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DevStop indicator need to be fixed
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DevStop indicator need to be fixed

  #21 (permalink)
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Zondor View Post
Consider the ADXVMA as a candidate for the trend filter. I think that the the stepping of the ADXVMA takes volatility into account, so might be synergistic with what we are trying to do here.

Attached screenshot shows ADXVMA superimposed on plot of current version of anaDevStop.

The ADXVMA usually flattens out and changes to ColorNeutral before a reversal.

I have had a look at the ADXVMA, but do not yet understand how it works. It starts with an approach similar to the Chande Momentum, but then takes a different road by using an EMA(EMA) instead of an SMA. So it will adapt slower to the trend and show a smoother curve.

What is the basic idea of the ADXVMA, I mean what did the author try to achieve?

I understand that it detects longer sidewards periods, by I cannot easily use those for the DeviationStop, as the latter always is supposed to be either positive or negative.

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  #22 (permalink)
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I looked at Kase's indicators in the past (just via her vids) and I was never sure why she chose the MA's as her criteria. If anything, I would have thought she would use her Permission Stochastic rules (which, as far as I could tell, is just a stoch based on her synthetic bars). I'm not even sure it would make a difference in the outcomes, but it seemed to me that it would have been a more consistent approach to use her own filter.

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Why is it every time I google something / bigmiketrading I find a page written by FATAILS... Thanks FATTY, you da man,,,, hope your genius is paying you right... btw,,,., I'm living up in BC, Canada, in the mountains, hundreds of black bears in my little valley, like your pics!! I take real ones though,,hahah...lol

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Fat Tails View Post
Thanks for the source, I saw lots of interesting things.

The original article from Cynthia Kase shows that she departed from the concept of the average true range as introduced by Welles Wilder. She probably used the Chandelier Stop, but was not satisfied with the way, how it treated volatility. So instead of using the average, she wanted to use a confidence interval based on the real distribution of volatility, taking into account the skew of that distribution.

As she did not want to be stopped out by two bar reversals, she used the average true range of a double bars. I have used an approximation for the 2-bar average true range several times by multiplying the standard average true range with the square root of 2. Cynthia Kase probably would not have liked this, as it assumes that the average true range is normally distributed, and this clearly does not hold. So let us first to try to the real thing without proxies.

The lines of the DevStop are based on 1, 2 and 3 standard deviations of volatility as measured by the n-period average true range of double-bars. The values 2 and 3 were corrected for the skew, which she determined empirically, and thus became 2.2 and 3.6

Coding this should be straight forward. The only problem that I can imagine is the use of the NinjaScript MAX and MIN methods which are used to determine the Trade High or Trade Low as Cynthia calls it. Also it should be avoided to perform all calculations with every incoming tick, when connected. Otherwise the indicator cannot be used in real time.

I will code it because the concept makes sense. You convinced me.


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Hey Fat Tails, I was wondering if it doesn't take you too long, as I haven't taken the time to learn C#, yet, if there is a quick code for an indicator measuring absolute ATR.... I'd like to take some measurements across the asset price measurement... unfortunately without the coding competence I'm visual... thanks dude....


Fat Tails View Post
Thanks for the source, I saw lots of interesting things.

The original article from Cynthia Kase shows that she departed from the concept of the average true range as introduced by Welles Wilder. She probably used the Chandelier Stop, but was not satisfied with the way, how it treated volatility. So instead of using the average, she wanted to use a confidence interval based on the real distribution of volatility, taking into account the skew of that distribution.

As she did not want to be stopped out by two bar reversals, she used the average true range of a double bars. I have used an approximation for the 2-bar average true range several times by multiplying the standard average true range with the square root of 2. Cynthia Kase probably would not have liked this, as it assumes that the average true range is normally distributed, and this clearly does not hold. So let us first to try to the real thing without proxies.

The lines of the DevStop are based on 1, 2 and 3 standard deviations of volatility as measured by the n-period average true range of double-bars. The values 2 and 3 were corrected for the skew, which she determined empirically, and thus became 2.2 and 3.6

Coding this should be straight forward. The only problem that I can imagine is the use of the NinjaScript MAX and MIN methods which are used to determine the Trade High or Trade Low as Cynthia calls it. Also it should be avoided to perform all calculations with every incoming tick, when connected. Otherwise the indicator cannot be used in real time.

I will code it because the concept makes sense. You convinced me.


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  #25 (permalink)
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syxforex View Post
Hey Fat Tails, I was wondering if it doesn't take you too long, as I haven't taken the time to learn C#, yet, if there is a quick code for an indicator measuring absolute ATR.... I'd like to take some measurements across the asset price measurement... unfortunately without the coding competence I'm visual... thanks dude....

What is absolute ATR? The average true range is always positive, so an absolute ATR would be the same as the ATR.

