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Comparing relative move magnitudes of price vs indicators Rate this Topic:
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donv98
Posted : Monday, July 24, 2017 11:22:52 AM
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Joined: 7/29/2010
Posts: 390

Hi Bruce,

   I am wondering how I can scan for situations where some indicator like BOP makes a move much larger in % magnitude relative to itself while price is consolidating or making a much smaller relative move relative to itself.

Comparing the respective relative moves I want to scan for those where the BOP move is at  least 2X larger than that of price.

An example is where price moves up say 1% over the past 2 bars while BOP has increased from 0 to 20 over that time or 10% of its range of -100 to +100.

Many thanks for any help.

Don

Bruce_L
Posted : Monday, July 24, 2017 11:51:37 AM


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Joined: 10/7/2004
Posts: 61,018

The issue with trying to quantify indicators which are on different scales than price is making such comparisons and knowing at what threshold any such differences might be significant. I really can't help you with making these sorts of decisions.

What I can do is point out in the case of BOP you have already made this distinction on your own. You have defined the results as percentages with the percent change in price being compared to the change in BOP as a percentage of its total possible range over the same period.

(BOP - BOP1.2) / 200 >= 2 * (C - C2) / C2 AND SGN(BOP - BOP1.2) = SGN(C - C2)

Note that the basis for the percent change in BOP is 200 and the basis for the percent change in price is C2. The part after the AND is designed to make sure the change in price and BOP are in the same direction.



-Bruce
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donv98
Posted : Monday, July 24, 2017 12:02:53 PM
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Joined: 7/29/2010
Posts: 390

Bruce,

    Beautiful job of capturing my intent with your summary and pcf.

Many thanks for your genius!

Don

donv98
Posted : Monday, July 24, 2017 12:31:37 PM
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Joined: 7/29/2010
Posts: 390

Bruce,

 How would I create the same type of pcf for v12 using TSI 3,8 instead of BOP and over the last bar instead of the last 2 bars?

Thank you .

Don

Bruce_L
Posted : Monday, July 24, 2017 12:39:14 PM


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Joined: 10/7/2004
Posts: 61,018

Assuming you still want to compare percentages, you need to decide on a basis to use for that percentage. TSI does not have a fixed range like BOP. You could use something like the highest value of TSI3,8 minus the lowest value of TS3,8 over same arbitrary number of bars.

Unfortunately I really don't have a way to make this formula short enough to be practical for TC2000 v12. I would only be able to write it for TC2000 v17.

(XAVG(XAVG(C - C1, 3), 8) / XAVG(XAVG(ABS(C - C1), 3), 8) - XAVG(XAVG(C1 - C2, 3), 8) / XAVG(XAVG(ABS(C1 - C2), 3), 8)) / (MAX(XAVG(XAVG(C - C1, 3), 8) / XAVG(XAVG(ABS(C - C1), 3), 8) , 20) - MIN(XAVG(XAVG(C - C1, 3), 8) / XAVG(XAVG(ABS(C - C1), 3), 8) , 20)) >= 2 * (C - C1) / C1 AND SGN(XAVG(XAVG(C - C1, 3), 8) / XAVG(XAVG(ABS(C - C1), 3), 8) - XAVG(XAVG(C1 - C2, 3), 8) / XAVG(XAVG(ABS(C1 - C2), 3), 8)) = SGN(C - C1)



-Bruce
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donv98
Posted : Monday, July 24, 2017 12:50:12 PM
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Joined: 7/29/2010
Posts: 390

Bruce,

  Thank you.

If the same -100 to 100 range or 200 was used as the basis for comparing percentages on TSI, can it be written for v. 12?

Don

UnclePennybags
Posted : Monday, July 24, 2017 12:50:21 PM
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Joined: 6/30/2017
Posts: 800

QUOTE (Bruce_L)

Unfortunately I really don't have a way to make this formula short enough to be practical for TC2000 v12. I would only be able to write it for TC2000 v17.

Wasn't Nixon president when v12 rolled out? Time for v17. :)

UnclePennybags
Posted : Monday, July 24, 2017 12:52:28 PM
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Joined: 6/30/2017
Posts: 800

Kidding, of course :)

donv98
Posted : Tuesday, July 25, 2017 10:51:36 AM
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Joined: 7/29/2010
Posts: 390

QUOTE (donv98)

Bruce,

  Thank you.

