- ago
Hello fellows.

Did anybody used the TrendstrenghtA Indicator? How can I use it for trading?
0
517
Solved
8 Replies

Reply

Bookmark

Sort
- ago
#1
I am answering my question.

http://www.cruset.com/systemtrader/download/trendfollowing.pdf
0
Best Answer
- ago
#2
The TrendStrength A indicator based on 19 moving averages ranging
from 20 to 200 periods in steps of 10. The system will enter the market as soon as the price is above (or below) all SMAs, i.e. the indicator value reaches +100 (or -100). It will exit the market as soon as it is in the middle of all SMAs, i.e. the indicator value crosses zero. Additionally, it will use the distance between the different moving averages as a measure for volatility and will base the position size calculations on it. So, the more the different SMAs are apart from each other the smaller will be the position size for a new trade.

Rules:
- Go Long the next day at Market (=on the Open) as soon as the Trend Strength Indicator reaches +100
- Go Short the next day at Market as soon as the Trend Strength Indicator reaches -100
- Set a StopLoss at the value of the SMA which is farthest away from the current price
- Exit the position when the Trend Strength Indicator reaches or crosses zero
0
Glitch8
 ( 11.82% )
- ago
#3
Thanks for sharing this link, I had no idea Jose Cruset wrote something like this back in 2005. He was friends with Volker back in the day and I met him several times during my various trips to Germany!
1
- ago
#4
So nice! His paper is very good, very clear and enlighten.
0
- ago
#5
Could the WL8 team share any details about how TrendStrengthA is implemented? I'm mainly interested in the following:

* Should period_end always be greater than period_start?
* Should step always be less than period_end-period_start?

Sometimes I get optimization results that don't follow those guidelines, and I'm curious how WL8 calculates the TrendStrengthA value in those cases.
0
- ago
#6
QUOTE:
* Should period_end always be greater than period_start?

Yes, "Period Start" cannot be greater than "Period End". Not sure about the 2nd question though.
1
- ago
#7
Thanks, Eugene. Do you happen to know what the WL8 code is doing in that situation? I'm wondering why optimizations often end up in that invalid configuration.
0
- ago
#8
Looking at the code, it's a user responsibility to specify what he believes is the correct Step parameter for TrendStrenghA.
1

Reply

Bookmark

Sort