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Gold Customer
Joined: 10/7/2004 Posts: 54
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I have a question about the Detrended Price Oscillator. I have been studying the DPO 3 in Stock Finder 4. I also added the DPO 3 to TC2K version 18. Using the SPY in SF4 the SPY would show a rising price whenever the DPO3 was below zero and a falling price whenever the DPO was above zero. The opposite is true in TC2K V.18. In addition, the DPO 3 in SF4 is offset by three days (daily chart) and not offset at all in TC2K. Since it is a cycle indicator (according to SF4) I would like to add it to my indicators in my trading system. It shows promise the way it is calculated in SF4 but not so much in TC2K. Can you explain and give me a formula for the DPO 3 as calculated in SF4 for TC2K?
Thank you in advance for your help.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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The formula for the SF4 version of DPO3 would be the following.
C2- AVGC3
If you plot this as a Custom PCF Indicator, you will need to add a 1-period simple moving average with the Offset set to -2 to plot this correctly on the chart (set the opacity of the Custom PCF Indicator all the way to the left so it isn't visible).
You might want to review the following for alternate interpretations and why I would tend to think another version of this would actually be better (but which can only accurately offset correctly in TC2000 if the period is odd).
C1 - AVGC3
This would need to have the 1-period simple moving average offset by -1 bars instead of -2 bars.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Gold Customer
Joined: 10/7/2004 Posts: 54
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Wow Bruce. After following your link and reading all of the posts, I do not think I have seen so much disagreement on what is right about a single indicator. The reason that I ask for the SF4 formula is that it seems to identify a change in trend (short or long) which is what I am shooting for as a swing trader. I will try both formulas to see what will work for me.
My goal is to find indicators which are cycle based, market strength based, and momentum based. The one I lacked was the cycle based. There are not many to choose from and the DPO seemed to fit the bill for me.
In SF4 the DPO shows the up trend whenver the indicator is below zero and a down trend when above zero. This is unusual with indicators that use zero for the crossing point. Most work opposite from this
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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The two versions of DPO3 presented above both shift the direction of the moving average in what we would both seem to think is the "correct" direction. The formulas are very similar.
The difference is the second formula given calculates the difference between price and the moving average as well as the offset using the center of the data. The first formula does not.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Gold Customer
Joined: 10/7/2004 Posts: 54
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You go above and beyond the call of duty. You have been a tremendous blessing to me over the years. Thank you so much for your help.
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Gold Customer
Joined: 10/7/2004 Posts: 54
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Bruce,
The default Detrended Price Oscillator offered in TC2000 version 18 works differently than StockFinder 4. In TC2K the DPO rises as price rises and falls as price falls. The DPO in SF4 does the opposite. Can you give me the blocks formula for the TC2K DPO for SF4 so that I can study it and run some back tests on it?
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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Did you try the formulas given above? The first formula is the SF4 formula for DPO3 (it just needs to be offset as described using a moving average to get it plotted at the same location).
The generalized version of the SF4 DPO would be:
Cq - AVGCp
Where p is the period of the DPO.
Where q is ((p / 2) + 1) rounded down to the nearest integer.
A better formula is probably the following for odd periods.
Cq - AVGCp
Where p is the period of the DPO.
Where q is ((p - 1) / 2) with no rounding required.
You could choose to round down or round up (up to you really) for even periods, but the better option in the case of even periods would be the following.
AVGC2.q - AVGCp
Where p is the period of the DPO.
Where q is ((p - 1) / 2) rounded down to the nearest integer.
Note that p and q can't actually be left in the formulas. You need to replace p and q with whatever intereger results from the calculations.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Gold Customer
Joined: 10/7/2004 Posts: 54
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Yes both formulas worked for me. I now want test the TC2k version that is already available in SF4. I did use both formulas above in TC2K. Since the default DPO in TC2K goes in the same direction as price (SF4 version goes down if price is going up and up if the price is going down) I want to test the default TC2K version in SF4)
I can do formulas pretty well in TC2K but not so well in SF4. I hope I am making sense as to my request
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Gold Customer
Joined: 10/7/2004 Posts: 54
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Sorry Bruce. I meant to state in my second sentence the DPO that is already available in TC2K not SF4.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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I had forgotten how many improvement SF5 added to RealCode. Please try the folloing RC Indicator. You will need to manually edit the value of the Period variable in the RealCode.
RealCode for Real People: Indicators (6:05)
Static Period As Integer = 21
Static MAshift As Integer = System.Math.Ceiling(Period / 2) + 1
Static Sum As Single
If CurrentIndex > MAshift Then
Sum += Price.Last(MAshift)
Else If CurrentIndex = MAshift Then
Sum = Price.Last(MAshift)
End If
If CurrentIndex >= MAshift + Period - 1 Then
Plot = Price.Last - Sum / Period
Sum -= Price.Last(MAshift + Period - 1)
Else
Plot = Single.NaN
End If
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Gold Customer
Joined: 10/7/2004 Posts: 54
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I am grateful to you Bruce
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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You're welcome.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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