If the same -100 to 100 range or 200 was used as the basis for comparing percentages on TSI, can it be written for v. 12?

Don

 

Bruce,

  Please respond to my question. Thank you.

Bruce_L
Posted : Tuesday, July 25, 2017 11:02:38 AM


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Joined: 10/7/2004
Posts: 61,018

Using 200 as the basis would result in the following formula for TC2000 v12.

((XAVG(XAVGC8,3) - XAVG(XAVGC8.1,3)) / (.3113848 * (C - C1 + 7 / 9 * (C1 - C2 + 7 / 9 * (C2 - C3 + 7 / 9 * (C3 - C4 + 7 / 9 * (C4 - C5 + 7 / 9 * (C5 - C6 + 7 / 9 * (C6 - C7 + 7 / 9 * (C7 - C8 + 7 / 9 * (C8 - C9 + 7 / 9 * (C9 - C10 + 7 / 9 * (C10 - C11 + 7 / 9 * (C11 - C12 + 7 / 9 * (C12 - C13 + 7 / 9 * (C13 - C14 + 7 / 9 * (C14 - C15 + 7 / 9 * (C15 - C16 + 7 / 9 * (C16 - C17 + 7 / 9 * (C17 - C18 + 7 / 9 * (C18 - C19 + 7 / 9 * (C19 - C20 + 7 / 9 * (C20 - C21 + 7 / 9 * (C21 - C22 + 7 / 9 * (C22 - C23 + 7 / 9 * (C23 - C24 + 7 / 9 * (C24 - C25 + 7 / 9 * (C25 - C26 + 7 / 9 * (C26 - C27 + 7 / 9 * (C27 - C28)))))))))))))))))))))))))))) - .2001955 * (C - C1 + .5 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10))))))))))) - (XAVG(XAVGC8.1,3) - XAVG(XAVGC8.2,3)) / (.3113848 * (C1 - C2 + 7 / 9 * (C2 - C3 + 7 / 9 * (C3 - C4 + 7 / 9 * (C4 - C5 + 7 / 9 * (C5 - C6 + 7 / 9 * (C6 - C7 + 7 / 9 * (C7 - C8 + 7 / 9 * (C8 - C9 + 7 / 9 * (C9 - C10 + 7 / 9 * (C10 - C11 + 7 / 9 * (C11 - C12 + 7 / 9 * (C12 - C13 + 7 / 9 * (C13 - C14 + 7 / 9 * (C14 - C15 + 7 / 9 * (C15 - C16 + 7 / 9 * (C16 - C17 + 7 / 9 * (C17 - C18 + 7 / 9 * (C18 - C19 + 7 / 9 * (C19 - C20 + 7 / 9 * (C20 - C21 + 7 / 9 * (C21 - C22 + 7 / 9 * (C22 - C23 + 7 / 9 * (C23 - C24 + 7 / 9 * (C24 - C25 + 7 / 9 * (C25 - C26 + 7 / 9 * (C26 - C27 + 7 / 9 * (C27 - C28 + 7 / 9 * (C28 - C29)))))))))))))))))))))))))))) - .2001955 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10 + .5 * (C10 - C11)))))))))))) / 200 >= 2 * (C - C1) / C1 AND SGN((XAVG(XAVGC8,3) - XAVG(XAVGC8.1,3)) / (.3113848 * (C - C1 + 7 / 9 * (C1 - C2 + 7 / 9 * (C2 - C3 + 7 / 9 * (C3 - C4 + 7 / 9 * (C4 - C5 + 7 / 9 * (C5 - C6 + 7 / 9 * (C6 - C7 + 7 / 9 * (C7 - C8 + 7 / 9 * (C8 - C9 + 7 / 9 * (C9 - C10 + 7 / 9 * (C10 - C11 + 7 / 9 * (C11 - C12 + 7 / 9 * (C12 - C13 + 7 / 9 * (C13 - C14 + 7 / 9 * (C14 - C15 + 7 / 9 * (C15 - C16 + 7 / 9 * (C16 - C17 + 7 / 9 * (C17 - C18 + 7 / 9 * (C18 - C19 + 7 / 9 * (C19 - C20 + 7 / 9 * (C20 - C21 + 7 / 9 * (C21 - C22 + 7 / 9 * (C22 - C23 + 7 / 9 * (C23 - C24 + 7 / 9 * (C24 - C25 + 7 / 9 * (C25 - C26 + 7 / 9 * (C26 - C27 + 7 / 9 * (C27 - C28)))))))))))))))))))))))))))) - .2001955 * (C - C1 + .5 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10))))))))))) - (XAVG(XAVGC8.1,3) - XAVG(XAVGC8.2,3)) / (.3113848 * (C1 - C2 + 7 / 9 * (C2 - C3 + 7 / 9 * (C3 - C4 + 7 / 9 * (C4 - C5 + 7 / 9 * (C5 - C6 + 7 / 9 * (C6 - C7 + 7 / 9 * (C7 - C8 + 7 / 9 * (C8 - C9 + 7 / 9 * (C9 - C10 + 7 / 9 * (C10 - C11 + 7 / 9 * (C11 - C12 + 7 / 9 * (C12 - C13 + 7 / 9 * (C13 - C14 + 7 / 9 * (C14 - C15 + 7 / 9 * (C15 - C16 + 7 / 9 * (C16 - C17 + 7 / 9 * (C17 - C18 + 7 / 9 * (C18 - C19 + 7 / 9 * (C19 - C20 + 7 / 9 * (C20 - C21 + 7 / 9 * (C21 - C22 + 7 / 9 * (C22 - C23 + 7 / 9 * (C23 - C24 + 7 / 9 * (C24 - C25 + 7 / 9 * (C25 - C26 + 7 / 9 * (C26 - C27 + 7 / 9 * (C27 - C28 + 7 / 9 * (C28 - C29)))))))))))))))))))))))))))) - .2001955 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10 + .5 * (C10 - C11)))))))))))) = SGN(C - C1)



