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March 17, 2022 at 8:56 am #114576Nick RadgeKeymaster
150 trading ideas coded in Amibroker. I reckon they’ll all be single market systems with minimal frequency…
March 17, 2022 at 10:57 pm #114583KateMoloneyParticipantNick, after what I’ve learned from yourself and Craig, I am highly critical of these people that tout “97% win rate systems”.
June 23, 2022 at 2:45 am #102508JulianCohenParticipantI just found this site
therobusttrader.com
Check under the blog section
Tons and tons of ideas and rabbit holes to wander down. The area on candlesticks could provide months of investigation.
February 16, 2023 at 9:00 am #114852GlenPeakeParticipantA few Momentum ideas in this Better Systems Traders interview with Alan Clement.
https://bettersystemtrader.com/172-the-magic-of-momentum-trading-alan-clement/
One idea that got mentioned was a Smoothed Rate of Change (S-ROC) indicator. I hadn’t tested this previously against any of my Momo systems…. So I’ve just been running a few tests to see what happens….. nothing concrete as yet but I’ll keep looking.
February 24, 2023 at 5:13 am #115436KateMoloneyParticipantHey Glen,
Been researching this myself. Thanks for sharing.
What formular did you use? I did some online research and found a few different ideas.
How is it calculated? RoC is calculated in three steps. First, the EMA is calculated. Then the momentum of the change in the EMA is calculated by subtracting the previous value of the EMA from the current EMA. Finally, the result is divided by the previous value of the EMA and multiplied by 100 to give a percentage. As the S-RoC is a RoC of EMA, it takes two periods: the period of the EMA, with the default being 13; and the period of the RoC, with the default being 21.
The formula is:
S-RoC = ( Current EMA – Previous EMA ) / ( Previous EMA ) x 100
where the previous EMA is the value that the EMA was at specified period ago. The result is a percentage that is plotted as an oscillator that oscillates between 100% and -100%.
Here is my first crack at it (AB code … sorry!)//Smoothed Rate of Change, EMA of the ROC
EMAperiod = Param(“EMA period”,100,1,300,1);
EMAclose = EMA(Close,EMAperiod);ROCs = Param(“ROC Period”,100,1,300,1);
ROCsmooth = ROC(EMAclose,ROCs);Plot(ROCsmooth,”ROCS”,colorAqua,styleLine);’
I have a feeling I didn’t get it right ….. as in its meant to be along the lines of
S-RoC = ( Current EMA – Previous EMA ) / ( Previous EMA ) x 100
Which might look like
/// Second indicator ROCs attempt
EMAp = Param(“EMA period 2”,100,1,300,1);
EMANow = EMA(C,EMAp);
EMA1weekago = Ref(EMAnow,-7);Calc = (EMA(C,EMAp) – EMA1weekago) / EMA1weekago * 100;
February 24, 2023 at 8:23 am #115450GlenPeakeParticipantHi Kate,
Looks Like we may have hit the same websites, as the calc here on this page is the same as the one you’ve posted.
i.e.
S-RoC = ( Current EMA – Previous EMA ) / ( Previous EMA ) x 100https://www.chart-formations.com/indicators/sroc
My code looks similar to yours and yields the same results when I compared it to yours:
///////////////////////////////////////////
P = ParamField( “Price field” );
Periods1 = Param(“EMA Lookback”, 13, 1, 200, 1 );
Periods2 = Param(“ROC Lookback”, 21, 1, 200, 1 );EMAclose = EMA(Close,periods1);
ROCxma = ROC(EMAclose,periods2);Plot( ROCXMA, _DEFAULT_NAME(), ParamColor( “Color”, colorCycle ), ParamStyle(“Style”) );
/////////////////////////////////////////
Below and attached is a RealTest Script I was experimenting with…. I was trying different combinations of ROC/EMA…. and then comparing the Chart / SROC curve… essentially the ‘flow’ of the curve(s) are similar (pending lookback inputs)….. So for me the flows look similar when comparing the variety of different calculations.
You can remove the // in the RT script to compare various different variations and look at them on the charts etc.
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
Import:
DataSource: Norgate
IncludeList: .S&P ASX 300 Current & Past
IncludeList: $XAO.au
IncludeList: $XSO.au
IncludeList: $XAOA.au
StartDate: 1/1/2003
EndDate: Latest
SaveAs: ASX_XSO_Historical.rtd
ScanSettings:
DataFile: ASX_XSO_Historical.rtd
EndDate: Latest
NumDays: 1
BarSize: Daily
Data:
// ROC1: ROC(C,5)
// SMROC1: EMA(ROC1,10)
// SMROC2: (EMA(ROC(C,10),20))
// SMROC3: (EMA(ROC(C,30),60))
// EMA1: EMA(C,15)
// EMAold: EMA(C,15)[5]
// SMROC4: (EMA1-EMAold)/(EMAold)*100
// SMROC5: (EMA(ROC(C,13),21))
SMROC6: (ROC(EMA(C,13),21))
Scan:
Filter: 1
// Filter: Symbol = $PLS.au
Sort: -SROC6
// SROC1: SMROC1
// SROC2: SMROC2
// SROC3: SMROC3
// SROC4: SMROC4
// SROC5: SMROC5
SROC6: SMROC6
ClosePrice: {$}Close
VolumeToday: Volume
Turnover: {$} Close * Volume// ROC_1_Day: ROC(C,1)
// ROC_5_Day: ROC(C,5)
// ROC_10_Day: ROC(C,10)
// ROC_1_Month: ROC(C,20)
// ROC_1_Year: ROC(C,255)
Charts:
// SmRC1: SMROC1{|} // {%|} -This will convert to percentage
// SmRC2: SMROC2{|}
// SmRC3: SMROC3{|}
// SmRC4: SMROC4{|}
// SmRC5: SMROC5{|}
SmRC6: SMROC6{|}
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////February 24, 2023 at 9:23 pm #115451KateMoloneyParticipantThanks Glen,
Perfect thing to take my mind off the market
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