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Profile: Al_Gorithm
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User Name: Al_Gorithm
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Joined: Friday, June 30, 2017
Last Visit: Sunday, June 24, 2018 8:30:28 PM
Number of Posts: 1,048
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Topic: Fun with ETFs
Posted: Sunday, June 24, 2018 6:46:11 PM

Happy Monday, Bruce!

I haven't looked at ETFs in ages, except for the biggies (SPY, QQQ, IWM, ...).

Wanted to try something with ETFs that met the following criteria:

  • Non-leveraged,
  • Non-inverse,
  • Minimum daily trading volume of 250,000 shares over the previous 20 trading days. 

I can handle the liquidity filter, but what's the easiest/best way to identify non-leveraged, non-inverse ETFs? I see TC2000 has an ETF watchlist, which has 2,189 tickers (holy sh#t!).

Is there even a way to identify non-leveraged, non-inverse ETFs, or do I just eyeball their descriptions?

Topic: ConnorsRSI circa 2018
Posted: Sunday, June 24, 2018 5:08:05 PM

Another contingency ...

 

Topic: I finally got my own yacht!
Posted: Sunday, June 24, 2018 11:29:51 AM

Very punny!

Topic: ConnorsRSI circa 2018
Posted: Sunday, June 24, 2018 11:16:16 AM

Just thinking about contingencies...

  • If TC2000 can't handle it, can StockFinder?
  • If so, is StockFinder still available?

I'd rather not add AmiBroker to my toolbox - it would eat into the barista's tip jar. :)

Topic: I finally got my own yacht!
Posted: Sunday, June 24, 2018 9:26:18 AM

Happy Monday Bruce!

Feel free to delete this in the morning - couldn't resist ;)

Topic: ConnorsRSI circa 2018
Posted: Sunday, June 24, 2018 9:08:54 AM

Happy Monday Bruce, 

Wanted to revisit another past topic. With the PCF language's new capabilities the past few years, I was wondering if ConnorsRSI was finally doable. There's a lot to it, but if anybody can, ... . If not, can we add this to the developer's Honey-Do list? ... ConnorsRSI is pretty popular, and I know Larry used to do a webinar or two with Michael - I'm sure he'd love it if Worden implemented ConnorsRSI.

Excerpt reprinted from An Introduction to ConnorsRSI from Connors Research,
LLC, 2012.
 
Now let’s turn our attention back to ConnorsRSI. As mentioned previously,
ConnorsRSI combines three components, and as you might guess, they are
all elements that our research has repeatedly shown to have significant
predictive ability:
 
Price Momentum: As we just discussed, RSI is an excellent way to measure
price momentum, i.e. overbought and oversold conditions. By default,
ConnorsRSI applies a 3-period RSI calculation to the daily closing prices of
a security. We will refer to this value as RSI(Close,3).
 
Duration of Up/Down Trend: When the closing price of a security is lower
today than it was yesterday, we say that it has “closed down”. If yesterday’s
closing price was lower than the previous day’s close, then we have a
“streak” of two down close days. Our research has shown that the longer
the duration of a down streak, the more the stock price is likely to bounce
when it reverts to the mean. Likewise, longer duration up streaks result
in larger moves down when the stock mean reverts. In effect, the streak
duration is another type of overbought/oversold indicator.
 
The problem is, the number of days in a streak is theoretically unbounded,
though we could probably place some practical limits on it based on past
experience. For example, we might observe that there have been very few
instances of either an up streak or a down streak lasting for more than 20
days, but that still doesn’t get us to a typical oscillator-type value that varies
between 0 and 100.
 
The solution is two-fold. First, when we count the number of days in a
streak, we will use positive numbers for an up streak, and negative numbers
for a down streak. A quick example will help to illustrate this:
 
 
The closing price on Day 2 is higher than on Day 1, so we have a one-day
up streak. On Day 3, the price closes higher again, so we have a two-day up
streak, i.e. the Streak Duration value is 2. On Day 4, the closing price falls,
giving us a one-day down streak. The Streak Duration value is negative (-1)
because the price movement is down, not up. The downward trend continues
on Days 5 and 6, which our Streak Duration reflects with values of -2
and -3. On Day 7 the closing price is unchanged, so the Streak Duration is
set to 0 indicating neither an up close nor a down close. Finally, on Day 8
the closing price rises again, bringing the Streak Duration value back to 1.
 
