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Profile: SweetAndSour
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Joined: Friday, May 26, 2017
Last Visit: Monday, February 05, 2018 5:18:06 AM
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Last 10 Posts
Topic: Historical Volatility over 3 years in a monthly Timeframe
Posted: Wednesday, December 13, 2017 2:43:27 PM

Thanks!

Topic: Historical Volatility over 3 years in a monthly Timeframe
Posted: Wednesday, December 13, 2017 4:45:05 AM

Hi Trainer,

I'm trying to get the Historical Volatility over 3 years in a monthly Timeframe, but not sure whether the following formula ist correct. The Output should be a simple decimal value:

SQR(ABS((SUM(LOG(C / C1) ^ 2,36) - LOG(C / C36) ^ 2/36) / 36))

Thanks!!

 

Topic: Conditional ATR Trailing Stop based on a multiplier
Posted: Tuesday, November 28, 2017 12:37:15 PM

QUOTE (Bruce_L)

I really don't have a way of converting that into a formula. Have you looked at the Volatility Stop indicator with the Period set to 5 and the True Range Multiplier set to 3.5?

I'll give it a try and do some backtesting.

Whats the Formula to check when the Volatility Switch changes from down trend to up trend?

Thanks

Topic: Conditional ATR Trailing Stop based on a multiplier
Posted: Tuesday, November 28, 2017 10:53:10 AM

Hi Teacher

May i ask you to translate the following code snippet (the conditional part only) into a conditional PCF Formula? Value[n] ist the current value of the TrailingStop Line...

 
if (Close[0] > Value[1] && Close[1] > Value[1])
    trail = Math.Max(Value[1], Close[0] - (ATR(5)[0] * 3.5));
else if (Close[0] < Value[1] && Close[1] < Value[1])
    trail = Math.Min(Value[1], Close[0] + (ATR(5)[0] * 3.5));
else if (Close[0] > Value[1])
    trail = Close[0] - (ATR(5)[0] * 3.5);
else
    trail = Close[0] + (ATR(5)[0] * 3.5);
 
AddPlot(new Stroke(Brushes.Orange, 2), PlotStyle.Line, "TrailingStop");
TrailingStop[0] = (trail);

Thanks for your help...

Topic: Ehlers Early Trend Detection - The Quotient Transform Indicator
Posted: Tuesday, November 28, 2017 10:36:10 AM

QUOTE (Bruce_L)

I cannot think of a practical method of creating this using Custom PCF Indicators in TC2000.

 

Ok thanks anyway ;-)

Topic: Ehlers Early Trend Detection - The Quotient Transform Indicator
Posted: Monday, November 27, 2017 3:58:32 AM

I wonder wheter it is possible to built a pretty complicated Ehlers indicator in TC2000? Last week i posted a newly developed Ehlers early trend detection indicator on futures.io,  which was presented in the August 2014 issue of the TASC magazine.

Look at the picture so you can see the indicator in action: https://futures.io/local_links.php?action=ratelink&catid=27&linkid=1936

Here&#39;s the complete formula developed in Microsoft C-Sharp fpr Ninjatrader. Note that Input[0] is the current bar while Input[1] is one bar a go and so on...

private double alpha1;
private double a1;
private double b1;
private double c1;
private double c2;
private double c3;
private double x;
private double quotientFastLong;
private double quotientSlowLong;
private double quotientFastShort;
private double quotientSlowShort;
private double kFastLong = 0.40;
private double kSlowLong = 0.90;
private double kFastShort = -0.40;
private double kSlowShort = -0.90;
private Series<double> HP;
private Series<double> Filt;
private Series<double> Peak;
 
