I received help with an EasyScan set-up and Pamela had someone in the Trainer Dept. set up an EasyScan column labeled "% change since the open".  I would like to be able to understand the formula for this, especially to make certain that the % change measurement actually begins at the open and not at yesterday's  close.  Thanks, David

I'm guessing it is a Daily Indicator Formula. It is probably either:

100 * (C / O - 1)

Or:

100 * (C - O) / O

The C in the formula is the current price (or the close once the market day is over). The O in the formula is the open of the current bar. If the Time Frame of the Indicator Formula is set to Daily, this is the open of the most recent trading day.

PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!

With help from your or technical department, I set up an easy scan column called cumulative volume surge (C Vol surge: Vol > AVGV50). I cannot understand why this column is often not checked as positive when Volume Buzz is several hundred percent of normal. Realizing that Volume Buzz may be calculated using long-term historical records and cumulative volume surge requires only that volume at that part of the day is greater than the 50 day moving average, it still seems that this should not be a common disparity. Yet it occurs every day. Do you have suggestions as to why this is so? David

Volume Buzz is based on the 100-Period Simple Moving Average of Volume over the previous 100 days (so not including today).

The current Volume is compared to a percentage of the average volume which is directly proportional to the percentage of the trading day which has already passed. So at 10:15 AM ET, the current volume would be compared to about 11.54% of the 100-Day Simple Moving Average of Volume ending yesterday. If the result is +25%, it would mean that current Volume is about 14.42% of the average volume instead of 11.54% of the average volume.

So at the end of the day, you could approximate Volume Buzz using a formula like:

100 * (V / AVGV100.1 - 1)

This formula would also have the same or a similar order to Volume Buzz over the course of the day even though the values would not match.

Volume Buzz can be used as a WatchList Column and sort, but cannot be used as an EasyScan Condition.

So if we were to check at the same 10:15 AM ET point as above, at what value would Volume Buzz need to be for:

V > AVGV100.1

The number is actually quite high. Volume Buzz would need to at +766.67% or above for this to be true. Several (as in 3 or 4) hundred percent would not be enough. The earlier in the day you check, the higher this percentage would need to be. For example, if you checked at 9:45 instead of 10:15, Volume Buzz would need to be at +2500%.

Bruce, I am still looking for the best way to incorporate a column or condition into EasyScan that will instantly enable me to know whether the volume of a specific equity, at the time that I run the EasyScan, is greater at that moment than the 50 day or 100 day moving average for volume of that same equity at that same moment. I am an intraday momentum trader and I need to know both percent change since the open (I have already set this up) and volume versus average volume before I can enter into my trades. Any help that you can give me setting this up will be greatly appreciated. David

Volume Buzz is the only option available for this in TC2000. There are no other alternatives. You can use Volume Buzz as a WatchList Column and sort, but not as an EasyScan Condition.

Bruce,

I sent this to you on Support@Worden.com, to be forwarded, because this "Post New Topic" would not take my Snipping Tool graphics.  You may prefer to answer it here. 

As you may remember, I am an intraday momentum trader, and I’m attempting to observe percentage price velocity delta in a faster and more sophisticated manner.

I have established an EasyScan within TC 2000 which enables me to instantly look at the price percent change since the open, from 2 hours until the present time, from one hour until the present time, and from 30 minutes until the present time. Additional percent change intervals could easily be developed as columns in EasyScan in an almost limitless fashion, the principal limitation being the space on the EasyScan screen.There must be an easy way to graphically visualize percent change at various intervals, beginning with the open and progressing to almost current time. It seems to me that percent change could be looked at by dividing the observed interval percent change by the number of minutes in the observed interval. Thus, the percent change during the last 2 hours would look like X divided by 120 minutes, where X equals the observed percent change last 2 hours. As an example, if the percent change word 2.90%, this parameter would look like: 2.90/120=0.0242. Following this logic, if the percent change during the last hour was -0.20, the parameter could be represented by -.20/60=-0.0033. One could then take all of these representations and display them graphically in some area on the TC 2000 layout. That would give me an instant and accurate picture of percent price change throughout the trading day, indicating whether momentum was increasing or dissipating, and at what rate.

Graphically, this might look like the following (numbers used here are random):  (Could not include graphic here in "Post New Topic)". This graph could then be colorized into zones, indicating those zones warranting a buy signal and those zones suggesting a sell signal.  An instant graphic representation of percent change price, evolving throughout the trading day, would be extremely useful to me.

Can this be done?