The second aspect of the solution is to apply the RSI calculation to the set
of Streak Duration values. By default, ConnorsRSI uses a 2-period RSI for
this part of the calculation, which we denote as RSI(Streak,2). The result
is that the longer an up streak continues, the closer the RSI(Streak,2) value
will be to 100. Conversely, the longer that a down streak continues, the
closer the RSI(Streak,2) value will be to 0. Thus, we now have two components
-- RSI(Close,3) and RSI(Streak,2) -- that both use the same 0-100 scale
to provide a perspective on the overbought/oversold status of the security
we’re evaluating.
 
Relative Magnitude of Price Change: The final component of ConnorsRSI
looks at the size of today’s price change in relation to previous price changes.
We do this by using a Percent Rank calculation, which may also be referred
to as a “percentile”. Basically, the Percent Rank value tells us the percentage
of values in the look-back period that are less than the current value.
 
For this calculation, we measure price change not in dollars and cents, but
as a percentage of the previous day’s price. This percentage gain or loss is
typically referred to as the one-day return. So if yesterday’s closing price
was $80.00, and today’s price is $81.60, the one-day return is ($81.60 - $80.00)
/ $80.00 = 0.02 = 2.0%.
 
To determine the Percent Rank, we need to establish a look-back period.
The Percent Rank value is then the number of values in the look-back
period that are less than the current value, divided by the total number
of values. For example, if the look-back period is 20 days, then we would
compare today’s 2.0% return to the one-day returns from each of the previous
20 days. Let’s assume that three of those values are less than 2.0%.
 
We would calculate Percent Rank as:
Percent Rank = 3 / 20 = 0.15 = 15%
 
The default Percent Rank look-back period used for ConnorsRSI is 100, or
PercentRank(100). We are comparing today’s return to the previous 100 returns,
or about 5 months of price history. To reiterate, large positive returns
will have a Percent Rank closer to 100. Large negative returns will have a
Percent Rank closer to 0.
 
The final ConnorsRSI calculation simply determines the average of the
three component values. Thus, using the default input parameters would
give us the equation:
 
ConnorsRSI(3,2,100) = [RSI(Close,3) + RSI(Streak,2) + PercentRank(100)] / 3
 
The result is a very robust indicator that is more effective than any of
the three components used individually. In fact, ConnorsRSI also offers
some advantages over using all three components together. When we use
multiple indicators to generate an entry or exit signal, we typically set a
target value for each one. The signal will only be considered valid when all
the indicators exceed the target value. However, by using an average of the
three component indicators, ConnorsRSI produces a blending effect that allows
a strong value from one indicator to compensate for a slightly weaker
value from another component. A simple example will help to clarify this.
 
Let’s assume that Trader A and Trader B have agreed that each of the following
indicator values identify an oversold condition:
 
&bull; RSI(Close,3) < 15
&bull; RSI(Streak,2) < 10
&bull; PercentRank(100) < 20
 
Trader A decides to take trades only when all three conditions are true.
Trader B decides to use ConnorsRSI to generate her entry signal, and uses
a value of (15 + 10 + 20) / 3 = 15 as the limit. Now assume we have a stock
that displays the following values today:
 
&bull; RSI(Close,3) = 10
&bull; RSI(Streak,2) = 8
&bull; PercentRank(100) = 21
&bull; ConnorsRSI = (10 + 8 + 21) / 3 = 13
 
Trader A will not take the trade, because one of the indicators does not
meet his entry criteria. However, Trader B will take this trade, because the
two low RSI values make up for the slightly high PercentRank value. Since
all three indicators are attempting to measure the same thing (overbought/
oversold condition of the stock) by different mechanisms, it makes intuitive
sense to take this &ldquo;majority rules&rdquo; approach. More importantly, our
research has shown ConnorsRSI to be superior to any other momentum
indicator that we&rsquo;ve tested.
 
To receive a free copy of the full report on ConnorsRSI, go to www.tradingmarkets.
com and click on the ConnorsRSI link in the menu.
Topic: RSI vs Wilder's RSI - Smackdown!
Posted: Sunday, June 24, 2018 8:44:39 AM

Happy Monday Bruce,

It&#39;s a sunny Sunday morning in the greatist city in the world, the coffee pot is brewing, and I cracked open Connors&#39; latest ...

