Dr. Clayburg, a noted systems designer, has a technique for determining market trend of the day based off of the first hour price action. It's over 70% accurate. He calls it the Directional Day Filter and he freely provides Tradestation (EasyLanguage) code for it. It's available at: http://www.clayburg.com/four_steps_tradestation_code.htm Unfortunately, I don't have Tradestation to import his *.els file to be able to read it. So would some kind soul with access to Tradestation be good enough to send me the plain text file with this code. My e-mail is tymerski@ee.pdx.edu Thanks, Richard
You don't need the code, it's simply the average of the first 5 minutes, draw and line thru that price and watch where most of the trading takes place during the first hour or so.
big_jdez, Thanks for your reply. I have Clayburg's book, so I know exactly in concept how the DDF operates. However, I'm interested to see how he mathematically figures out where most of the market action is in the first hour, especially in the cases when it's not so clear. Also, I would like to see how he uses the price information at the sixty minute interval as confirmation of his trend determination. After all, the devil is in the details, and this is what I'd like to see. So please, someone help me out here. Thanks, Richard
big_jdez, Thanks for your reply. I have Clayburg's book, so I know exactly in concept how the DDF operates. However, I'm interested to see how he mathematically figures out where most of the market action is in the first hour, especially in the cases when it's not so clear. Also, I would like to see how he uses the price information at the sixty minute interval as confirmation of his trend determination. After all, the devil is in the details, and this is what I'd like to see. So please, someone help me out here. Thanks, Richard
Come on guys, help me out here. See my message at top. I can email you the *.els file if you like. Will post when I no longer need any help. (Some incentive to help: I'm working on a S&P futures day trading system, I'll let you know my system when I'm done).
Richard, Regrettably, we will not get to see how this system is handled mathematically within the code. I downloaded from the link you provided, unzipped, imported, and tried to edit the files. Alas, they are locked and password protected. So, even with Tradestation, the code is unavailable.
Dave, Thanks for your help, anyway. For anyone who may be interested: Clayburg had a couple of articles in Active Trader: 1) Nov. 2001 issue: "Limiting Losses isn't always the answer" 2) Feb. 2002 issue: "Moving with the market: Adaptive Stop Orders" Both articles exam results of a S&P futures daytrading system which uses his Directional Day Filter (DDF). Since the results are quite impressive, I thought I'd verify them myself, starting with those in his Nov. article. Using quote.com 5-min data for SPU1 for 6/11/2001 to 8/2/2001, I was not able to verify his net profit of $23,375. The most I could get was $17,800. Perhaps, worse was the fact that his largest loss of around $4000, as far as I can see, shouldn't have even been a trade because his DDF wouldn't have allowed it. Other anomalies also exist in this article which I won't go into here. In the Feb. article he examines various stop loss approaches. Of the three examined, a volatilty stop allowed him to increase profits while reducing drawdowns. For the data above, I was able to incease my profit result from $17,800 to $19,375. However, the drawdown also increased. I don't believe that my results differ from Clayburg's solely because of data differences. I believe I have my DDF implementation working OK. Anyone who might be interested in pursuing this further with me please let me know. Maybe, the next thing to try is another data source. Richard