TRO PMSM TREND

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peter_77_peter
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Postby peter_77_peter » Tue Mar 13, 2007 12:29 am

Russ (and everybody else interested):

I calculate the slope on a percentage basis therefore it gets independent on price levels.

Everybody will have his/hers own feeling for what will be a steep / strong increase / decrease in comparison of a weak / normal increase / decrease, but for me it is helpful to discretisize not only between up / down but also in weak / strong. Using bright / dark colors reads visually intuitive for me.

Besides the up / down / trend information I just need to know about trend dynamics, the efficiency of all signals heading north / green and some trigger, is dependent on the trend dynamics / trend strength / range strength. a lot of Trend Systems incorporate that. i.e. dmi/adx or chandes ravi. Everybody should use the trend indicators that work the best for his / her approach. chandes ravi fits easy to the four xmas, because its based on evaluation of the difference of two xmas that differ in length by the factor of 10. I like its signals, and it fits very vell to the TRO_PMSM_Trend basis. Code / Formula for Chandes Ravi can be found everywhere in the net.

So like you, I just loved the PMSM Interface, played with it, added some indicators, adding brightness/darkness of colors green/red for signaling strength, adding the color blue for range. I just got a setup for a Trend Filter. I like "having a portfolio of signals", discretisize and visualize it as stated above. Then I just look at the dots, and measure the validity of the signals in terms of "agreements / disagreements of the dots". Besides that it is very visual and "self teaching" it is very easy to tell a computer. We just use it as a trend filter separating (and directing) trend following strategies from strategies that work better in times when trend dynamics is down.

As said before, I´m just in the middle of developping, I don´t want to post screens before I´m done and tested. Because I´m working for a company, I cannot promise to post everything we do, or better, probably I can say that I just can talk about it and post something. Maybe even the simple tro PMSM Trend with strength and range / ravi incorporate. Simply because in the end sharing helps everybody and the PMSM inteface inspired one facette of my work very much.

I´m open and interested in all kinds of discussion / collaboration / ideas / sharing on how to make the best out of this setup. Besides that I´m all interested on portfolio analyzing tools for tradestation. And for indicators / oszillators / strategie approaches that are profitable when trend following indicators / strategies don´t work because of low trend dynamics.

best regards from spain,
peter

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Postby TheRumpledOne » Tue Mar 13, 2007 12:46 am

If you want to have some fun, just post the screenshots of my studies on eSignal's forum... THEY'LL GO BALLISTIC!

They will delete your post, email and/or call you giving you the standard "we tried to work it out with this user but he wouldn't cooperate".

Tell them COOPERATION IS A TWO-WAY STREET!

If enough people post screenshots of my indicators on eSignal then more traders will be exposed to FREE code that WORKS rather than have to pay for junk.

Show eSignal who's boss!!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

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Postby Patch » Tue Mar 13, 2007 1:02 am

TRO
You are so right, though I didn't buy ESignal junk, I did buy a ton of TS junk, not only worthless, but caused costly losses until I woke up.
Patch the Pirate
Jeff in VA
ENOUGH being a Yalie for me Back to the Sea. "What i can lose, i can win" "YES YOU CAN" - dragon33 -"Pick one method and one pair and stick with them until you master it. "The choice is yours - success or failure." TRO

peter_77_peter
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Postby peter_77_peter » Tue Mar 13, 2007 1:08 am

jeff: within the ton of TS junk you´ve bought: was there any portfolio analyzer junk you´ve made some good/bad (both interesting) experience with? Or some optimizer that is not only a simple brute force approach?

philip

p.s.: I really live in a former pirate island in spain, no joke only some hundred meters to the harbor.....and, some streets left / right, there is the building of the biggest pirate that has collaborated with the government to make the island safer with respect to invasion.....

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First things first.

Postby Patch » Tue Mar 13, 2007 1:56 am

peter_77_peter

First things first. In keeping with the pirate theme, I personally think if my name and handle was peter_77_peter, and given how much fun it is to be a pirate, please consider changing your handle to Captain Hook, or better yet Peter_Pan. What do you think?

Peter I never had enough of a portfolio that I was in need of an portfolio analyzer. I did buy a lot of indicators and "systems" that offered a wide range of interpretations. This is a problem I hope to have in the next two to three years, the sooner the better, the kind of problem I would love to have. I believe TRO has done substantial work in this area.

Concerning optimization, if this is a-la TS, the only way to assess results is to analyze tick data which I don't believe TS uses in their back testing and optimization functions. In this regard let me suggest that you take a very close look at the NeoTicker charting and trading platform, this is for serious tragers.

Patch the Pirate
Jeff in VA

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Postby peter_77_peter » Tue Mar 13, 2007 2:51 am

Patch:
I´ve just sneaked into my profile: There´s no chance in changing a handle / user name. Of course I could get another eMailadress, but besides that this is really a "late-night-hack-handle" and nothing cool, I will maybe considering creating a new profile for peter pan somewhen. What is really missing in "country / flag" is "pirate country" "pirate flag".