David

It would be possible to plot Custom PCF Indicators to visualize the percent changes per minute over different time spans on a 1-minute chart. For example, the 120 bar formula for what you expressed in your post would be:

100 * (C / C120 - 1) / 120

But the correct way to actually calculate this would be (the resulting values will be very close):

100 * ((C / C120) ^ (1 / 120) - 1)

You may want to actually convert this to a projected % change over the course of a day to get values which are a bit larger however:

100 * ((C / C120) ^ (390 / 120) - 1)

A similar formula for 60 minutes would involve replacing both instances of 120 with 60 instead (with the same being true for other numbers of minutes).

100 * ((C / C60) ^ (390 / 60) - 1)

There are a couple of things to keep in mind.

First, the calculations are done in bars and will only be accurate on a 1-minute chart. The 390 in the formula results from there being 390 minutes in a trading day.

Second, we can't do something similar for the percent change since the open except on a daily chart where you already know the formula:

100 * (C / O - 1)

But we cannot also plot the intraday formulas required for the other time spans in the same chart, let alone the pane.

Adding and Moving Indicators

Great help, Bruce.  But keep in mind that I am a retired 74 year old physician.  I have always understood biostatistics, but the conversion to financial statistics has not been easy for me.  I may need your further help in getting the formulas that you have provided into a "my indicators" area so that I can add them to my charts.  But knowing that it can be done is wonderful news.  And a running % change graphic from 9:31 AM until the time that I usually establish my intraday portfolio (about 12:30 PM) would be a great tool for me. I will be in touch with you as soon as I determine what I can and can't do myself.  You are a wonderful resource.  David

The video referenced at the bottom of my first response is probably going to be a better resource for learning how to add indicators to the chart and get them into the same scale and pane, but I'll provide some step-by-step instructions here as well.

Start by clicking on Add Indicator at the top of the chart and choosing Custom PCF Indicator from the list. Then click on the Formula which was added to the chart and select Edit. Leave the Period at 1 and the Average Type as Simple, but change the formula to the desired formula from the list above.

When you are done, you would click on the indicator again, select Plot New Indicator here..., choose Custom PCF Indicator from the list and choose to scale it with the existing Custom PCF Indicator when prompted (as opposed to By Itself). You will then edit the formula the same way you did with the first Custom PCF Indicator. Repeat as many times as necessary to add all of the desired time spans to the chart.

Great. I will get started and only get back to you if I hit a wall. David

Hi  Bruce    I am using the following formula to determine wheter I have 4 complete bars after the 5/21 cross.  Am I able to print a horizontal line of the highest high of the last 4 bars.   XAVGC5>XAVGC21 AND XAVGC5.1>XAVGC21.1 AND XAVGC5.2 >XAVGC21.2 AND XAVGC5.3>XAVGC21.3    Thanks

You could plot the highest high of the four most recent bars anytime the formula is true and plot zero otherwise using the following Formula in a Custom PCF Indicator in the same pane and scale as Price History:

MAXH4 * (XAVGC5 > XAVGC21 AND XAVGC5.1 > XAVGC21.1 AND XAVGC5.2 > XAVGC21.2 AND XAVGC5.3 > XAVGC21.3)

But there s no way to plot a horizontal line using this same value across the entire chart.

Bruce, when I follow your instructions (outlined in your response of Oct. 10, 7:55 AM, I get an error message that states "up formula must be a boolean formula".  I looked up the definition of a boolean formula, but I don't know how to alter my formula to make it comply.  The formula that I am using is: 100 * ((C / C60) ^ (390 / 60) - 1).  Please help me. David

It reads like you are adding a Custom PCF % True Indicator instead of adding a Custom PCF Indicator as instructed.

Select Add Indicator at the top of the chart and choose Custom PCF Indicator from the list (not Custom PCF % True Indicator). Then enter the formula in the Formula window (which would be a Boolean Formula window in a Custom PCF % True Indicator.

Adding and Moving Indicators

It worked. Thank you, David

Bruce,

I don't want to drive you crazy, but could you help me understand the formula I am using to generate the percent change indicator I am developing in a pane below the chart.  The formula that you gave me is 100 * ((C / C60) ^ (390 / 60) - 1) to develop the indicator representing % change over the last 60 minutes. In this formula, C equals current % change. But I don't understand what the C/C60 represents and I don't understand the meaning of the ^ symbol in the middle of the formula.  Also, what does the -1 at the end of the formula represent?

Finally, I do not understand why, though I thought that this formula gave me % change deltas over the last hour, when you view the indicator on a pane below the chart, you can trace it back for hours (even days). That is, indicator goes back in time beyond the last hour.  I can't understand why this is so, but maybe when I understand the logic of the formula this will become clear.

