Objective: Display Daily indicator values on an Intraday chart. Test with a simple n-period moving average. This indicator is a move towards my goal to merge indicators from multiple timeframes on an intraday chart to spot opportunities while day trading.
Daily MA on 15 Min Intraday Chart
Daily MA on Daily Chart
Both charts display the Dialy MA(3) in blue and MA(10) in red based on the Close of the previous session.
The Daily chart indicators have a displacement of -1 which basically shifts the plot 1 period to the right. This is necessary in order to match the plot values on the intraday chart. The Daily MA generally includes the close of the current bar in the calculation – but we don’t have this luxury on an intraday chart since we don’t know what the close of the current session will be. So, instead, our calculation begins with the close of the previous session.
The source code for this simple proof is below:
This concept could be modified to plot any daily indicator. Please let me know if you have a suggestion.
Posted in Indicators.
Tagged with combined intervals, Indicators, intraday, moving averages.
By tsclausing
– July 30, 2009
Objective: Test the definition of a trend as “Higher Highs and Higher Lows [or] Lower Highs and Lower Lows” by painting bars in a chart depending on whether the price is making new n-period highs or lows.
The image above paints blue bars after a new 20 period high and red bars after a new 20 period low. It appears that this definition of a trend holds up. I have found that combining this indication of opportunity with the direction of a moving average for confirmation can produce more profitable backtesting results on daily and weekly bars than simple moving average crossover strategies.
TradeStation EasyLanguage:
if H is >= the Highest(H,length) then color = Blue;
if L is <= the Lowest(L,length) then color = Red;
PlotPaintBar(H, L, “trend”, color);
Posted in Indicators.
Tagged with Indicators, trend following.
By tsclausing
– July 22, 2009
Objective: Create an intraday moving average indicator that calculates for the current session only. Have the option to turn on “compensation” which will scale the MA from 2 bars to its defined length.
The image shows a 10 period intraday MA with compensation turned on. The indicator starts at bar 2 with the MA(2) and stops compensating at bar 10, MA(10).
The concept above interests me because intraday Moving Averages appear worthless at the start of the session, when prices are most likely to gap and experience the most volatility. This is an attempt to compensate for that weakness.
Posted in Indicators.
Tagged with Indicators, intraday, moving averages.
By tsclausing
– July 22, 2009
It’s Day 1. I have decided to begin by creating the first draft of my personal rules for discovering trading strategies:
- a. Write a statement describing the strategy objectives including the target timeframe.
b. Strategies are to be based on logic and group psychology.
- a. Define what constitutes the presence of opportunity, or lack thereof.
b. Only enter positions in the direction of greatest probability, or do not participate.
- a. Define rules for exiting losing positions.
b. Define rules for taking profits.
- Write a summary of lessons learned during the creation & testing of the strategy.
This is not meant to be a trading plan or business plan. It is the foundation that I plan to build on – but would be happy to change if influenced by a more profitable opinion 
“If somebody had told me my method would not work I nevertheless would have tried it out to make sure for myself, for when I am wrong only one thing convinces me of it, and that is, to lose money. And I am only right when I make money.” – Reminiscences of a Stock Operator
Posted in Rules.
By tsclausing
– July 21, 2009
