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August 2014 Stocks and Commodities Traders Tips


Expansions & Contractions (substitute for The Quotient Transform)

AIQ Version:

Original article by Dirk Vandycke
AIQ Code by Richard Denning

For this month’s Tips, I substituted the article by Dirk Vandycke, “Expansions & Contractions” for the article by John Ehlers. The code for the substituted article can be found below.

Figure 1 shows the Expansive Urge indicator (EU) on a chart of Rite Aid (RAD).

Captions:
Figure 1 – Expansive Urge indicator (EU) on a chart of Rite Aid (RAD).

EDS Code:
Expan & Contract.EDS
(right click and choose Save As)


 

The Quotient Transform

Traders Studio Version :

Original article by John F. Ehlers
Traders Studio Code by Richard Denning

The following code files are contained in the download below:

  • Function EHLERS_NORMROOF – returns the normalized roofing filter for cycles less than the maxBarsLen input
  • Function EHLERS_SUPSMO – returns a smoothed value based on an array series input and a smoothing length (LPPeriod)
  • Indicator plot – plots two smoothed normalized roofing values based on the Kslow & Kfast inputs plus a zero line
  • System RSI_EXTENDED – a trading system suggested by the author using a fast and a slow smoothing of the indicator

The system has the following rules:

  • Buy next bar at market open when the slow line crosses above 0.
  • Exit the long position next bar at market open when the fast line crosses below zero.
  • Reverse rules for shorting (not coded).

I ran the system on the SP contract using Pinnacle Data Systems data. Figure 1 shows the indicator with Kslow set to 0.95 and Kfast set to 0.80. Figure 2 shows the equity curve trading one contract of the SP with the same parameter set for the period 4/21/1982 through 5/30/2014.

Captions:
Figure 1 – Indicator plot on a chart of the SP contract.

Figure 2 – Equity curve trading one SP contract per trade, long only, for the period April 1982 through May 2014.

Traders Studio Code:
EHLERS_QUOTIENT_TRANS.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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