C72-L71)+ABS(C72-H71) +ABS(C73-L72)+ABS(C73-H72) +ABS(C74-L73)+ABS(C74-H73) +ABS(C75-L74)+ABS(C75-H74) +ABS(C76-L75)+ABS(C76-H75) +ABS(C77-L76)+ABS(C77-H76) +ABS(C78-L77)+ABS(C78-H77) +ABS(C79-L78)+ABS(C79-H78) +ABS(C80-L79)+ABS(C80-H79) +ABS(C81-L80)+ABS(C81-H80) +ABS(C82-L81)+ABS(C82-H81) +ABS(C83-L82)+ABS(C83-H82) +ABS(C84-L83)+ABS(C84-H83) +ABS(C85-L84)+ABS(C85-H84) +ABS(C86-L85)+ABS(C86-H85) +ABS(C87-L86)+ABS(C87-H86) +ABS(C88-L87)+ABS(C88-H87) +ABS(C89-L88)+ABS(C89-H88) +ABS(C90-L89)+ABS(C90-H89) +ABS(C91-L90)+ABS(C91-H90) +ABS(C92-L91)+ABS(C92-H91) +ABS(C93-L92)+ABS(C93-H92) +ABS(C94-L93)+ABS(C94-H93) +ABS(C95-L94)+ABS(C95-H94) +ABS(C96-L95)+ABS(C96-H95) +ABS(C97-L96)+ABS(C97-H96) +ABS(C98-L97)+ABS(C98-H97) +ABS(C99-L98)+ABS(C99-H98) +ABS(C100-L99)+ABS(C100-H99) +ABS(C101-L100)+ABS(C101-H100) +ABS(C102-L101)+ABS(C102-H101) +ABS(C103-L102)+ABS(C103-H102) +ABS(C104-L103)+ABS(C104-H103) +ABS(C105-L104)+ABS(C105-H104) +ABS(C106-L105)+ABS(C106-H105) +ABS(C107-L106)+ABS(C107-H106) +ABS(C108-L107)+ABS(C108-H107) +ABS(C109-L108)+ABS(C109-H108) +ABS(C110-L109)+ABS(C110-H109) +ABS(C111-L110)+ABS(C111-H110) +ABS(C112-L111)+ABS(C112-H111) +ABS(C113-L112)+ABS(C113-H112) +ABS(C114-L113)+ABS(C114-H113) +ABS(C115-L114)+ABS(C115-H114) +ABS(C116-L115)+ABS(C116-H115) +ABS(C117-L116)+ABS(C117-H116) +ABS(C118-L117)+ABS(C118-H117) +ABS(C119-L118)+ABS(C119-H118) +ABS(C120-L119)+ABS(C120-H119) +ABS(C121-L120)+ABS(C121-H120) +ABS(C122-L121)+ABS(C122-H121) +ABS(C123-L122)+ABS(C123-H122) +ABS(C124-L123)+ABS(C124-H123) +ABS(C125-L124)+ABS(C125-H124) +ABS(C126-L125)+ABS(C126-H125) +ABS(C127-L126)+ABS(C127-H126) +ABS(C128-L127)+ABS(C128-H127) +ABS(C129-L128)+ABS(C129-H128) +ABS(C130-L129)+ABS(C130-H129) +ABS(C131-L130)+ABS(C131-H130) +ABS(C132-L131)+ABS(C132-H131) +ABS(C133-L132)+ABS(C133-H132) +ABS(C134-L133)+ABS(C134-H133) +ABS(C135-L134)+ABS(C135-H134) +ABS(C136-L135)+ABS(C136-H135) +ABS(C137-L136)+ABS(C137-H136) +ABS(C138-L137)+ABS(C138-H137) +ABS(C139-L138)+ABS(C139-H138) +ABS(C140-L139)+ABS(C140-H139) +ABS(C141-L140)+ABS(C141-H140) +ABS(C142-L141)+ABS(C142-H141) +ABS(C143-L142)+ABS(C143-H142) +ABS(C144-L143)+ABS(C144-H143) +ABS(C145-L144)+ABS(C145-H144) +ABS(C146-L145)+ABS(C146-H145) +ABS(C147-L146)+ABS(C147-H146) +ABS(C148-L147)+ABS(C148-H147) +ABS(C149-L148)+ABS(C149-H148) +ABS(C150-L149)+ABS(C150-H149) +ABS(C151-L150)+ABS(C151-H150) +ABS(C152-L151)+ABS(C152-H151) +ABS(C153-L152)+ABS(C153-H152) +ABS(C154-L153)+ABS(C154-H153) +ABS(C155-L154)+ABS(C155-H154) +ABS(C156-L155)+ABS(C156-H155) +ABS(C157-L156)+ABS(C157-H156) +ABS(C158-L157)+ABS(C158-H157) +ABS(C159-L158)+ABS(C159-H158) +ABS(C160-L159)+ABS(C160-H159) +ABS(C161-L160)+ABS(C161-H160) +ABS(C162-L161)+ABS(C162-H161) +ABS(C163-L162)+ABS(C163-H162) +ABS(C164-L163)+ABS(C164-H163) +ABS(C165-L164)+ABS(C165-H164) +ABS(C166-L165)+ABS(C166-H165) +ABS(C167-L166)+ABS(C167-H166) +ABS(C168-L167)+ABS(C168-H167) +ABS(C169-L168)+ABS(C169-H168) +ABS(C170-L169)+ABS(C170-H169) +ABS(C171-L170)+ABS(C171-H170) +ABS(C172-L171)+ABS(C172-H171) +ABS(C173-L172)+ABS(C173-H172) +ABS(C174-L173)+ABS(C174-H173) +ABS(C175-L174)+ABS(C175-H174) +ABS(C176-L175)+ABS(C176-H175) +ABS(C177-L176)+ABS(C177-H176) +ABS(C178-L177)+ABS(C178-H177) +ABS(C179-L178)+ABS(C179-H178) +ABS(C180-L179)+ABS(C180-H179))/360)) / 4
You may wish to review the following:
How to create a Personal Criteria Forumula (PCF)