AddPlot(new Stroke(Brushes.LightGreen, 1), PlotStyle.Line, "QTFastLong");
AddPlot(new Stroke(Brushes.Green, 1), PlotStyle.Line, "QTSlowLong");
AddPlot(new Stroke(Brushes.IndianRed, 1), PlotStyle.Line, "QTFastShort");
AddPlot(new Stroke(Brushes.Red, 1), PlotStyle.Line, "QTSlowShort");
AddLine(Brushes.Yellow, 0.0, "Zero");
 
LPPeriod = 20;
 
alpha1 = ((Math.Cos(((.707 * 360 / 100) * Math.PI) / 180)) + (Math.Sin(((.707 * 360 / 100) * Math.PI) / 180)) - 1) / (Math.Cos(((.707 * 360 / 100) * Math.PI) / 180));
a1 = Math.Exp(-1.414 * 3.14159 / LPPeriod);
b1 = 2 * a1 * (Math.Cos(((1.414 * 180 / LPPeriod) * Math.PI) / 180));
c2 = b1;
c3 = (a1 * -1) * a1;
c1 = 1 - c2 - c3;
 
HP[0] = ((1 - alpha1 / 2) * (1 - alpha1 / 2) * (Input[0] - 2 * Input[1] + Input[2]) + 2 * (1 - alpha1) * HP[1] - (1 - alpha1) * (1 - alpha1) * HP[2]);
Filt[0] = (c1 * (HP[0] + HP[1]) / 2 + c2 * Filt[1] + c3 * Filt[2]);
Peak[0] = (Peak[1] * 0.991);
 
if (Math.Abs(Filt[0]) > Peak[0])
    Peak[0] = (Math.Abs(Filt[0]));
 
if (Peak[0] < 0.0 || Peak[0] > 0.0)
    x = (Filt[0] / Peak[0]);
 
quotientFastLong = (x + KFastLong) / (KFastLong * x + 1);
quotientSlowLong = (x + KSlowLong) / (KSlowLong * x + 1);
quotientFastShort = (x + KFastShort) / (KFastShort * x + 1);
quotientSlowShort = (x + KSlowShort) / (KSlowShort * x + 1);
 
QTFastLong[0] = (quotientFastLong);
QTSlowLong[0] = (quotientSlowLong);
QTFastShort[0] = (quotientFastShort);
QTSlowShort[0] = (quotientSlowShort);
Topic: HMA Bull Signal used in Ninjatrader
Posted: Thursday, November 16, 2017 1:40:49 PM

Thanks. I&#39;ll try it out.

Krgds

Topic: HMA Bull Signal used in Ninjatrader
Posted: Thursday, November 16, 2017 11:04:24 AM

Hi Trainer,

I&#39;m using a HMA Swing Setup in Ninjatrader for a few years now and works pretty well. It was described in the Stocks & Community Magazine in January 2010.

http://technical.traders.com/archive/articlefinal.asp?file=\V28\C012\229GARN.pdf

Now i would like to use it within TC2000 as well. Is there a chance to convert that into a PCF Formula/Condition? 

That&#39;s the Enter Long condition:

if (Close[0] > SMA(50)[0]
&& IsRising(HMA(4))
&& RSI(HMA(9), 9, 1)[0] < 50
&& Close[0] > Close[59])
 
The Exit Long condition is the folliwng one:
 
if (RSI(HMA(9), 9, 1)[0] > 90)
 
Thanks...
Topic: Todays candle size (high/low)
Posted: Tuesday, November 07, 2017 1:57:29 PM

Hi,

I&#39;m looking for a formula to recognize the todays candle size. The size (high/low) should be at least 1.5 times the height of the the highest candle of the previous 5 candles.
 
Any help is appreciated.
 
Thanks!
Topic: Traders Dynamic Index - Formula conversion from Ninjatraders
Posted: Wednesday, November 01, 2017 7:19:15 AM

QUOTE (raynd)

E-mailed shared chart...Hope it helps

 

Hi raynd,

Thanks for your Charts.

Is the TDI configuration in your TDI chart for a daily chart? Can it be used also in a weekly chart?

Krgds