Trents Weekly Journal

[GlenPeake]

Trent Rothall wrote:

Thanks Glen, i think that answers my question. Do you use that for your dividends too?

Yes, dividends are also included in the report….

[TimothyStrickland]

I do the same thing Trent. I haven’t heard a complaint yet from my Accountant

[TrentRothall]

Is it just me or the price action looking similar to pre crash? diminishing volume, smaller price spread while price is creeping higher.

Although think i’ve said this twice now…

[TrentRothall]

Does any one do any statistical analysis of basic chart patterns or bar patterns using a exploration to test the validity of a certain setup?

I want to look more into patterns of price/vol to find tradeable setups.

If anyone does this, any tips or metrics you like to look at?

I’m thinking something like the basic exploration below (with added metrics) to help find good setups

Code:

//Test to find patterns – basic consec inside days for example

consecInside = Inside() AND Ref(Inside(), -1);

MA1 = MA(C, Param(“Long MA”,50,20,300));

TrendUp = C > MA1;

cond1 = consecInside AND TrendUp;

Filter = cond1;
AddColumn(C, “Close”);
AddColumn(Ref(C,5),”Close in 5 bars”); // find the C after 5 bars
AddColumn(Ref(ROC(C,5),5),”Roc in 5 bars”); // find 5p ROC IN 5 bars

[TrentRothall]

Or better ways of doing this

[GlenPeake]

Hey Trent….

This may not be ‘exactly’ what you’re looking for…. but, it might give you a head start or a few other ideas etc… if you just want to review the market action on a given day etc…

Code:

//////////////////////////////////////////////////////////////////////////////
/// Explore Search v0.04
//////////////////////////////////////////////////////////////////////////////

#include_once “FormulasNorgate DataNorgate Data Functions.afl”

CloseToggle = ParamToggle(“Close Price”,”Adjusted|Unadjusted”,0);
CloseArray = IIf(CloseToggle,NorgateOriginalCloseTimeSeries(),Close);

VolumeToggle = ParamToggle(“Volume”,”Adjusted|Unadjusted”,0);
VolumeArray = IIf(VolumeToggle,NorgateOriginalVolumeTimeSeries(),Volume);

