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StockFetcher Forums · Filter Exchange · THE SCHAFF TREND CYCLE INDICATOR<< 1 2 >>Post Follow-up
Kevin_in_GA
4,557 posts
msg #95838
Ignore Kevin_in_GA
8/25/2010 4:11:50 PM


The Schaff Trend Cycle (STC) identifies trend momentum. The STC is created by running the difference between two exponential moving averages (a MACD Line) through a stochastic algorithm. The resulting oscillator measures when trend is accelerating or decelerating, showing a cycle measure of trend.

Like most stochastics, the oscillator is bounded between 0 and 100. Buy and sell lines are drawn at 20 and 80 in the STC chart panel. The indicator rising above the buy line can be used to confirm trend cycle lows. The indicator falling below the sell line can be used to confirm trend cycle peaks.

The STC tends to be smoother and suffers fewer whipsaws than the regular stochastic. The STC also reaches the 20 line and 80 line more often, giving clearer ideas of when to enter and exit positions.

When the Schaff Trend Cycle is falling, trend momentum is falling and prices tend to stabilize or follow the trend cycle lower. When the STC is rising, trend momentum is rising and prices tend to stabilize or follow the cycle higher.

A powerful way to use this is to combine the STC with a trend direction indicator to identify both trend momentum and direction. In this instance I am using the EMA(23) as an indicator of trend direction. Consider trades when trend momentum and direction are in harmony.


Fetcher[

/*SCHAFF TREND CYCLE INDICATOR*/

set{var1, ema(23) - ema(50)}
set{highest, var1 20 day high}
set{lowest, var1 20 day low}
set{range, highest - lowest}
set{var2, var1 - lowest}
set{var3, var2 / range}
set{var4, var3 * 100}
set{stclong, cema(var4, 5)}

add column STClong

draw stclong line at 80
draw stclong line at 20
draw ema(23)

/*BUY WHEN STC CROSSES ABOVE 20*/
/*SHORT WHEN STC CROSSES BELOW 80*/

sort on column 5 descending

chart-time is 6 months
symlist(spy,iwm,vwo,gld,fxe,agg)

]




Enjoy.

dk58198
19 posts
msg #95843
Ignore dk58198
8/25/2010 11:31:22 PM

thank you for this i changed ema's time frames and added few thins i believe i have a great filter here

mystiq
650 posts
msg #95844
Ignore mystiq
modified
8/26/2010 1:13:55 AM

nice fil(t)er...

dwiggains
391 posts
msg #95847
Ignore dwiggains
8/26/2010 8:56:43 AM

Thanks Kevin

See ya
David

Kevin_in_GA
4,557 posts
msg #95848
Ignore Kevin_in_GA
8/26/2010 10:20:50 AM

Note: The settings used here (period, short ema, long ema) are the default settings used by Doug Schaff. The advantage to this type of indicator is that it is responsive without generating a lot of whipsaws. However, to make it better, one should be using an adaptive cycle period - unfortunately, SF code does not allow for the use of a variable in these types of calculations. If it did, this could be much more useful. Oh well.

Hopefully tomB is listening ...

Eman93
4,659 posts
msg #95854
Ignore Eman93
8/26/2010 7:15:31 PM

The Vix oscillator is better....

Kevin_in_GA
4,557 posts
msg #95857
Ignore Kevin_in_GA
8/26/2010 8:31:31 PM

For predicting the overall market direction and timing - I agree.

But this can be used on individual stocks with pretty solid results. I merely show it here on the index ETFs as an example.

These settings are defaults, and can be optimized.

mystiq
650 posts
msg #95860
Ignore mystiq
8/27/2010 2:26:15 AM

--->
http://mediaserver.fxstreet.com/Reports/99afdb5f-d41d-4a2c-802c-f5d787df886c/ebfbf387-4b27-4a0f-848c-039f4ab77c00.pdf

four
4,012 posts
msg #95864
Ignore four
8/27/2010 11:37:54 AM

mystiq,
thanks for the article

dwiggains
391 posts
msg #96082
Ignore dwiggains
9/8/2010 2:00:56 PM

I have been working with this indicator looking for the stocks that stay in a trend for 2 or 3 months.
I have been trying to get a count function to work.

Example the stocks that stay above 80 on the stclong for more than 30 days at a time and / or
stay below 20 on the stclong for more than 30 days at a time.

I tried this

set{above80, count(stclong above 80 for 30 days, 200)}

set {below20, count(stclong below 20 for 30 days,200)}

These did not work.

Any Ideas.

Thanks
See ya
David



StockFetcher Forums · Filter Exchange · THE SCHAFF TREND CYCLE INDICATOR<< 1 2 >>Post Follow-up

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