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Questions about TRO Travel
Posted: Mon May 21, 2007 5:06 pm
by grok
Hello TRO and others,
I'm relatively new to this board and I'm not entirely sure of the etiquette. I'm interested in the TRO Travel thread and I wonder if starting a new thread to ask questions and discuss is the right thing to do instead of asking the questions on the TRO Travel thread itself. I can remove this thread and use the TRO Travel thread if that is proper.
Anyway, I have these questions:
TRO Travel 'xTravel = absvalue( close - open ) + ( 2 * xWick ) + ( 2 * xTail ) ;' is based purely on individual bars and does not take into account the gaps between bars in the way that TrueRange does. Are the gaps unimportant?
The TT/Open% measures the daily total of the travel of each bar divided by the daily open. Other travel metrics are un-normalized. Shouldn't bar level travel metrics be normalized to the open of the bar? Otherwise how can you compare travel on a $100 stock to that of a $10 stock? Or is there no point in those comparisons because travel is purely implied?
Posted: Mon May 21, 2007 8:08 pm
by TheRumpledOne
TRAVEL starts from the open price and does not use gap between bars.
Are the gaps unimportant? That depends on who you ask. The comparisons would not be affected.
By dividing by the open price the TT/Open% IS "NORMALIZED". If a $100.00 stock travels $10.00 and a $10.00 stock travels $1, you get the same answer. In this case, you can buy 10 times as many $10 shares.
1 share times $10.00 = $10.00 p/l.
10 shares times $1.00 = $10.00 p/l.
Which to trade is up to the trader. But now you know what the TRAVEL is.
The way I see it is, you trade the stocks that have the DAILY RANGE you want and then see which of those TRAVELS the most.
Posted: Mon May 21, 2007 11:29 pm
by grok
Thanks for replying.
Yes, TT/Open% is normalized. But the others are not, eg Travel, AvgTravel, Travel Up, Travel Dn, etc. I just wondered why you didn't normalize all of them. If you "... then see which of those TRAVELS the most," won't goog come out on top every time? (Due to its high price.)
Posted: Tue May 22, 2007 1:28 am
by TheRumpledOne
Some of the gauges (columns) are for comparison others are just raw data.
This is a work in progress. If I get a new idea, I add it. If it works, I keep it. If it doesn't, it gets trashed.
Feel free to copy and change whatever you like and post it here. Just give it a different name than the original.
Yes, GOOG travels the most because of its price. However, there are other stocks that give you a higher percentage return.
Since I scalp, I don't care about percent return but a swing trader might.
Posted: Tue May 22, 2007 2:00 pm
by TheRumpledOne
grok:
grok
1934 Posts
Posted - 05/22/2007 01:20:24
I found TRO posting about travel here. He posts his indicators. He defines travel as:
xWick = high - Top ;
xTail = Bottom - low ;
xTravel = absvalue( close - open ) + ( 2 * xWick ) + ( 2 * xTail ) ;
You can think of it this way: travel = body plus twice the wick plus tail. For a bar with C>O travel:
starts at the open
goes down to the low (tail)
back up to the open
from open up to the close (body)
from close up to the high (wick)
from high back down to the close
2+3 give you twice the tail and 5+6 give you twice the wick.
I asked TRO what about gaps? He didn't seem to think they mattered. I also asked about normalizing travel on a per bar basis and he has one normalized travel metric (TT/Open%) but others that aren't normalized.
I still wonder if gaps shouldn't be included and don't understand the rational for excluding them. They are part of volatility aren't they?
This issue is somewhat interesting and maybe something can come of it. But if it is to go anywhere I think we've got to get it on a more scientific basis and establish some standards and make some measurements.
Please feel free to copy/paste my entire comment. That way you don't (accidently) quote me out of context.
I wrote TRO TRAVEL for intraday use - that's why I am not including the gap.
Posted: Tue May 22, 2007 6:53 pm
by grok
Sorry, you are right, I should have included your entire quote. I'll fix it on TS.
Posted: Tue May 22, 2007 8:37 pm
by TheRumpledOne
TRO TRAVEL now includes GAP
I added an input iIncludeGap that, if = TRUE, will include the GAP in the Total Travel number.
Does this make everyone happy?
===========================================
input:
iIncludeGap(false),
If d <> d[1]
then begin
xTotalTravel = 0 ;
xTotalTravelUp = 0 ;
xTotalTravelDn = 0 ;
xBeginPrice = open ;
If iIncludeGap
then begin
if opend(0) > closed(1)
then xTotalTravel = opend(0) - closed(1) ;
if opend(0) < closed(0)
then xTotalTravel = closed(1) - opend(0) ;
end; // If iIncludeGap
end ; // If d <> d[1]
============================================
ELD attached.
P.S. Grok, feel free to post this on the TS forum! Also, they should PUT UP CODE or SHUT UP!