_SECTION_BEGIN(“Price Filter”);
//////////////////////////////////////////////////////////////////////////
PriceTog = ParamToggle(“Price Filter”,”Off|On”,1);
MinSP = Param(“Minimum Share Price – $”,.04,0.00,1000,0.01);
MaxSP = Param(“Maximum Share Price – $”,1000,0.00,2000,0.01);
MinMaxSP = CloseArray >= MinSP AND CloseArray <= MaxSP; PriceFilt = IIf(PriceTog,MinMaxSP,1); ///////////////////////////////////////////////////////////////////////// _SECTION_END(); _SECTION_BEGIN("Turnover Filter"); ///////////////////////////////////////////////////////////////////////// TOTog = ParamToggle("Turnover Filter","Off|On",1); Turnover = CloseArray*VolumeArray; MinTO = Param("Minimum Turnover - $",500000,0,10000000,1000); //TOMA = Param("Turnover MA",5,1,200,1); //AveTO = MA(Turnover,TOMA); TOFilter = Turnover > MinTO;// AND Turnover > MinTO;
TOFilt = IIf(TOTog,TOFilter,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Close Price Filter”);
/////////////////////////////////////////////////////////////////////////
CloseTOG = ParamToggle(“Close Price > Yesterday Filter”,”Off|On”,0);
Close1DayCheck = C > Ref(C,-1);
CloseFilt = IIf(CloseTOG,Close1DayCheck,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Bullish Breakout Filter”);
/////////////////////////////////////////////////////////////////////////
BreakOutTOG = ParamToggle(“X-Day Breakout Filter”,”Off|On”,0);
BP = Param(“Breakout Period”,100,1,300,1);
//BP = Optimize(“Breakout Period”,20,1,1000,1);
HiChan = HHV(H,BP);
BreakOutCheck = C > Ref(HiChan,-1);
BreakOutFilt = IIf(BreakOutTOG,BreakOutCheck,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Bearish Break Down Filter”);
/////////////////////////////////////////////////////////////////////////
BreaKDownTOG = ParamToggle(“X-Day Break Down Filter”,”Off|On”,0);
BP = Param(“Breakout Period”,20,1,300,1);
//BP = Optimize(“Breakout Period”,20,1,1000,1);
LowChan = LLV(L,BP);
BreakDownCheck = L < Ref(LowChan,-1); BreakDownFilt = IIf(BreakDownTOG,BreakDownCheck,1); ///////////////////////////////////////////////////////////////////////// _SECTION_END(); _SECTION_BEGIN("New Yearly High Filter"); ///////////////////////////////////////////////////////////////////////// YearlyHighTog = ParamToggle("52 Week High","Off|On",0); YearlyHighP = Param("New Year High Period",252,1,1000,1); //BP = Optimize("Breakout Period",20,1,1000,1); YearHighChan = HHV(H,YearlyHighP); YearHighCheck = C > Ref(YearHighChan,-1);
YearHighFilt = IIf(YearlyHighTog,YearHighCheck,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“New Yearly Low Filter”);
/////////////////////////////////////////////////////////////////////////
YearlyLowTog = ParamToggle(“52 Week Low”,”Off|On”,0);
YearlyLowP = Param(“New Year Low Period”,252,1,1000,1);
//BP = Optimize(“Breakout Period”,20,1,1000,1);
YearLowChan = LLV(L,YearlyLowP);
YearLowCheck = C < Ref(YearLowChan,-1); YearLowFilt = IIf(YearlyLowTog,YearLowCheck,1); ///////////////////////////////////////////////////////////////////////// _SECTION_END(); _SECTION_BEGIN("Average Volume Filter"); ///////////////////////////////////////////////////////////////////////// //--------------------------------------------------------------------------------- AveVolTog = ParamToggle("Average Volume Filter","Off|On",0); //MinAveVol = Param("Minimum Average Volume",500000,0,10000000,1000); AVPer = Param("Volume EMA",7,1,200,1); AveVolCalc = EMA(VolumeArray,AVPer); AveVol = Volume > AveVolCalc;
AveVolFilt = IIf(AveVolTog,AveVol,1);
//———————————————————————————

/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“ROC Calculations”);
/////////////////////////////////////////////////////////////////////////
LongTermROCP1 = Param(“Long Term ROC Period”,20,10,260,10);
ShortTermROCP1 = Param(“Short Term ROC Period”,3,1,260,10);
LastdayROCP1 = Param(“Last Day ROC Period”,1,1,260,1);

ROCYear = ROC(Close,LongTermROCP1);
ROCMonth = ROC(Close,ShortTermROCP1);
ROCDay = ROC(Close,LastdayROCP1);

/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“ADX Level Filter”);
/////////////////////////////////////////////////////////////////////////

ADXP1 = Param(“ADX Period”,5,1,100,1);
ADXCheck1 = ADX(ADXP1);
PDICheck1 = PDI(ADXP1);
MDICheck1 = MDI(ADXP1);

ADXLevelTog = ParamToggle(“ADX Level Check Filter”,”Off|On”,0);
ADXLevelP1 = Param(“ADX Level Parameter”,35,1,80,1);
ADXLevelCheck1 = ADXCheck1 > ADXLevelP1;
ADXFilt = IIf(ADXLevelTog,ADXLevelCheck1,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Bullish ADX: PDI > MDI Filter”);
/////////////////////////////////////////////////////////////////////////
PDITog = ParamToggle(“Bullish ADX: PDI > MDI Filter”,”Off|On”,0);
PDICheck = PDICheck1>MDICheck1;
PDIFilt = IIf(PDITog,PDICheck,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Bearish ADX: MDI > PDI Filter”);
/////////////////////////////////////////////////////////////////////////
MDITog = ParamToggle(” Bearish ADX: MDI > PDI Filter”,”Off|On”,0);
MDICheck = MDICheck1>PDICheck1;
MDIFilt = IIf(MDITog,MDICheck,1);
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“Distance From 200MA Filter”);
/////////////////////////////////////////////////////////////////////////
//https://forum.amibroker.com/t/indicator-distance-between-ma-200-and-price/17608/2
//
// Distance from MA 200 Day

//DistanceTog = ParamToggle(“Distance From 200MA Filter”,”Off|On”,0);

