StockFetcher Forums · Filter Exchange · Mark Cook's cumulative tick indicator<< 1 2 >>Post Follow-up
binhp
69 posts
msg #64464
Ignore binhp
6/29/2008 2:12:44 PM


Hello everyone,

Has anyone tried to simulate Mark Cook's cumulative tick indicator in SF ? What is the algorithm anyway ?

Thanks,

BP

ludowillems
93 posts
msg #64913
Ignore ludowillems
7/12/2008 2:36:45 PM

did some Googling on this guy, didn't come up with usefull info..... except his website where you can subscribe;;;(allways wondered why these people that made tens of millions still want to go through aal the pain of maintaining a service??)

rtucker
318 posts
msg #64918
Ignore rtucker
modified
7/12/2008 4:54:42 PM

d

rtucker
318 posts
msg #64933
Ignore rtucker
modified
7/12/2008 11:12:01 PM

d

WALLSTREETGENIUS
983 posts
msg #64940
Ignore WALLSTREETGENIUS
modified
7/13/2008 11:42:45 AM

Tuck -

So glad you brought up Jack. One of my favorite indicators in the world of T/A, is Jack's "Volatility Ratio." It's a great indicator that calculates a days wide range between Highs & Lows. It gives you a great heads up on reversals. Spikes between 1.5 to 2 99% of the time results in reversals. Any trader owes it to himself or herself, to at least run 20-30 tickers into this indicator. If one did...you'd never trade longs or shorts without it.

Here's the code for Jack Schwagar's Volatility Ratio. Maybe when "chetron" get's around to it, he'll put this together for some of you. I think he's about the only one around that can code something like this. Chet, if you can, the parametors are 0.5, 1, 1.5, and 2. And if you look over at incrediblecharts.com, you'll see that it's set up like a volume histogram. Here's the code...

******************************************************************************

Volatility Ratio:
___________

The volatility ratio by Jack Schwager expresses the latest day's trading range as a ratio of the overall range for a past N days. “True range” is used for both (see True Range), so gaps are included in the calculation.

For an N-day true range the close immediately preceding those N days is incorporated. Thus

TR Ndays = max(high[1], high[2], ... high[N], close[N+1])
- min(low[1], low[2], ... low[N], close[N+1])

The volatility ratio is then simply

TR
VOLR = --------
TR Ndays


OR.............



TrueRange(pos)

Volatility Ratio(pos) = ------------------------------------------

TrueHigh(pos,length)-TrueLow(pos,length)



where:

pos is the current position

TrueRange(pos) = Max [High(pos)-Low(pos),High(pos)-Close(pos-1),Low(pos)-Close(pos-1)]

TrueHigh(pos,length) = Max [highest high in interval,Close(pos-length)]

TrueLow(pos,length) = Min [lowest low in interval,Close(pos-length)]






RIGGS

cunparis
71 posts
msg #64951
Ignore cunparis
7/13/2008 4:56:06 PM

I took a stab at making a filter for it, but the results are not conclusive so I'm wondering if I made a mistake in the filter. Anyone care to comment?

close is above 2
average volume(10) is above 500000

set{true_range, average true range(1)}
set{ema_true_range, CEMA(average true range(1), 14)}
set{volatility_ratio, true_range / ema_true_range}
set{volatility_ratio_count, count(volatility_ratio is above 2.0, 100)}
volatility_ratio_count is above 5
add column volatility_ratio
add column volatility_ratio_count
draw volatility_ratio
sort by column 5 descending



chetron
2,817 posts
msg #64955
Ignore chetron
7/13/2008 8:19:52 PM

clickable....


Fetcher[

close is above 2
average volume(10) is above 500000

set{true_range, average true range(1)}
set{ema_true_range, CEMA(average true range(1), 14)}
set{volatility_ratio, true_range / ema_true_range}
set{volatility_ratio_count, count(volatility_ratio is above 2.0, 100)}
volatility_ratio_count is above 5
add column volatility_ratio
add column volatility_ratio_count
draw volatility_ratio
sort by column 5 descending

]



WALLSTREETGENIUS
983 posts
msg #64961
Ignore WALLSTREETGENIUS
7/13/2008 10:10:30 PM

Maybe when "chetron" get's around to it, he'll put this together for some of you. I think he's about the only one around that can code something like this.
____________________

Just like clockwork...Nice job Chetron! I knew you'd be the one to code this indicator, and help some of the newbies identify some easy reversals signals.


- RIGGS -

cunparis
71 posts
msg #64972
Ignore cunparis
7/14/2008 2:36:22 AM

But look at the results, it shows continuation more than it does reversal. We're missing something.


WALLSTREETGENIUS
983 posts
msg #64984
Ignore WALLSTREETGENIUS
modified
7/14/2008 12:20:26 PM

"But look at the results, it shows continuation more than it does reversal. We're missing something. "
__________________________

I think you better research how to use this indicator before you mindlessly start popping off with statements like that. You'll notice I mentioned a "parametor" of "0.5" right. Lesson # 1.....in the stock market, nothing is as easy as it seems. Now, with that said...T/A is NEVER "as easy as it seems!" In fact, I could write a 300 page book on THIS indicator alone! So do some homework, and you might make a 1/3 of what "I" make with the "Volatility Ratio."

I made a minor adjustment to take your eyes off the "2" parametor only. Through your research, you'll notice the importance of "0.5" in conjunction with the other spikes.

Fetcher[set{true_range, average true range(1)}
set{ema_true_range, CEMA(average true range(1), 14)}
set{volatility_ratio, true_range / ema_true_range}
set{volatility_ratio_count, count(volatility_ratio is above 2.0, 100)}
add column volatility_ratio
draw volatility_ratio line at 0.5
draw volatility_ratio line at 2
]





- WALLSTREETGENIUS -


StockFetcher Forums · Filter Exchange · Mark Cook's cumulative tick indicator<< 1 2 >>Post Follow-up

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