StockFetcher Forums · Filter Exchange · Middle of the Range...<< 1 2 3 4 5 ... 7 >>Post Follow-up
TheRumpledOne
6,411 posts
msg #43321
- Ignore TheRumpledOne
modified		 4/29/2006 2:56:12 PM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]



Now it's getting fun...

Column HM100 is the how many times high minus middle has been over $1 in the past 100 trading sessions.

Column HM050 is the how many times high minus middle has been over $.50 in the past 100 trading sessions.

Column ML100 is the how many times middle minus low has been over $1 in the past 100 trading sessions.

Column ML050 is the how many times middle minus low has been over $.50 in the past 100 trading sessions.

This can give you a clue as to which way to enter the trade.

For some, this may just be more BELLS AND WHISTLES but for others, it's like finding a patch of ripe fruit just waiting to be picked!!

MAY ALL YOUR FILLS BE COMPLETE.






alf44
2,025 posts
msg #43328
- Ignore alf44
modified		 4/29/2006 3:59:52 PM

Rumpled...nice work BUT...

...why not just use the Daily Pivot ?

The Pivot (PP)...is basicallly the "middle of the range" of the previous days price action. (PP = H + L + C / 3)

In fact, there's no need to even do the calculation yourself as SF offers PP as a scanning criteria.

Works for me !

Why all the xtra code to arrive at virtually the same place ?


Regards,

alf44



TheRumpledOne
6,411 posts
msg #43332
- Ignore TheRumpledOne		 4/29/2006 4:48:21 PM

My original work with the middle was for FOREX.

But I wanted to see if it worked for equities as well. Usually, if a system/strategy is "robust" then it works across markets.

The Pivot, PP is NOT the same as the middle. Close but usually not the same.

Let's see how big the difference is:

Fetcher[
set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{PPMID, PP - Middle}
set{xRange, high 1 day ago - low 1 day ago }

and add column PPMID
and add column PP
and add column Middle

and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 1000000
and average volume(30) > 1000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq
]



There seems to be a big enough of a difference to winners into losers. What I mean by that is, if I am going long and let the price pass the middle while waiting on it to get to PP, I miss out on all that profit. If the price is below PP, then PP is resistance. When the middle is below PP, then entering at that time should yield a nice scalp as the buyers test resistance.

Remember, I used PP in my GRIDIRON STRATEGY. So I have nothing against using PP.

I just happened to see a directional bias using the middle with the EURUSD and I wanted to test it.

Now I have to convert all the SF code I wrote to TradeStation EL so I can test it out on FOREX.

I understand the reason for your question and I hope I have answered it.





TheRumpledOne
6,411 posts
msg #43366
- Ignore TheRumpledOne
modified		 4/30/2006 1:09:51 PM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]



I added another column:

and add column CLxMid 1 day ago

I will look at this when CLxMid = 1 or = -1 to see how many days the previous trend lasted:

Fetcher[
/* Middle of the Range Filter Display - Trend Reversal */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1

and CLxMid below 2
and CLxMid above -2

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]



From the chart it looks like when CLxMid is 4 or more the stocks really pop:

Fetcher[
/* Middle of the Range Filter Display - EXTREME Trend */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid


and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1


and abs(CLxMid) above 3

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]



Note: When you look at date offset is 1, if the stock didn't cross above the middle, you would NOT have entered the trade.

Lot's of green here.

MAY ALL YOUR FILLS BE COMPLETE.




BFreshour
139 posts
msg #43387
- Ignore BFreshour		 5/1/2006 12:51:59 PM

TRO: This mid point is a lot like Heinkin-Ashi candle method. I love it and it works great on weekly charts.
TheRumpledOne
6,411 posts
msg #43444
- Ignore TheRumpledOne		 5/3/2006 10:33:39 AM

Fetcher[
/* Middle of the Range Filter Display - EXTREME Trend */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}


set{LgEnt, max(low, middle)}
set{ShEnt, min(high, middle)}

set{HiEnt, high - LgEnt}
set{EntLo, ShEnt - low}

set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid


and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HiEnt
and add column EntLo

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1


and abs(CLxMid) above 3

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]



Hola from Mexico!

While relaxing on the beach, I thought of a refinement to the display.

The HiEnt column displays the potential profit from the best possible long entry to the high of the day. If the price was always above the middle then the low would be the best possible entry. If the price was below the middle and crossed above the middle then the middle would be the entry trigger price.

The LoEnt column displays the potential profit from the best possible short entry to the low of the day.

When looking at the performance column remember that RED is profit for the shorts.

Adios.
TheRumpledOne
6,411 posts
msg #43451
- Ignore TheRumpledOne
modified		 5/3/2006 8:56:56 PM

Fetcher[
/* Middle of the Range Filter Display - Trend Reversal */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}


set{LgEnt, max(low, middle)}
set{ShEnt, min(high, middle)}

set{HiEnt, high - LgEnt}
set{EntLo, ShEnt - low}

set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid


and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HiEnt
and add column EntLo

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */


and close above 20
and xrange above 1


and abs(CLxMid) equal 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

/* and date offset is 1 */
]




It doesn't seem to make much difference if you trade the extreme trend or the trend reversal... the MIDDLE gives a profitable directional entry signal.

MAY ALL YOUR FILLS BE COMPLETE.


P.S. I wrote the Middle Indicators for tradestation and posted them here:

http://finance.groups.yahoo.com/group/TheRumpledOne/files/
WALLSTREETGENIUS
983 posts
msg #43483
- Ignore WALLSTREETGENIUS
modified		 5/5/2006 10:15:39 AM

Oh look Gladis....ANOTHER filter with 40 "added columns." Prolly just another one of those middle of the road filters. Oops....this ones called "Middle of the range?" How ironic. LOL....

"IF I BUILD THEM FAST, THEY WILL STROKE ME."


- WALLSTREETGENIUS -



TheRumpledOne
6,411 posts
msg #43492
- Ignore TheRumpledOne		 5/5/2006 10:50:15 AM

RIGGS, you might want to "zip up"... your ignorance is showing.
TheRumpledOne
6,411 posts
msg #43608
- Ignore TheRumpledOne		 5/10/2006 1:06:31 PM

Has anyone been trading this filter?

I have written a middle trade indicator for TradeStation and it is unreal how profitable this is.

I use it to scalp all day long.

It is very simple:

1) calculate the previous day's midpoint (high + low)/2

2) if current price above middle, look for long entries. If current price below, look for short entries.

This is basically trading with the trend.

Today, nothing but shorts on AAPL. Just short the rallys.

Had you just shorted AAPL at the open, you could have covered at $.50+

MAY ALL YOUR FILLS BE COMPLETE.
StockFetcher Forums · Filter Exchange · Middle of the Range...<< 1 2 3 4 5 ... 7 >>Post Follow-up

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