Thanks, David

My Wednesday, October 09, 2013 3:23:47 PM ET post does not break the formula down into its individual components, but it does give a basic explanation of what the formula represents including how it evolved from your suggested formula.

C does not equal the percent change. C is the current price.

C / C60 is the ratio of the current price to the close of 60 bars ago.

^ is the exponentiation operator. It means you are raising what comes before it to the power of what comes after it.

The 100 * (x / y - 1) converts the ratio between x and y to the percent difference between x and y. It is a simplification of 100 * (x - y) / y.

Note that your original suggestion was to calculate the percent change over 120 bars:

100 * (C / C120 - 1)

And divide the result by 120 to get the average percent change over 120 bars:

100 * (C / C120 - 1) / 120

This calculation is incorrect. Let's consider a small series of 3 hypothetical bars.

Bar 1 = 1
Bar 2 = 2
Bar 3 = 4

If you take:

100 * (4 / 1 - 1) = 300%

And divide the result by 2, you would think the average percent change was 150% per bar:

100 * (4 / 1 - 1) / 2 = 150%

When the actual average percent change is 100% per bar. This is because the ratio from bar to bar is 2 to 1 and 2 * 2 = 4. So what we need to do to get 100% is:

100 * ((4 / 1) ^ (1 / 2) - 1) = 100%

Raising something to the 1/2 power is the same thing as taking the square root. Since the square root of 4 = 2, we get 100 * (2 - 1) = 100.

Your suggestion:

100 * (C / C120 - 1) / 120

Is the 120 bar version of:

100 * (4 / 1 - 1)

While the formula using the exponentiation operator:

100 * ((C / C120) ^ (1 / 120) - 1)

Is the 120 bar version of:

100 * ((4 / 1) ^ (1 / 2) - 1)

The 60 bar version of this formula would just be:

100 * ((C / C60) ^ (1 / 60) - 1)

These formulas would return the average percent change bar. The problem with this is that the resulting values can be very small. Displaying them as WatchList Columns rounded out to two digits past the decimal wouldn't be particularly useful. Which is why I suggested displaying the percent change projected over the course of a day instead.

To do this, we need to multiply this average percent change per bar by itself once for each bar in the day. On a 1-minute chart, this would mean multiplying the average percent change per bar by itself 390 times. This is raising the average percent change per bar to the power of 390.

Since we are already using the exponentiation function to get average percent change per 1-minute bar, we can just multiply the exponentian function by 390 to convert this into a projected percent change per day. This means the 120 bar version becomes:

100 * ((C / C120) ^ (390 / 120) - 1)

And the 60 bar version becomes:

100 * ((C / C60) ^ (390 / 60) - 1)

If you plot these indicators on a 1-minute chart, the calculation is done at each and every 1-minute bar. So the values plotted would be the projected percent change for a day if the average percent change was the same as over the last 120 or 60 bars ending on the bar where the value is plotted.

Thank you for taking the time to explain this.  I do now understand the formula and the results it produces.  I am sorry that my background (lack of background) forced me to ask you to go through this explanation. David

Bruce, with your terrific help I have been able to create a running percent change indicator on a one minute chart, and it seems to me that the logical the next extension of this process should be to expand the graphic (curve) beyond the "present time"; (extending the curve to the right) so that one could project (predict) the mathematical probability that the curve would continue on its current trajectory. If I create a graph of percent change over the last 30 minutes between 1 PM and 1:30 PM, why couldn't I continue that curve to the right based upon the probability of the curve maintaining its current trajectory, with varying levels of confidence?   If I then combined this indicator with an on balance volume indicator, I would have almost everything I needed to make an entry decision at 1:30 PM based upon the projected movement of the curve into the future. Is this theoretically doable? How big a job would it be?

Also, how can I set up EasyScan columns for boolean true/not true assessment of whether the running percent change indicator at various intervals (let's say 4 hours, 3 hours, 2 hours, 1 hour, and 30 minutes) is increasing since the previous interval (checkmark for increasing, no checkmark for flat or decreasing)?

David

You might be able to crete the desired extension in StockFinder, but it would probably be a bit slow. At one point, a layout was developed for StockFinder for example which would determine what percentage of the time price had crossed through its moving average between the curernt bar and the next bar in the past when it was as close to the moving average as a percentage as it is currently. It could be rather slow.

I cannot think of a way to do this sort of thing at all in TC2000 however. The Personal Criteria Formula Language does not have variables or looping structures for example.

It is possible to just click on the running percent change indicator in TC2000 and select Create Scan Condition to create a condition for that running percent change indicator to be increasing.

