Home made indicators anyone?

How about no indicators at all ?
We may just count, it is enough and does not need any T/A additives, sophisticated or not.
It does not even need volumes.
The system begins by the new year 2002.
A new trader would
Buy at the first significant trough, Sell at the first significant peak.
After this, buy every 26 bars, sell every 24 bars.
That´s all.
On Aug28, 2002, buy and sell occur the same day and the first cycle begins.
The end of the first cycle is near.
11 more bars...
The logic [and the code] is quite simple

/*Cycles 2002*/
STARTBUY=DateNum()==1020222;STARTSELL=DateNum()==1020308;
Buy=BarsSince(STARTBuy)%26==0;
Sell=BarsSince(STARTSell)%24==0;
Short=Sell;Cover=Buy;

Settings:Buy, Sell, Short, Cover at Open, Delay +1, commission 0.25%, all stops disabled.
The results for the whole Nasdaq100 market:
6 stocks were not profitable
NXTL [ruin]
HSIC -50%
PDCO -43%
LNCR -5%
TEVA -4% and
AAPL -3%
The rest 95 were profitable.
28 of them from +3% to +100%
45 of them from +100% to +500%
16 of them from +500% to +1000%
The rest 6 have had, till now, 4-digit profits
CPWR +1035%
NVDA +1216%
ERICY +1316%
BRCM +1575%
VRSN +2221% and
MNST +2317%
The average profit for the whole market was +324%
System drawdowns were not bad at all, only 6 stocks were worse than -40%.
PS1: There was another similar system, the /*Cycles 2001*/. It belongs to the history.
PS2: There is another similar system, the /*Cycles 2003*/

 

I am glad you are back. What was the starting capital? How many percent of the equity did you invest in each signal? What about testing it for 5 years?

 

It seems you didn´t read the description.
The system cycle is in the 2002-2003 timeframe, a 5-year backtest is meaningless [for this system].
BTW, is there any "5-year" international rule to the lack of my knowledge ?
If positive, I should contact my friends at BIPM [The Bureau International des Poids et Mesures] and ask for explanations.
FYI,
http://www1.bipm.org/en/bipm/ or +33 1 45 07 70 70
The rest of your questions are for my broker [I hope not for my wife...]. I will forward ASAP.

 

Yes, Volker, you have achieved fame as the Wealth Lab infomercial guy. because of you I will have the awful headache of learning a new software eventually!!

That indicator looks interesting, I have never found a volume indicator that helps me. Could you profide details or a link to a page that explains the calculations of the indicator?? I searched the WL website and came up empty.

 

Sometimes it is not easy to find things on the WL site. There was really nothing special about this indicator but you can find in the left menue under "WealthScript Help" - "Function Reference" - "Technical Indicators". I paste the description form the site here:

VMA
VMA( Bar, Series, Period: integer ): float;VMASeries( Series, Period: integer ): integer;

Description

VMA returns the Volume-Weighted Moving Average for the specified price series and period. VMA is similar to a Simple Moving Average (SMA), but each bar of data is weighted by the bar's Volume. WMA places more significance on the days with the largest volume and the least for the days with lowest volume for the period specified. VMA value represents the average purchase price of the past number of periods, well almost, as it assumes the that all prices were traded at selected time (usually the closing value). VWA allows you to buy at a low value and sell at a high value compared to the averaged price paid by all market participants.

Because important breakouts are often accompanied by a large increase in Volume, VMA will track aggressive moves more closely than other types of Moving Averages. During consolidation periods, where Volume is light, VMA will act like a normal Simple Moving Average.

Interpretation

· Use the same rules that we apply to SMA when interpreting VMA. Keep in mind, though, that VMA is generally more sensitive to price movement on high volume days.

· VMA’s are used to determine Trend Direction. If the VMA is moving up, the trend is up, if moving down then the trend is down. A 200 bar VMA is common proxy for the long term trend. 60 bar VMA’s are typically used to gauge the intermediate trend. Shorter period VMA’s can be used to determine shorter term trends.

· VMA’s are commonly used to Smooth price data and technical indicators. Applying an VMA smoothes out choppy data. The longer the period of the VMA, the smoother the result, but the more lag that is introduced between the VMA and the source.

· VMA Crossing Price is often used to trigger trading signals. When prices cross above the SMA go long, when they cross below the VMA go short.

· Look for a differences to between the SMA and the VMA with the same number of periods. When the WMA is above the SMA then buyers are active and are accumulating stock, go long. When the WMA is below the SMA then seller are active, and stock is being sold, go short.

Calculation

VMA = (V1 x P1 + V2 x P2 + . . . + Vn x Pn) / (V1 + V2 + . . . +Vn )

P1 = current price

P2 = price one bar ago, etc . .

V1 = current volume

V2 = volume one bar ago

n = number of periods/bars

Example

{ Compare a Volume Weighted Moving Average with a standard MA }
PlotSeries( SMASeries( #Close, 60 ), 0, 005, #Thin );
PlotSeries( VMASeries( #Close, 60 ), 0, 005, #Thick );

Volker

 

Everyone I know who trades well has developed their own indicators.

I have my own "secret" set of them too.

 

Since you use WL, there is an interesting 4-part article for the Direction of the Market at
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=articles/DirectionOfMarket1.htm

 

Your work has been nicely integrated into Index-Lab. WL is giving you full recognition and promotion for your work and I am sure you appreciate that?

 

I do not only appreciate, I always give this reference to the readers. On the other side, the study and the results of my "Breath Indicators" applied over the whole N100 market give some unique signals, not easily available by other T/A tools.
Amibroker and Wealth-Lab have the proper built-in functions to materialise this technique and the users should be more than happy. After ten years the Breath Indicators will be a common T/A tool. Until then, I hope to design the next, trully innovative step.
Thank you for your comments.

 

There is one thing that bugs me about home made indicators.
Math can be skewed to tell you whatever you want.
Are you just confirming your own theories with this and not getting any real indication of the market?

Notwithstanding that, I also have my own set of indicators. I often change them. I more use them to compare to each other rather than as an absoulute gauge of market direction.

Does anyone have a homemade indicator that gives buy and sell signals on it's own? No other input to compare. That would amount to a "holy grail" just about. I do not think it is out there.