Or do you mean something entirely different?

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  #26 (permalink)
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DevStop or DevStop?

@Zondor: I have seen your version of the Kase DevStop indicator in the Downloads. As I had been playing around with the DevStop some months ago, I could not resist to compare the two indicators. I had never really finished my version, because I was not satisfied with the trendfilter, which is one of the weaknesses of the original concept by Cynthia Kase.

I also noticed that you used the low lag moving average LLMA, but have not yet studied the code. Also I do not exactly remember what I have coded some time ago.

Just to start, I have put the two indicators on a 15 minute chart for 6E and simply compared them. Both use the settings
5 and 15 for the fast and the slow moving average and 21 for the volatility period. There is a noticeable difference.

Maybe we can join forces and put something together which is better than the original DevStop.

The indicators can be found here, if anyone wants to test them and leave a comment.

https://futures.io/download/vip_elite_circle/1027-download.html
https://futures.io/ninjatrader-programming/10725-devstop-indicator-need-fixed-2.html#post120104


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Last edited by Fat Tails; October 27th, 2011 at 01:26 PM.
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anaDevStop looks better

Harry, I did not realize that you had coded this. My version was just a quick application of coding optimization technques to the indicator that I found on the Ninja forum, without givng too much thought to anything other than the optimization.

The plots of the anaDevStop look much more plausible and useful, and its code is very well optimized.

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Zondor View Post
Harry, I did not realize that you had coded this. My version was just a quick application of coding optimization technques to the indicator that I found on the Ninja forum, without givng too much thought to anything other than the optimization.

The plots of the anaDevStop look much more plausible and useful, and its code is very well optimized.

Richard, thanks for your friendly words, I am clever enough to know that the indicator is not optimized.

It was just a result of playing around a little with the concept. Also it is certainly NOT a correct implementation of the original DevStop. The idea of that indicator was to add a confidence interval to the standard deviation, so it is based on statistical analysis. There is some extra effort going into this, which also uses the CPU, and I am not sure that it is worth the extra effort.

By the way, if any indicator is to be optimized, the most critical point is to adapt it to running on real-time data. This applies to all channels and bands. Let me just take an example:

Bollinger Bands were originally applied to daily data, and the chartist calculated them after the close. This concept is certainly not made to be used on real-time data. If you set the indicator to CalculateOnBarClose = false , it will recalculate the standard deviation with every incoming tick, which is nonsense.

The Bollinger Band indicator - and this basically applies to all channel indicators - should therefore be modified in a way that it does not use current price for its calculation. Still I want to use the current value to trigger visual or sound alert, so I do not want to set the entire indicator to CalculateOnBarClose = true, but just the part that calculates the SMA and the bands. So it would be ideal to displace the Bollinger by one bar forward, or in case you want to add alerts, just to perform all calculations for the previous bar, when the first tick of the current bar is detected.

I have also used this concept now for multi-timeframe indicators, in particular the VWAP. Load a second bar series of 1-minute data and only let the indicator calculate once every minute, so it will not create any CPU load during any news release. The 1-min resolution is more important that recalculating it with every incoming tick.

Also the use of current price for recalculating a channel creates a feedback loop, price approaches the channel and the channel moves away from price, what should this be good for? I would prefer a stable channel to have a better feeling when price will hit it.

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Fat Tails View Post
Also it is certainly NOT a correct implementation of the original DevStop.

Just a note -- Kase has contacted me recently requesting that indicators not use their name. I'm still trying to work things out with them, but if this indicator is not a "correct implementation" then I would call it something else going forward please.

Mike

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Big Mike View Post
Just a note -- Kase has contacted me recently requesting that indicators not use their name. I'm still trying to work things out with them, but if this indicator is not a "correct implementation" then I would call it something else going forward please.

Mike

I understand, if Cynthia Kase does not want if we use her name, that is "Kase". But would she disagree, if we use the name DeviationStop? After all she just modified the Chandelier Stop by adding standard deviation bands. And then to who goes the credit?

-> to Welles Wilder who came up with the Average True Range
-> to Charles LeBeau who promoted the Chandelier Stop
-> to Cynthia Kase who added a Standard Deviation Band to the Chandelier Stop

This is all a bit of simple high school mathematics and some people just overestimate their own contributions. In German I would call them "Kleingeiste", translated ot English "small minds", but not fully reflecting the German word, as "Geist" can also be interpreted as "ghost".

Imagine Welles Wilder coming round the corner and claiming ownership for the RSI, ATR and the ADX. Maybe I will then get a patent for a specific use of the standard deviation and not allow people to use it anymore.

Cynthia Kase has repeatedly published the formula for the DevStop. If she does not want other people to use it, she should not have published it. The weakness of the indicator is the trendfilter that it uses. It is miserable, so in the end I will produce something different and call it a different name.

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