Create Conditions from Your Chart

If you are checking for 1 bar to the next with no specific threshold for the amount of the increase, you could use Moving Up Net set to Period of 1 and a Net Change of 0.

Your advice: "It is possible to just click on the running percent change indicator in TC2000 and select Create Scan Condition to create a condition for that running percent change indicator to be increasing is not clear to me as increasing does not seem to be one of my options in Create Scan Condition. David

Specific settings for the condition are given in the next paragraph where I suggest choosing Moving Up Net.

Thanks, I had missed your last paragraph. D

Bruce, now that you have helped me set up my TC 2000 EasyScan, I want to be absolutely certain that I understand my column results as you intended. I have columns for price percent change at 4 hours, 2 hours, 1 hour, 30 minutes, and 15 minutes. The formula for my 15 minute column is 100*((C/C15)^(390/15)-1), my chart is set up using 1 minute bars, and I moved my formula into an EasyScan column using “show values in WatchList”. So, when I check this column, I am assuming that I am looking at the price percent change over the preceding 15 minutes. Is this correct and is there anything else of which I should be aware? David

No, you are viewing the price percent change over the most recent 15 minutes as projected over the course of the day so it can be compared directly to the other time frames. The direct comparison appeared to be a very important component of your Wednesday, October 09, 2013 1:29:50 PM ET post making the original request.

If you just want the price percent change over the most recent 15 minutes, the formula would be much simpler:

100 * (C / C15 - 1)

Bruce, I really need your help. I cannot understand your response to my last question.  Please look at my post below and then view your response.  What is the difference between viewing the price percent change over the most recent 15 minutes as projected over the course of the day so it can be compared directly to the other time frames and looking at the price percent change over the preceding 15 minutes?  You will have to assume that I have the statistical background of a 6 year old in kindergarten when you explain it.  I can look at the two formulas and see the difference, but I can’t understand your verbal distinctions.  Really dumb it down for me, if you would. David

The concept cannot be explained to the average 6 year old in kindergarten, so I'm going to hope your statement of what I would need to assume is an exaggeration.

The percent change over 15 minutes is just that. It takes the difference between the current price and the price of 15 bars ago and divides it by the price of 15 bars ago before multiplying it by 100.

So in the case of going from 10 to 11 over fifteen 1-minute bars, we would get a 10% increase (I know this is a very big percent change, but it was chosen to be simple and demonstrate a point).

100 * (C - C15) / C15 = 10

100 * (C / C15 - 1) = 10

Projecting this over the course of the day answers the question, "What would the percent change be over the course of a day if the percent change was the same over every fifteen minutes during the day as it was during the fifteen minutes for which we calculated the percent change?"

If you understand that and don't need to understand the math, then stop now and don't go any further.

If you divide a trading day into 15 minute increments, you would get 26 (390 / 15 = 26). So the naive assumption might be that the percent change over the course of the day would be 260% if the percent change over each 15 minute interval was 10%. This is wrong however.

What you in fact need to do is multiply the starting value of each 15 minute interval by 1.1 to get the ending value of that 15 minute interval. The end value of that 15 minute interval is then used as the starting point of the next 15 minute interval.

1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 * 1.1 = 11.9181765377

Meaning that price would be almost 12 times the price at the beginning of the day if price increased by 10% every 15 minutes.

Now there as a shorter way to write this:

1.1 ^ 26 = 11.9181765377

Which is the same as:

1.1 ^ (390 / 15) = 11.9181765377

We use ^ (390 / 15) instead of ^ 26 to make it easier to modify the formula for different ranges of minutes.

Converting this to a percent change involves subtracting 1 and then multiplying the result by 100.

100 * (11.9181765377 - 1) = 1091.81765377%

So if the price increased 10% every 15 minutes over the course of the day, there would be a 1091.81765377% change instead of a 260% change.

Now I understand both the logic and the math. Thank you for going to this length to help me understand.  It now makes everything in my EasyScan so much more user friendly. I really appreciate your effort in my behalf. David

Bruce,

One last look back at your post of Wednesday, October 30, 2013 at 11:39 AM. You began the fourth paragraph with a formula, 100 * (C - C15) / C15 = 10.   I understand that formula and the math works. Then you immediately present a second formula, 100 * (C / C15 - 1) = 10. I do not understand what this formula represents and I do not think that the math works (using your analogy, the formula would involve 100*(11/10 - 1)=10, this math does not work. What does this second formula mean, and where have I gone wrong? David

100 * (11/10 - 1) = 10 does work based on the order of operations....

100 * (1.1 - 1) = 10 

You are right, sorry.