DistanceP1 = Param(“Distance From Period X”,200,1,300,1);

DistanceMA200 = MA(Close,DistanceP1);

Distancia = (Close-DistanceMA200)/Close * 100;

/////////////////////////////////////////////////////////////////////////
_SECTION_END();

_SECTION_BEGIN(“ATR VOLA Rank”);
/////////////////////////////////////////////////////////////////////////
Rank1 = Param(“Rank Day Period”,5,1,20,1);
Ranking = ATR(Rank1)/C;
/////////////////////////////////////////////////////////////////////////
_SECTION_END();

Filter = PriceFilt AND TOFilt AND CloseFilt AND BreakOutFilt AND YearHighFilt AND YearLowFilt AND PDIFilt AND MDIFilt AND ADXFilt AND BreakDownFilt AND AveVolFilt;// AND RecentYearHighFilt; // lists exploration results conforming to our buy criteria
AddColumn(ROCDay, “1-Day ROC”, 1.2); //
AddColumn(Turnover, “Turnover”, 1.0); //
AddColumn(Volume, “Volume”, 1.0,IIf(V>Ref(V,-1),colorGreen,colorBrown)); //
AddColumn(AveVolCalc, “Average Volume”, 1.0,IIf(V>Ref(AveVol,-1),colorGreen,colorBrown)); //

VolDiff = (Volume-AveVolCalc);
VolumePCTDiff = (Volume/AveVolCalc)*100;

//convert numeric value of NUMBER or ARRAY to string using NumToStr() function
PercentTxT= NumToStr(VolumePCTDiff,1)+”%”;
AddTextColumn(PercentTxT, “Relative Volume %”, 1.0,IIf(VolumePCTDiff>100,colorGreen,colorBrown)); //

AddColumn(Open, “Open”, 1.3,colorPlum); //
AddColumn(High, “High”, 1.3,colorBlue); //
AddColumn(Low, “Low”, 1.3,colorOrange); //
AddColumn(Close, “Close”, 1.3,IIf(C>O,colorGreen,colorRED)); //
AddColumn(Ref(Close,-1), “Yesterday Close”, 1.3,IIf(Ref(C,-1) > Ref(C,-2),colorGreen,colorRED)); //

AddColumn(ROCMonth,”Short Term Momo”,1.2);
AddColumn(ROCYear,”Long Term Momo”,1.2);

AddColumn(ADXCheck1,”ADX Value”,1.2,colorBlue);
AddColumn(PDICheck1,”PDI Value”,1.2,colorGreen);
AddColumn(MDICheck1,”MDI Value”,1.2,colorRed);
AddColumn(Ranking,”ATR VOLA Rank”,1.8,colorBlue);

AddColumn(Distancia, “Distance From 200MA”, 1.3,IIf(Distancia>O,colorGreen,colorRED)); //

AddtextColumn(FullName(), “Name”);
SetSortColumns(-4);

[TrentRothall]

That’s nice Glen, cheers.

[TrentRothall]

ASX MR = – 0.43%

Some serious fomo going on with everyone else killing it atm. Well done all!

[Nick Radge]

Quote:

Some serious fomo going on with everyone else killing it atm.

…said the guy that kicked everyones arse last year

[TrentRothall]

Yes, short term memory – i’ve been reminding myself of the good times. Probably a bit the same as Mike with the emotion scarring from my first proper DD, plus it came at the worst possible time for myself but keep on pushing that buy button… Few good months and i’ll be back.

[MichaelRodwell]

The wounds have healed… next 1000 trades coming up!

[TrentRothall]

This is the kind of heart break that come with short term trading the ASX.

Missed trade in AR9.au 51.23%. Killer

[TrentRothall]

only about 10k shares traded at 0.35

[GlenPeake]

Bugger…! That sucks Trent!! Unlucky, as there’s been good volume going through AR9 over the past few sessions.

….it’s not until you take a look at the ASX intra-day, that you see just how illiquid the ASX acutually is…. even in some of the bigger name stocks, which explains why it’s so hard to get fills and run a MOC system successfully on it.

[TrentRothall]

exactly, the 3 bar turnover is over $3.8m too so there is no way that you wouldn’t include something like that in your backtests. It would be interesting to know the % of daily volume that occurs in the opening/closing auctions

[Author]

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