Various - page 15

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Dear Mladen

Hope you are doing well,

If you have some time to provide us with the fft & regression indicator colored version you are much aprecited. BTW is it re-calculate the past ??

Thanks,

Khaliddxd

 

...

khaliddxd

Both Fourier transform and polynomial regression are a "fitting" calculations, which means that they are trying to fit themselves the best they can to data segments they are applied to. Since we are limiting the segment to a window (not to whole history) due to the nature of fft (fast Fourier transform, as is, does not allow arbitrary segment lengths, just powers of 2 lengths) it means that both fft and polynomial regression are recalculating whenever the window is moved (new bar added) + whenever a current bar changes if Lag parameter is set to 0

That is the reason why I did not make the multi color in the first place : it will change those colors and as I said a lot of times, it can not be used in a "signaling mode" (making it change a color on a lope change would make it a "signaling mode" indicator) since in signaling mode it can mislead. All that kind of indicators are meant to be used as an estimate (so manual, discretional ...)

If you still wish to make it multi color, I can, but please read the above and what could a multi coloring mode cause in some cases

regards

Mladen

khaliddxd:
Hope you are doing well,

If you have some time to provide us with the fft & regression indicator colored version you are much aprecited. BTW is it re-calculate the past ??

Thanks,

Khaliddxd
 

Dear Mladen

Thank you for the very clear explanation.

What you had said is making sence, therefore I'v got the idea and having colored version won't be helpful.

Thank you for brighting and teaching us as always.

Yours,

Khaliddxd

 

...

For the sake of authenticity posting here a complete quote from the "New Trading Systems and Methods" by Perry Kaufman that describes a system designed by Dennis Meyers.

ADAPTIVE INTRADAY BREAKOUT SYSTEM

An adaptive method developed for intraday stock trading, or stock index trading, has a number of unique features. The method is based on the idea that the expected value of the n-bar range is proportional to the square root of n. In a different approach, Meyers[10] first defines the high and low ranges as

HRt = Ht - Lt-n (today's high minus the low of n bars ago)

LRt = Lt - Ht-n (today's low minus the high of n bars ago)

Note that the high and low ranges do not use the highest high or lowest low of the past n bars, but the actual high and low of a single bar located n bars ago. Next, a range ratio is created from HRt and LRt by normalizing in ways, (1) dividing by ATR(n) the average true range over period n, and (2) dividing by a power function, na, to correct for the characteristic that the range ratio gets larger as n gets larger. These calculations allow the different lookback periods to be compared. The normalized ranges are then

NHRt = HRt / na / ATR(n)

NLRt = LRt / na / ATR(n)

Finally, the maximum range for NHR and NLR can be found over the most recent n periods by using the function maximum,

HRmax = maximum(NHR,n)

LRmax = maximum(NHR,n)

The final elements are high and low threshold values which will be used to generate trading signals.

Buy when HRmax > threshold high and LRmax < threshold low

Sell when LRmax > threshold low and HRmax < threshold high

Close out all trades 5 minutes before the close of trading Four key variables—n, the lookback period, a, the power function, and the two threshold values—are all found by optimization. It is suggested that the maximum lookback period n, should be no greater than 25. Tests performed on QQQ, the Nasdaq 100 ETF, yielded the values n = 6, a = .75, threshold high = .50, and threshold low = 1.05. If this method can be shown to be consistent over a reasonably long test period, producing about one trader per day, it is well worth pursuing.

[10]Dennis Meyers, "Range Roving," Active Trader (March 2003).

There are some typos (like the "LRmax = maximum(NHR,n)") but those are corrected. Made an indicator that behaves exactly as it is described in th the book. What I can not test is the QQQ. With default parameters I must say it does not behave "optimally" on forex symbols, but will try to see some optimizing ways. Decided to post this since the names of the 2 man in this system.

adaptive_intraday_breakout.mq4

PS: parameters used are the ones described in the quote. the "a" parameter is "AibPower" in the indicator attached. if someone finds some acceptable parameters combination for this indicator, I would appreciate if he/she posts them here.

PPS: found one error in code. It is corrected now (the remark of parameters stays still though)

Files:
aib.gif  24 kb
adaptive_intraday_breakout.mq4  3 kb
 
mladen:
And this is a variation in which I tried to find some more sense. I really do not have the original article, but am basing all on the book by Kaufman, so I am kind of a being "in the dark". Anyway, here is this version that (at lest to me) seems to be giving more logical results. Adjusted the indicator for a bit different look, and the histo color is there in order to signal the trend (usual coloring)

arrows & alerts please?

 
camisa:
arrows & alerts please?

Here's the arrows and alerts Camisa, also made it mtf.

adaptive_intraday_breakout_2_alertsmtf.mq4

 
mrtools:
Here's the arrows and alerts Camisa, also made it mtf. adaptive_intraday_breakout_2_alertsmtf.mq4

Hi,

I was wondering if you could tell me the name of the other indicator that is being used in the picture attached ?

Peekaboo

 
peekaboo:
Hi,

I was wondering if you could tell me the name of the other indicator that is being used in the picture attached ?

Peekaboo

Hi Peekaboo,

The name is Regression Channel and it can be found here https://www.mql5.com/en/forum/general

 
mrtools:
Hi Peekaboo, The name is Regression Channel and it can be found here https://www.mql5.com/en/forum/general

Thanks MrTools, much appreciated

 
mladen:
This one I call rsi T3.

arrows on slope change please?

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