Before I dive too deep, I wanted to revisit a topic we visited a few years ago. Can&#39;t recall the difference in TC2000 between RSI and Wilder&#39;s RSI. Before I automate Connors&#39; setups (you can buy them for $250 for AmiBroker, lol) I want to make sure I&#39;m using the same RSI Larry is.

 

Below is an excerpt from Connors&#39; ...

Excerpt from An Introduction to ConnorsRSI from Connors Research, LLC, 2012.
 
... let&rsquo;s review Wilder&rsquo;s RSI. RSI is a very useful and popular momentum oscillator that compares the magnitude of a stock&rsquo;s gains to the magnitude of its losses over some lookback period. Wilder himself believed that 14 periods was the ideal lookback. We often use the shorthand notation RSI(14) for the 14-period RSI.
 
The formula below computes RSI(14) for a series of price changes:

If we wanted to compute RSI for a different number of periods (N), then we would replace 14 in the formula above with N, and replace 13 with N-1. Regardless of the number of periods used in the calculation, the result will always be a number between 0 and 100. Traders who use RSI(14) typically
look for values greater than 70 to identify overbought conditions, and values less than 30 to indicate oversold conditions.
 
Our previous research has shown that using shorter look-back periods makes RSI more effective in predicting short-term price movements. We have published many strategies that utilize RSI(2), as well as several that use RSI(3) and RSI(4). Changing the number of periods also has an effect on the RSI levels that best identify overbought and oversold conditions.
 
For example, an RSI(2) value of less than 10 is usually a reliable indicator of an oversold condition, while an RSI(2) value over 90 is a good benchmark for an overbought condition.
 
So, ... do I go with RSI, or Wilder&#39;s RSI?
 
Thanks, Bruce!
Topic: Best Indicator to do trading?
Posted: Friday, June 22, 2018 12:06:06 PM

Hi rich,

Bruce is right, he couldn&#39;t give advice even if he wanted to ... regulators are funny that way.

It&#39;s almost lunchtime here, and the barista is giving me her best come-hither look, so some brief pointers ...

  • Google is a beauuuuutiful thing. 
  • Libraries are a good resource; these days you can even borrow stuff online.
  • Meetup groups can be a gold mine for networking.
  • TASC magazine provides free trials, and you can check out their archives

Gotta run - the single biggest tip I can think of is: trading is NOT a one-size-fits-all business. And I use the term "business" intentionally. Even if it&#39;s your side-hustle, you have to treat trading as a business.

Even if the rules & regs allowed Bruce to share advice, what works for him and paid for his yacht would not likely work for you. It wouldn&#39;t work for me either. Traders are as unique as their fingerprints. They all have different personalities, goals, amounts of capital, appetite for risk, etc. I could go on forever, but the barista really wants me to come over. ;)

I can only suggest some names to get you started ...

  • Alexander Elder
  • Corey Rosenbloom
  • Anne-Marie Baiynd
  • Doug Campbell

Final thought: if there was a "Best Indicator to do trading" do you think there would be dozens of indicators available? In this 21st century age where everyone is connected with ubiquitous internet access, if Bruce unveiled a truly "best" indicator today, EVERYONE in the world would know about it by tomorrow, and they would be using it. 

Of course 95% of them would still f#ck it up, but human nature is a story for another post.

If you truly want a Holy Grail, look in the mirror. :)

Hope that helps. Good luck!

The barista is waiting ...

Topic: TTM Squeeze
Posted: Wednesday, June 20, 2018 8:22:36 AM

Hi Kevin, had a minute, sent you a copy. Enjoy and good luck!

Topic: Best scan formula for daily profit
Posted: Wednesday, June 20, 2018 8:12:31 AM

Bruce, I&#39;m always right. LOL. Just takes me awhile sometimes to figure it out. ;)

That PCF is a nice idea ... the friend I converted to TC2000 from a competitor likes to use ATR in addition to her liquidity filters (price and volume). She likes at least a 2% daily average if she can get it.

I prefer the Average Percentage True Range you put together for me from a TASC article, but she&#39;s been doing the math in her head so long it&#39;s second-nature. So she sticks w/ ATR.

Just sitting here sippin&#39; coffee and flirting with baristas until Larry Connors new book drops. The PDF copy should be available sometime today.