With respect to portfolio analyzing I just want to spread the risk of the strategies I use (develop) on several stocks, lets say ten, and want all analyzing, testing and money management on portfolio basis.

Your Information about TS not using tick data or using a kind of simulated tick data is very interesting. I will follow on that hint, having a closer look at tradestation first, doing some research and testing. But as the "fastest" timebase I use is 60 minutes, and the duration of my trades is mostly expressed in days, I hope that this will not affect me that much as it would, if I would be doing scalping on intraday basis. Maybe later this year I have to pack all my developments, myself, the rest of the company and some NT licences in some lonely place and we all have to transfer our code....a good way to proofread everything.....But by then, you all pirates in this forum have made a lot of experiences with NT. By now I have not felt beeing limited by tradestation very much.

thanks for your informations,
best regards to VA,
peter (pan)

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Postby RuGO » Sun Mar 18, 2007 10:33 pm

Peter,

I've incorporated the Slope routine into the SM and it has made a significant impact, however I came accross the concept of Relative Slope, which seems to address the issue of relative strength of the trend (the Relative Slope was authored by Dimitris Tsokakis and it takes an exponential moving average of typical price, commonly a 20 period EMA but the period is customizable. It then takes the resulting values, and for each value, the previous value is subtracted and the result is divided by the sum of the two values. These results are then further smoothod with a 3 period EMA). I will try to play with this notion and see how far I can get... hope this info will be of use!

Russ

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Postby peter_77_peter » Sun Mar 18, 2007 11:21 pm

Hi Russ,

seems interesting on getting an edge on the quality of trend movement. I´ve tried to google the relative slope and did not find very good articles, the only one I´ve found was: formular and picture at:

http://www.linnsoft.com/tour/techind/rels.htm

Do you have any better links to get more of the idea and use?

Besides that I would recommend playing with chandes ravi, if you are using emas in pmsm for getting information about trend dynamics / trend / range.

The formula can be found:
https://www.tradestation.com/Discussion ... c_ID=14516

The articles from which I´ve got my Information about the Ravi are in german, so, probably not of use for you. I´ve tried to google something for you, but failed within 5 minutes time. But I´m sure you will find any better than this one:

http://www.cmsfx.com/en/trading-softwar ... tors/ravi/

Chande came up with Ravi trying to improve on DMI/ADX. The Idea is very simple:

Take the EMA of some length x. Compare it with the EMA of some length x*10 (or x/10). Do that on a percentual basis. Chandes preset is using a 7 EMA as fast and an 65 EMA as slow. With this setup on daily basis he states that: Ravi above 3% is a trending stock, Ravi below 3% is range. this does work quite well as filtering out SM-Directional Signals in times of no significant trend. If you play with it, you see more, i.e. ravi getting strength --> Trend getting strength. It is somehow slow on catching change of trend, signaling it at first as a weaking in trend dynamics, turning a little late to confirm the new trend, but its faster than ADX and quite reliable and fast on identifying ranges, if its well adjusted.

It can be adapted to any EMA length if you just compare each length you are using by some EMA with a length / 10 (probably *10 would be to slow).

The thresholds will vary depending on the timebase you are using, when you go from daily i.e. to hourly Ravi just flatens and the threshold should be adjusted to a suitable smaller value.

Besides that I´m playing with adaptive EMAs, because I hate that the EMAs are all tricked whenever a gap occurs. Theres an interesting thread on this at:

https://www.tradestation.com/Discussion ... c_ID=40589

I´d be glad to hear whether you´re tries on relative slope get fruitable.

If you (or anybody else reading) has made some edge on some kind of adaptive or anyhow other "better MA", that´ll be of interest as well.

regards from spain,
peter

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Postby meagain » Sun Apr 22, 2007 12:44 pm

Hi TRO,

I've finally found you again after migrating from the Tradestation forum.

I am experimenting with your TRO_PMSM_TREND and am trying to use MACD instead of XAverage. However, my programming skills seem to leave much to be desired.

If you have a moment, I would appreciate some hints or even the full ELD.

Many thanks

Marco

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Postby TheRumpledOne » Sun Apr 22, 2007 4:42 pm

meagain, you would have to use the MACD function that returns a single value.

The input line would be of the form MACD(P,X,Y):



I used some of the popular MACD inputs in the example.

See, fellow pirates, you don't have to learn to program EasyLanguage if you use the TRO indicators.

Just look at the FUNCTIONS provided, learn the inputs to those functions and use those functions in the TRO indicators. Then instead of going through the frustration of (not so) EasyLanguage, you'll have more time to learn trading.

Also, you can use the TRO_PMSM_SAK or the TRO_EVALUATOR. And use TRO_PLOT to plot the functions.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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