-Bruce
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donv98
Posted : Wednesday, July 26, 2017 10:59:57 AM
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Joined: 7/29/2010
Posts: 390

Bruce,

   Many thanks for creating the above awesome pcf. 

It seems to be working well.

I am still experimenting with and tweaking things.

Please create one identical to it but using TSI 2,3 instead of TSI 3,8.

Thank you very much.

Don

Bruce_L
Posted : Wednesday, July 26, 2017 11:49:23 AM


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Joined: 10/7/2004
Posts: 61,018

Please try the following:

(1.0009775 * (C - C1 + .5 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10)))))))))) - .66697164 * (C - C1 + 1 / 3 * (C1 - C2 + 1 / 3 * (C2 - C3 + 1 / 3 * (C3 - C4 + 1 / 3 * (C4 - C5 + 1 / 3 * (C5 - C6 + 1 / 3 * (C6 - C7))))))) - (1.0009775 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10 + .5 * (C10 - C11)))))))))) - .66697164 * (C1 - C2 + 1 / 3 * (C2 - C3 + 1 / 3 * (C3 - C4 + 1 / 3 * (C4 - C5 + 1 / 3 * (C5 - C6 + 1 / 3 * (C6 - C7 + 1 / 3 * (C7 - C8))))))))) / 200 >= 2 * (C - C1) / C1 AND SGN(1.0009775 * (C - C1 + .5 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10)))))))))) - .66697164 * (C - C1 + 1 / 3 * (C1 - C2 + 1 / 3 * (C2 - C3 + 1 / 3 * (C3 - C4 + 1 / 3 * (C4 - C5 + 1 / 3 * (C5 - C6 + 1 / 3 * (C6 - C7))))))) - (1.0009775 * (C1 - C2 + .5 * (C2 - C3 + .5 * (C3 - C4 + .5 * (C4 - C5 + .5 * (C5 - C6 + .5 * (C6 - C7 + .5 * (C7 - C8 + .5 * (C8 - C9 + .5 * (C9 - C10 + .5 * (C10 - C11)))))))))) - .66697164 * (C1 - C2 + 1 / 3 * (C2 - C3 + 1 / 3 * (C3 - C4 + 1 / 3 * (C4 - C5 + 1 / 3 * (C5 - C6 + 1 / 3 * (C6 - C7 + 1 / 3 * (C7 - C8))))))))) = SGN(C - C1)



-Bruce
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donv98
Posted : Wednesday, July 26, 2017 12:15:49 PM
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Joined: 7/29/2010
Posts: 390

Bruce,

   Many thanks for your fine efforts.

Don

Bruce_L
Posted : Wednesday, July 26, 2017 12:19:10 PM


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Joined: 10/7/2004
Posts: 61,018

You're welcome.



-Bruce
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