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Attempt for new indicator
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Author:  Gamma_gallus [ Wed Feb 01, 2012 7:47 pm ]
Post subject:  Attempt for new indicator
Hi everyone,

Below is a kind of mix of Rate Of Change and ATR indicators .. I ended up with below formula when i was searching for a way to measure quick changes to the prices, that would go away from the its mean, average, hence that could help determining if the market is more or less ranging or trending.

I have no clue if below logic has a chance to work or if it will dramatically fail .. I'm not a scientist nor a statistical man :)

Any comments are welcome, we can brainstorm together to fine tune it, if you think that's something that can work and help us on a daily basis !


The formula is for the time being (inspired from ROC) : ((PRICE (i) - Average(PRICE previous : n)) / Average(PRICE previous : n))*100
Then also get the pips equivalent : result above * PRICE * 100

Where : PRICE = Open (current bar), or Low (current low of current bar), or High (current high of current bar)

Please have a look to the excel file, where I have simulated the formula on live data.

The idea would be that under a certain percentage or pip value (change) we don't trade because the market seems to be ranging.

In terms of display either as an oscillator (% or pips) or a kind of dashboard displaying both the data !?

N.B.: Of course it has some lag (one candle) or can display fake alerts ..


I hope that all above makes sense :D :D

Thx
Olivier
Author:  gaheitman [ Thu Feb 02, 2012 12:08 pm ]
Post subject:  Re: Attempt for new indicator
Gamma_gallus wrote:The formula is for the time being (inspired from ROC) : ((PRICE (i) - Average(PRICE previous : n)) / Average(PRICE previous : n))*100
Then also get the pips equivalent : result above * PRICE * 100

Where : PRICE = Open (current bar), or Low (current low of current bar), or High (current high of current bar)
Here you go. I like the easy ones....

BTW, I used SMA for the average, since that matches your spreadsheet.

George

EDIT: Deleted indicator.
Author:  Gamma_gallus [ Thu Feb 02, 2012 12:19 pm ]
Post subject:  Re: Attempt for new indicator
Wonderful George !

Thank you very much, I'm testing it !!

Olivier
Author:  Gamma_gallus [ Thu Feb 02, 2012 1:08 pm ]
Post subject:  Re: Attempt for new indicator
Hi George,

Is there something I'm doing wrong when I set up the indi on the chart ? (i.e when selecting the price)

I've put 3 times the indi : for Open, High and Low prices, for Open it perfectly matches the data from excel, but somehow for High and Low prices not always :?
new indi test.PNG
Thx
Olivier
Author:  Gamma_gallus [ Thu Feb 02, 2012 1:25 pm ]
Post subject:  Re: Attempt for new indicator
George,

I think I've found the difference :

For High and Low : the indi keeps the current Open Price and makes the formula with the Average (14 periods) with High or Low prices (from the user input)

Do you think it's feasible to adapt the current price, i.e.: if we select High price in the user input, then we take the current high and compare it with the average of last 14 High periods ? (similarly for Low)

Thanks
Olivier
Author:  gaheitman [ Thu Feb 02, 2012 2:07 pm ]
Post subject:  Re: Attempt for new indicator
Yep, I forgot the stupid break statements in my switch statement, so it was always dropping out to do the default. Try the attached.

George
Author:  Gamma_gallus [ Thu Feb 02, 2012 2:40 pm ]
Post subject:  Re: Attempt for new indicator
That's perfect now, it works like a charm !

Thank you very much !

Olivier
Author:  Jagg [ Thu May 31, 2012 9:57 am ]
Post subject:  Re: Attempt for new indicator
@Gamma_gallus

Can I ask you how you use that indicator? When line is in +0.15 <-> -0.15 value the market is ranging you don't trade? You only trade when the line is above or below (+/-)0.15?

Months ago so how usefull was this indicator for you past months ;) ?

Thanks
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