Trend Channel Pivot – Close Above / Below Cross

 

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Trend Channel Pivot - Close Above / Below Cross

This trend indicator was developed many years ago for trading the CBT Treasury Bond futures. A close above or below the Trend Channel “Pivot” is, in combination with other confirming or filtering indicators, a very good indication that a trend has developed in the direction of the cross.  In trending markets this indicator is exceptional.  In choppy markets, the indicator often generates whip-saws.

% New 1 Year Highs / Lows > 30%

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% New 1 Year Highs / Lows Over 30%

% New 1 Year Highs > 30%
Often occurs when markets are topping intermediate to long term. This is not a trading signal, but indicates a probable area that the immediately previous trend will reverse. After a short lived sell-off, one more surge higher often occurs before a significant reversal to lower prices.

% New 1 Year Lows > 30%
Often occurs when markets are bottoming intermediate to long term. This is not a trading signal, but indicates a probable area that the immediately previous trend will reverse. After a short lived rally, one more sell-off often occurs preceeding a significant reversal to higher prices.

Constituent Uptrends Crossing Above 50%

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Constituent Total Uptrends Crossing Above 50%

Constituent Uptrends Crossing Above 50%
When 50% or more of the constituents of an index or ETF are in an uptrend, chances are the composite, itself, will remain in an uptrend. Similarly, when constituent trends slip below 50% chances are the uptrend is over for the time being. In a trending market, identifying and staying with the trend can be a very profitable experience. Getting out is equally important.

 


Constituent Total Uptrends Crossing Above 50% With $SPX Trends Over 50%
Constituent Uptrends Crossing Above 50% With $SPX Constituent Uptrends Over 50%
This Exploration is included more as an example than something you will use as is. This Exploration is exactly the same as the “Uptrends Crossing Above 50%” Exploration except that additionally, 50% of the constituents of the S & P 500 Index must also be in uptrends.

This added filter demonstrates how the MasterDATA Composite Plug-in “md.ByFile” formula may be used in an Exploration. Every issue in MasterDATA’s Compilation List will be tested not only as to its own constituents, but also, those of the S & P 500 Index.

AD Volume Histogram

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AD Volume Histogram

Very similar to the AD Histogram Exploration, the AD Volume Histogram uses advancing and declining volume instead of issues.

Both offer very promising potential as short term indicators. Again, in their raw form they are not perfect, but when right they are very right and when wrong, very wrong. They do seem to be, however, more right than wrong. With a little filtering work, I believe the “wrongs” can be mitigated easily enough.

Basically, when advancing volume is greater than 95% of total component volume for the composite, that is a potential short term short sale on the next day’s open. The inverse is also true. 95% or greater declining volume is a potential buy. Neither circumstance indicates a new trend and the trade only last for a day or two. Don’t get confused when you see one of these pop up for one of the ProShares “short” ETFs. You have to actually think when looking at one of these.

Needs more work, but a lot of possibilities here.

AD Histogram

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AD Histogram

This is one of the most promising potential very short term indicators I have encountered in a while. It is not perfect, but when it is right it is very right and when wrong very wrong. It does seem to be, however, more right than wrong. With a little filtering work, I believe the “wrongs” can be mitigated easily enough.

Basically, when advancing issues are greater than 95% of issues traded for the composite, that is a potential short term short sale on the next day’s open. The inverse is also true. 95% or greater declining issues is a potential buy. Neither indicates a new trend and the trade only last for a day or two. Don’t get confused when you see one of these pop up for one of the ProShares “short” ETFs. You have to actually think when looking at one of these.

Needs more work, but a lot of possibilities here.

AD Moving Average Cross

The name describes exactly what this indicator is.  It is a moving average of advancing issues (green) and a separate moving average of declining issues (red).  Notice they are reciprocals of one another.  For the most part, when the two lines cross (usually at slightly less than 50%), a new trend may have started.  The illustration below is a 13 day moving average of both the advancing and declining issues  In the chart’s middle inner window, when the green line is at the top, this indicates an up trend.  Conversely, the red line on top indicates a downtrend.


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AD Moving Average Cross

For MetaStock, here is the basic formula to draw both lines from one Custom Indicator:

MA:=Input(“Moving Average Periods”,1, 50, 13);UPc:=( Fml( “.Issues Advancing”) /
( Fml( “.Issues Traded”) +.0000001) * 100);
DPc:=( Fml( “.Issues Declining”) /
( Fml( “.Issues Traded”) +.0000001) * 100);

 

AdvMA:= Mov(UPc,MA,S);
DecMA:=Mov(DPc,MA,S);

AdvMA;
DecMA;

For the rest of the world, the formula is simply a moving average of the Advancing issues or Declining issues (in the chart above a 13 day moving average is used):

AdvMA = Advancing Issues Day1 + … Advancing Issues Day13
                                                  13

DecMA = Advancing Issues Day1 + … Advancing Issues Day13
                                                  13

If AdvMA > DecMA then Uptrend
 

If AdvMA < DecMA then Downtrend

Simple stuff.  Please remember, by itself, the AD Moving Average Cross is not a trading signal.  It is certainly not a swing trading system.  It is an indicator.  To verify its validity, however, I plugged it into MetaStock’s System Tester with the following results for the QQQ ETF using no stops:

AD Sum PS QQQ (QQQQ) (QQQQ)
Simulation Date 6/17/2008 6:40:51 PM 2000 Daily Bars 6/29/2000 Through 6/13/2008 (2906 Days)
Optimized System Points Only TestPerformance
Profit 46.0177 Pts
Total Trades 181

Profitable Trades
Total 71
Long 42
Short 29

Unprofitable Trades
Total 110
Long 60
Short 50

Click here for the full test report.

