William Blau Candlestick Momentum Indicators

[gaheitman]

DragosDanescu asked if I could convert some of the indicators posted at MQL5.com relating to the work by William Blau in Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis. Specifically the Candlestick Momentum Indicators.

I would encourage you to take a look at the MQL5 site (http://www.mql5.com/en/articles/190) to see the reasoning behind the indicators. Hopefully I've replicated them faithfully. I did not convert them, I wrote them based on the specifications in the article.

The gratuitous picture:

pic_08 2012-01-09 14.48.gif

I'll post the indicators separately so that any updates will just require single downloads.

George

[garyfritz]

While you're implementing Blau indicators, you might want to include Blau's TSI (True Strength Index). You can find a description here.

It's very simple: if mtm = close[this bar] - close[previous bar], then TSI(r,s) = 100 * EMA(EMA(mtm,r),s) / EMA(EMA(ABS(mtm),r),s).

[DragosDanescu]

While you're implementing Blau indicators, you might want to include Blau's TSI (True Strength Index). You can find a description here.

It's very simple: if mtm = close[this bar] - close[previous bar], then TSI(r,s) = 100 * EMA(EMA(mtm,r),s) / EMA(EMA(ABS(mtm),r),s).

...meaning something like this, probably.Just look inside code, Gary.
Cheers, George!

[gaheitman]

While you're implementing Blau indicators, you might want to include Blau's TSI (True Strength Index). You can find a description here.

It's very simple: if mtm = close[this bar] - close[previous bar], then TSI(r,s) = 100 * EMA(EMA(mtm,r),s) / EMA(EMA(ABS(mtm),r),s).

...meaning something like this, probably.Just look inside code, Gary.
Cheers, George!

There were a handful of his indicators in the wild, but I couldn't find the Candlestick Momentum ones. None of them are terribly complex, though I am still looking at the other ones on the list.

Now that the programming exercise is complete (mostly) who's got the trading methodology that uses them?

George

[DragosDanescu]

While you're implementing Blau indicators, you might want to include Blau's TSI (True Strength Index). You can find a description here.

It's very simple: if mtm = close[this bar] - close[previous bar], then TSI(r,s) = 100 * EMA(EMA(mtm,r),s) / EMA(EMA(ABS(mtm),r),s).

...meaning something like this, probably.Just look inside code, Gary.
Cheers, George!

There were a handful of his indicators in the wild, but I couldn't find the Candlestick Momentum ones. None of them are terribly complex, though I am still looking at the other ones on the list.

Now that the programming exercise is complete (mostly) who's got the trading methodology that uses them?

George

Well, George, I have not a trading methodology for them, what I wanna do, is trading breakout of the zero line, both sides of it. Meaning trap around the "breakout candle" corresponding to the indicator crossing 0 value.
This one "BH Ergodic" (I found it last night and seems pretty similar) , looks really interesting on the chart, with 1, 20, 5, 3, 0, 0 values. Seems it really loves the +10 -10 area to bounce of it....

[gaheitman]

Well, George, I have not a trading methodology for them, what I wanna do, is trading breakout of the zero line, both sides of it. Meaning trap around the "breakout candle" corresponding to the indicator crossing 0 value.
This one "BH Ergodic" (I found it last night and seems pretty similar) , looks really interesting on the chart, with 1, 20, 5, 3, 0, 0 values. Seems it really loves the +10 -10 area to bounce of it....

Well, as long as you pretend to use one of the ones I coded, I'll be fine.

George

[DragosDanescu]

Well, George, I have not a trading methodology for them, what I wanna do, is trading breakout of the zero line, both sides of it. Meaning trap around the "breakout candle" corresponding to the indicator crossing 0 value.
This one "BH Ergodic" (I found it last night and seems pretty similar) , looks really interesting on the chart, with 1, 20, 5, 3, 0, 0 values. Seems it really loves the +10 -10 area to bounce of it....

Well, as long as you pretend to use one of the ones I coded, I'll be fine.

George

Of course I will! Hahahaha...thanks, you're a star! I will add it to an EA tommorow, I'm unable to do it tonight, as my eyes are closing already...cheers.

[peterke]

Hi, nice to see Blau indicators getting some coverage here. I stumbled across Blau's TSI a few months ago and are becoming increasingly impressed with how simple and effective it is for manual trading. I'm surprised it hasn't been in more common usage.

For a good overview its worth checking out this book.

"Momentum, Direction, and Divergence"

It was written some years ago but is well worth tracking down a copy. I found a pdf version through google.


Also a good site here for some good examples of using the TSI for trading.

http://thetsitrader.blogspot.com

Mladen at forex-tsd has recently provided some updated Blau indicators in the free section which are worth checking out.

There is also a more sophisticated version ( zones, smoothed, jurik etc) version in the paid for section that I would like to check out if anyone has access

I have attached some trade entry strategies that can be considered. This is a cut and paste from the tsi trader site. What I have found useful are TSI trend line breaks and reversals from OB-OS zones ( i use 70, -70 with a 7,4 setting) .

rgds

Peter

[MichaelM]

Hi George,
Thanks for starting this thread! It's a valuable addition to this forum

Hey peterke,
Thanks for sharing that document, it's got my mind ticking overtime!

MichaelM

[MichaelM]

Here's the TSI indicator and it respects the following formula:

True Strength Index Indicator - Short Explanation

Calculations

The TSI is a "double smoothed" indicator; meaning that a moving average applied to the data (daily momentum in this case) is smoothed again by a second moving average. The calculation for TSI uses exponential moving averages. The formula for the TSI is:



where
c0 = today's closing price
m = c0 − c1 = momentum (difference between today's and yesterday's close)
EMA(m,n) = exponential moving average of m over n periods, that is,



r = EMA smoothing period for momentum, typically 25
s = EMA smoothing period for smoothed momentum, typically 13