Bruce, first I want to thank you for your ongoing help in developing a usable EasyScan for (with) me. Your responses have been helpful and prompt, and you have made my transition to TC 2000 enjoyable.

Currently, I want you to be certain that the following formulas are valid, as I transition from paper trading to trading with my own cash.

I have set my conditions in my trading EasyScan, and have no difficulty with those.

Regarding the columns in EasyScan, I begin with a column for percent change since the open, and I use the following formula for that column:

(C-O)/O*100

Then, I use the Yes/No formulas that you suggested to ascertain that the price of the stock has continued to rise over the last hour, thirty minutes, and fifteen minutes:

C>C60, C>C30, C>C15 (1 Min charts)

Finally, I have written a composite formula to make certain that a top sort of the % change since the open has continued to rise in price over the last 60, 30, and 15 minutes, as follows:

C>C60 and C>C30 and C>C15

Finally, I use Vol Buzz column to make certain that the above momentum thrust is associated with greater than average volume.

Does this all appear correct to you?

Thanks, David

It does all appear correct to me and seems like an efficient process with good workflow.

Bruce, I am finally getting reasonably competent in writing PCF formulas. I would like to be able to perform retrospective EasyScans, so that I can set up backtesting. Is there a instructional video, written description, or webinar that provides basic PCF construction advice regarding writing retrospective formulas, so that I can begin to think about how to set up my retrospective conditions and indicators for this backtesting effort? If I had beginning instructions, I think that I could (with your help) take it from there. David

Neither version of TC2000 has any built in backtesting features. In StockFinder, backtesting is provided using BackScanner.

It is possible to visually backtest the technical (but not fundamental) portions of an EasyScan using TC2000 however as long as the EasyScan Conditions can be created using the Personal Criteria Formula Language. You could just use the current version of the formula as a Custom PCF % True Indicator (called a Custom Percent True Indicator in v7) and scroll back to the appropriate date to see if there was a spike using Pointer Mode (select the period key (.) on your keyboard to bring up Pointer Mode, selecting it again twice will disable Pointer Mode):

It is also possible to write Personal Criteria Formulas based on past dates (again, this is only for technicals). You may wist to review the following section of the Online Help Files:

Days Ago parameter

There are two distinct ways to use historical data with Personal Criteria Formulas.

Any criteria can be used to scan X number of days back by adding '.XX' where XX is equal to the number of market days past to calculate for. An example of this is (AVGC21.21), which is a 21 day moving average 21 of close, 21 days ago. This use of historical data always refers to the market day XX number of days ago (in this case, 21). If you wish to use a specific date’s data, use the option detailed below.

The other method of using historical data is by specifying a precise date in history to use. For example, (AVGC21.'11/13/08') will provide a 21 day moving average of close for November 13, 2008 (the period should be used in cases where the first method requires a period and not used when the first method does not use a period). Always confirm that the date you wish to use using this parameter was a market day.

Note that only 500 bars of data are available in any given time frame in TC2000 version 12.4. This can dramatically limit how far back you can backtest.

Bruce,

Help me create a % rate of change indicator that measures the percent rate of change of TSV. When I attempt to create this indicator myself, the Data Source is "grayed out" and I am unable to change the data source from price to TSV. I emailed Worden.com for help and they created the indicator for me, but I cannot seem to do it myself. Thanks, David

Creating a Rate of Change Percent of a Time Segmented Volume is not advisable. The reason for this is that TSV can cross through zero and percent changes for indicators which can cross through or be equal to zero do not make any sense. Think about it for a bit. What is the percent change when TSV goes from 0 to 50? Would the number you came up with be the same or different than if TSV went from 25 to 50, -25 to 50 or from 0 to 100?

Now onto the rest of the question. You mentioned the Change Data Source option is grayed out. If you click on the Rate of Change % indicator in TC2000 version 12.4 and select Change Data Source, there should be one grayed out item listed and that should be the Rate of Change % indicator itself.

The reason the Rate of Change % indicator would be grayed out when select Change Data Source after clicking on the Rate of Change % indicator is that the Rate of Change % indicator cannot be the data source for itself. The data source for an indicator must be another indicator (even if that other indicator is just price itself).

So when you click on the Rate of Change % indicator and select Change Data Source, you will need to select another indicator besides the Rate of Change % indicator which is already plotted on your chart. In the case of calculating the ROC% of TSV, you will choose the charted TSV indicator for which you wish to calculate a Rate of Change % (not that I would suggest doing so for the reasons given above).

I now understand.  Especially important is why doing it makes no sense whatsoever.  Thanks, David

Bruce, How can I send you a brief question by email?  I would copy and paste it here, but it contains a graphic and I can not get it accepted into this space.  David