Here it is with an 9% stop-loss and 9% trailing stops:

AD Sum with stops
PS QQQ (QQQQ) (QQQQ)
Simulation Date 6/18/2008 10:58:17 AM
2000 Daily Bars 6/29/2000 Through 6/13/2008 (2906 Days)
Optimized System Points Only Test

Performance
Profit 47.5377 Pts
Total Trades
209

Profitable Trades
Total 136
Long 82
Short 54

Unprofitable Trades
Total 73
Long 42
Short 31

Click here for the full test report.

Although the profitability goes up in the test run with stops, the true significance is its ratio of 136 profitable trades vs 73 unprofitable trades.  For a very simple indicator with very little filtering, these are significant results.  Let me emphasize that this is a System Test on one issue, PowerShares QQQ (QQQQ).  Although the indicator appears effective on the indexes and ETFs for which we compile data, the parameters need to be tested and set on each ETF and index before using this as a trading tool.  Towards this end, you will find the Optimization Variables remain a part of this MetaStock System Test to facilitate your further work.

For MetaStock users, this System Test is downloadable from the MasterDATA Composite Plug-in web site along with several necessary Custom Indicators, a template displaying the AD Moving Average Cross, a related Expert and a buy and sell Exploration.  Installation is very simple and the cost is included in your subscription.  For more information or to download the AD Moving Average Cross install package now go to this URL:

http://www.masterdatacompositeplugin.com/Indicators/Indicators.htm

For all other users, I will help when and where I can to facilitate your use of this new indicator.  Just let me know.  Subscriptions to the downloadable datafiles in .csv (comma delimited) format are available at the following URL:

http://www.masterdatacsv.com

Future letters will explore more applications of MasterDATA’s composite / breadth data.  My objective is to contribute to this technical analysis method in such a way as to encourage your own development work.  Ultimately, the momentum of the approach will support not only the wider, more effective use of composite / breadth data, but allow MasterDATA to expand its compilation services into new areas

Your comments and questions are always appreciated.  Please post your comments and/or questions here in the MasterDATA Forum by clicking on the word “comment” at the end of this topic.  As always, thank you for your support.

 

New Indicator – AD Moving Average Cross

Open, high, low, close and volume.  If you are a technical trader, that’s it.  Every indicator you use is based on five numbers.  This is like using Sear’s Craftsman general purpose “basic” tool kit to build a race car .  It can, perhaps, be done,  Might take a while though.  And then there’s the Craftsman Professional Mechanic’s Tool Set.  Using the right tool for the job changes everything.

Composite / breadth data is just that.  A new array of tools for trading indexes and exchange traded funds (ETFs).  MasterDATA’s composite / breadth datafiles contain traditional breadth data as well as several new statistics compiled from the constituents of the various indexes and ETFs on it compilation list.

This letter will be the first of many discussing the application of this composite / breadth data in real world trading indicators  To begin with, I am not too crazy about most of the “traditional” old-time market breadth indicators.  I find many of them too subjective, too subject to interpretation.  So, I leave them for others to explore with our data.  Instead, here, we will look for new approaches that can be back tested and nailed down before we actually consider using them to trade or invest.

The first type of composite / breadth data to be discussed is advancing / declining issues.  If an index or ETF (both of which I will refer to as composites) has 100 component issues and 2 of those issues close unchanged for the day that means that the remaining 98 issues either advanced or declined.  If 60 issues closed higher (advancing issues), then the remaining 38 must have closed lower (declining issues).  Obviously, this is not exactly rocket science.  To me, however, that is one of its greatest strengths, simplicity.

The remainder of this post has been moved to a page in the Exploration and Filters section (left column).  Click here to continue to the rest of this post….

 

MasterDATAlink Version Released – Cleanup!