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 5/31/2006
Posts: 33
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Hi Bruce
No, I hadn't considered using bustermu's formula but I will try it compared to your long version. I wanted to stay as true to the PCF using the 60 day that you posted as possible because I like the stocks it turns up but if there are minor differences in the effeciency number it turns up I guess I could adjust my threshold for considering the stock for purchase or sale. Especially since there is such a big difference in the size of the PCF. I will check this out later tonite. On another note, 1/2 the reason I use TC is this board and the support that's available here. Thanks to all the trainers!
Mark
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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markd859123,
You're welcome. Our pleasure.
The main reasons to use the shorter formula is ease of adjustment and calculation time. If calculation times are long, it is probably at least worth looking at the alternative (but that would depend on your particular circumstances).
-Bruce
Personal Criteria Formulas
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Registered User
Joined: 5/31/2006
Posts: 47
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Hi Bruce
I'm using the code you posted above on 7-20-05 @ 0837 as a percent true with "=> 8" added to the end for long canidates. When I try to add "=< -8" for short canidates i get an error message that says "formula must return a boolean value for a %true indicator". What would I have to do to get it to return true for stocks that are =< -8?
Thanks.
Mark
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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markd85,
Try placing the -8 in parentheses. TeleChart's Personal Criteria Formula Language is seeing the - as subtraction instead of as a negative sign.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 5/31/2006
Posts: 47
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Thanks Bruce. That cleared the error.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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markd85,
You're welcome. Our pleasure.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 11/28/2008
Posts: 3
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I have read through all of the postings on Avg True Range, & concluded that the following abbreviated formula will produce the intended results: (C-C60)/(AVGH60-AVGL60)
Can you confirm that this is a good algorithm for ATR of a given period?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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nealangel,
I can say that your formula has nothing to do with Average True Range as it does not include the previous close in its calculations of True Range.
That said, it can be a good approximation if the previous close regularly falls within the current range and this is why it was already provided in the Friday, July 22, 2005 12:15:57 PM ET and Monday, May 21, 2007 1:55:14 PM ET posts in this topic.
It will be a terrible approximation for symbols where the the price is frequently flat over the course of the day or where there are frequent gaps up or gaps down.
-Bruce
Personal Criteria Formulas
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