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Clarification on "Period" & "Time Frame" in Create Scan Condition Rate this Topic:
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looseaverse
Posted : Friday, May 17, 2013 8:21:17 AM
Registered User
Joined: 12/21/2010
Posts: 21

When creating a scan condition for "Moving Up %" I see a window that has both a "Period" and a "Time Frame" selection.

<My understanding is that "Time Frame" is bar duration (1 min, 10 min etc) and Period is the number oif bars.  Is this correct?

So the question:  When the test is performed for 0.1% change, over what time span is that test performed.  To be more specific:

  1. If the Period is 10 and the Time Frame is 1 min and the % Change is .1%, then is the value 10 minutes befdore compared to the value now and the result true if that is greater than .1% of the value 10 minutes ago?
  2. Is Period 10 and Time Frame 1 min the same as Period 1 and Time Frame 10 min?

Please advise how the Perios and Time Frame should be used.  One way to interpret this is that the test in (1) above would require .1% change in each of 10 periods or in any of 10 periods. You see the ambiguity here.

Please clarify.

 

 

 

 

 

Bruce_L
Posted : Friday, May 17, 2013 8:30:34 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

QUOTE (looseaverse)
My understanding is that "Time Frame" is bar duration (1 min, 10 min etc) and Period is the number oif bars.  Is this correct?

Yes, your are correct.

QUOTE (looseaverse)
If the Period is 10 and the Time Frame is 1 min and the % Change is .1%, then is the value 10 minutes befdore compared to the value now and the result true if that is greater than .1% of the value 10 minutes ago?

Yes, that is correct.

QUOTE (looseaverse)
Is Period 10 and Time Frame 1 min the same as Period 1 and Time Frame 10 min?

Yes, they are the same.

QUOTE (looseaverse)
Please advise how the Perios and Time Frame should be used.  One way to interpret this is that the test in (1) above would require .1% change in each of 10 periods or in any of 10 periods. You see the ambiguity here.

It is not a slope, it is a percent change. The percent change is across the entire span of time.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
looseaverse
Posted : Friday, May 17, 2013 10:24:49 AM
Registered User
Joined: 12/21/2010
Posts: 21

Thanks,

Another question along the similar lines: 

If I create scan condition for Price, to be above VWAP, what is the significance of Time Frame. 

 If for example, Time Frame is 10 minutes, is that condition true if the price is above VWAP for the entier 10 minutes, or at any time during the 10 minute period or something else?

 

Bruce_L
Posted : Friday, May 17, 2013 10:34:50 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

Only the close or current price is used in the Scan Condition. The Time Frame is the size of an individual bar used in the calculations and will be there even if it does not affect the result.

In the case of VWAP, it does affect the result however. The VWAP in TC2000 is not calculated using tick data. It is calculated using only the data which is available in the Time Frame selected. All of the volume of each individual bar in the Time Frame selected will be included in the VWAP at the closing price of the bar.

So if you have a 10-Minute Time Frame, each 10-Minute chunk of volume will be assigned the price of the close of that 10-Minute chunk. If you have a 1-Minute Time Frame, each 1-Minute chunk of volume be assigned the price of the close of that 1-Minute chunk. So a 10-Minute VWAP will not give you the same result as a 1-Minute VWAP. The 1-Minute version will have more descrete units of volume and more individual prices used in its calculations than the 10-Minute version.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
looseaverse
Posted : Friday, May 17, 2013 11:19:49 AM
Registered User
Joined: 12/21/2010
Posts: 21

Oh my, I have been assuming that price above VWAP would be tested as above the VWAP line plotted on my chart.  What I am understanding from what you wrote is that the VWAP used in SCAN or Condition test is calucled independently from that I use to plot VWAP on my charts. 

For example - am I correct: I have a 1 minute chart with the VWAP indicator plotted.  If I add condition column testing for VWAP greater than price with Time Period 30 minutes, then that is not going test that price has been greater than the VWAP plot.  But is instead going to test the VWAP calculated over the prvious 30 minutes to the most current 1 minute bar close price. 

What I am trying to do look for situations where closing or low price has been above VWAP continuously for a period of time.  Not sure I can do that with the TC2000.

What really would be better is to have a test that flags when the price is increasing faster than the VWAP on a slope basis.  Such indicates a very strong stock and low risk for day trade. Need to be able to see this stuff early in the day. 

The other thing I am trying to do is identify those stocks in my list of MOMO stocks that is starting a robust opeing drive.  Those opportunities between 9:30 and 10:30 oftern account for most of the day's movement but they hard to find in the rush of first 10 minutes or sometime 5 minutes. 

Fundamentally, TC2000 is designed for picking investment or medium term swing trade stocks and not intraday opportunities.

 

Any suggestions?

 

 

Bruce_L
Posted : Friday, May 17, 2013 11:39:13 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

QUOTE (looseaverse)
For example - am I correct: I have a 1 minute chart with the VWAP indicator plotted.  If I add condition column testing for VWAP greater than price with Time Period 30 minutes, then that is not going test that price has been greater than the VWAP plot.

It is going to check if price is above the VWAP plot. It will just do so on a 30-minute chart instead of on a 1-minute chart.

QUOTE (looseaverse)
But is instead going to test the VWAP calculated over the prvious 30 minutes to the most current 1 minute bar close price.

This is not correct. Please re-read my response. Only the close or current price is used in the scan condition. This means it is not looking at price over 30 minutes.

You are re-iterating the false premise surmised in your own Friday, May 17, 2013 10:24:49 AM ET post and not something contained in my Friday, May 17, 2013 10:34:50 AM ET response.

Most of the post was dedicated to explaining that the VWAP is different depending on the time frame.

QUOTE (looseaverse)
What really would be better is to have a test that flags when the price is increasing faster than the VWAP on a slope basis.  Such indicates a very strong stock and low risk for day trade. Need to be able to see this stuff early in the day.

It is not possible to create a Condition for this in TC2000 currently.

QUOTE (looseaverse)
The other thing I am trying to do is identify those stocks in my list of MOMO stocks that is starting a robust opeing drive.  Those opportunities between 9:30 and 10:30 oftern account for most of the day's movement but they hard to find in the rush of first 10 minutes or sometime 5 minutes.

I can help you create a Personal Criteria Formula, Sort or EasyScan to identify specific unambiguous objective requirements which you create yourself. I cannot help you come up with those requirements however. The trainers can't give setting, interpretation or investment advice.

You may want to ask your question in the Stock and Market Talk forum where other traders are more likely to see it and respond.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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