So far the new release seems to be going smoothly for everyone.  No issues reported to date.  A bug fix or two are now in place to the recent MasterDATAlink version 2.20 released a few days ago (see below or click here) as follows:

  • Actually, this issue existed prior to version 2.20, but I just found it as a result of recent work.  When a historical datafile is found to be out of sync, the entire datafile is automatically downloaded from the MasterDATA servers.  All other files such as MetaStock price files and the new single statistic .csv files are generated from the full .csv format datafile maintained on the user’s computer.  What happened in the past was that while this full download occurred properly, subsequent files generated from this full datafile did not get generated properly until the next download.  In other words, two downloads occurred before corrections to new files showed up.  This issue has been addressed and fixed in version 2.21
  • Occasionally, the “base” historical data held on the user’s computer becomes inaccurate for one reason or another.  I have seen this happen both in eSignal historical data as well as Reuters.  MasterDATAlink now includes a function to force a complete download of all historical data fully replacing any previous historical data on the user’s computer.  In addition to other issues, if you find your data is missing days of data, use this function to fully replace your historical datafiles.  Go to the “Download File Settings” tab and look in the lower right portion of the window.  Put a check mark next to “Force a full download of all datafiles on the next download“.  This new version 2.21 setting applies to the very next download only.
  • For MetaStock Composite Plug-in users, a file access error occurred when downloading if a MetaStock chart or function was open using a MasterDATAlink created price file.  This issue is now fixed.  It is suggested, however, that downloads be run occasionally with all such MetaStock charts and functions closed.  This allows MasterDATAlink to do some file maintenance that otherwise cannot be done.
  • Finally, a small, new addition.  Date format can now be selected when generating the new single statistic historical datafiles.  Users can choose between YYYYMMDD or MM/DD/YYYY formats.

To download this latest 2.21 version, go to the following URLs:

If you do run into problems, certainly let us help right away.   Thank you for your support.

Post Format Test

Link

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MasterDATAlink Version 2.20 Ready For Download

MasterDATAlink is used by MasterDATACSV and MasterDATA Composite Plug-in subscribers to retrieve and update their historical composite / breadth datafiles. The program is included with each subscription at no charge and downloads any or all of the available datafiles on 30 major stock indexes and 111 highest trade volume ETFs.  Downloads can be with a single click or fully automated in the background.

Version 2.20 adds the ability to create several additional types of historical datafiles requested by many subscribers.

New Configurable MetaStock Format Price files:
MasterDATA Composite Plug-in Subscribers are familiar with using open, high, low, close, volume files in MetaStock.  Now users can configure MasterDATAlink to generate up to five different MetaStock format price files containing any of the composite / breadth statistics in our historical datafiles.  And all are done automatically with each download.  This means that you can display bar and candlestick charts on any combination of the values in the historical datafiles.

Don’t use MetaStock?  The smaller 10 column .csv files created in the process of generating the MetaStock format files may be of use to you.  You can easily turn off the actual generation of the MetaStock format files and just wind up with the .csv files only.

Single Statistic .csv Files:
TradeStation users may find the new single statistic .csv format files of particular interest.  With a few clicks, you can select any or all of the composite / breadth statistics for which these single statistic, historical datafiles will be created.  Once set up, all the datafile statistics you select will be compiled into their own individual datafile each time you download, automatically. Each .csv file contains two columns, a date column and a column of the statistic you select.

Single Click Downloads:
When you install and/or update your MasterDATAlink program, you will also see some new links provided. Click on “Start” -> “All Programs” -> “MasterDATA” -> “Run MasterDATA Lists” and you will see a list of 7 links.  Clicking on any one of these links runs the corresponding list you previously set up in the MasterDATAlink program.  Right click on a link to send a copy to your desktop.  Copy a link and paste it into Windows Scheduler to set up automatic downloads.

Historical.csv Files For MasterDATA Composite Plug-in Subscribers:
By the way, in the process of making our historical composite / breadth data available within MetaStock, MasterDATA Composite Plug-in Subscribers download and update the same .csv files as our MasterDATACSV subscribers.  Sometimes, working with the data outside of MetaStock is easier and more productive done in a program like Excel.  Or maybe you use other stock analysis programs, like TradeStation, in addition to MetaStock.  If you installed to the default directories, these historical files are located in the “C:\MasterDATA\CSVFiles\” directory.  If you later need to get your .csv file results of your work into MetaStock, use our MetaStockCSV Plug-in (http://www.metastockcsv.com).

Upgrade Steps:

  • Download either the initial installation or the upgrade from the following URLs:
  • Click on the install or upgrade link (depending on which you need) and “Run”.
  • Once installation is complete, run MasterDATAlink.exe.
  • Go to the “General Settings” tab
  • Put a check mark in the “Special Functions” section on this page
  • Now go to the “Special Functions” tab
  • If you want MetaStock format price files created, look in the top section, “Create .csv Format Price Files and/or Generate MetaStock Format Price Files“, and place a check mark in at least the top two small boxes (by clicking on them).  This will generate the standard MetaStock format open, high, low, close, volume price files you are used to.  If you wish to experiment with configuring values in price files, review the remaining content in this section.

    If you do not want MetaStock format price files, skip this section.
  • If you want single statistic .csv format files, go to the next section, “Create One .csv Format Datafile For Each Statistic“.  Click on the statistic(s) you want and the download list that will trigger your new file(s) to be generated.  If you wish, select file name settings and datafile structure.  You can make changes, additions and deletions later if you wish.
  • In the lower right corner, click on “Save Settings”.
  • Try doing a download and check your results

As always, please post or email any comments or suggestions.  Post a reply or comment here in the forum, by clicking on the word “Comment” at the immediate end of this topic or click here.