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Slope / rate of change
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Slope / rate of change

  #1 (permalink)
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Slope / rate of change

Hello,

I'm having trouble getting any ROC of slope indicator working with getting the slope of my indicator...the error messages indicate that the problem is my indicator prints as a double, so ROC won't work.

Is it possible to code an alternative ROC without using the bars code in the built in version in NT?

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patbateman View Post
Hello,

I'm having trouble getting any ROC of slope indicator working with getting the slope of my indicator...the error messages indicate that the problem is my indicator prints as a double, so ROC won't work.

Is it possible to code an alternative ROC without using the bars code in the built in version in NT?

@patbateman: I simply do not understand your question.

Slope is a visual representation of the momentum or the rate of change. The concept of slope only makes sense, if you use fixed scaling. In that case slope is near-identical with momentum or rate of change.

Could you post the indicators which you have tried and explain what you are doing?

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patbateman View Post
getting the slope of my indicator

If you're referring to the slope of the price trend, I've heard that Gann Analysis covers that using Gann Angles. I've been looking into that, but its rather complicated. Gann Analysis is a trading system, not just an indicator.

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Fat Tails View Post
@patbateman: I simply do not understand your question.

Slope is a visual representation of the momentum or the rate of change. The concept of slope only makes sense, if you use fixed scaling. In that case slope is near-identical with momentum or rate of change.

Could you post the indicators which you have tried and explain what you are doing?

I am sort of a lurker here, but I'll comment. Fat Tails has discussed this before.

There's a good article on the scaling issue here : Fin Articles: William Eckhardt: The C-Test

It actually discusses slope, which they call velocity in this case. That comes from physics essentially, velocity is the rate of change of position. Its related to basic calculus. I don't believe the example they have even in the article is good for fixed scaling, but I'd have to think about it and would rather ask a question first.

What is ROC here? To us math dudes we would think "rate of convergence" or for machine learning "receiver operating characteristic".


Last edited by Antisyzygy; July 11th, 2012 at 09:04 PM.
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Antisyzygy View Post
I am sort of a lurker here, but I'll comment. Fat Tails has discussed this before.

There's a good article on the scaling issue here : Fin Articles: William Eckhardt: The C-Test

It actually discusses slope, which they call velocity in this case. That comes from physics essentially, velocity is the rate of change of position. Its related to basic calculus. I don't believe the example they have even in the article is good for fixed scaling, but I'd have to think about it and would rather ask a question first.

What is ROC here? To us math dudes we would think "rate of convergence" or for machine learning "receiver operating characteristic".

Just realized I'm an idiot after viewing this post for a second time. ROC = Rate of Change. Yes, as Fat Tails asked, could you explain more?

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Antisyzygy View Post
There's a good article on the scaling issue here : Fin Articles: William Eckhardt: The C-Test

It actually discusses slope, which they call velocity in this case. That comes from physics essentially, velocity is the rate of change of position. Its related to basic calculus. I don't believe the example they have even in the article is good for fixed scaling, but I'd have to think about it and would rather ask a question first.

I don't think that indicator codes for most trading platforms can perform advanced mathmatical calculations; although, I have heard that "Quants" have programmed their own platforms to do this. This far exceeds the technical knowledge of most traders and they are considered to be among the market makers. If you are a Quant, please let us know about your platform and its codes.

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winsor View Post
I don't think that indicator codes for most trading platforms can perform advanced mathmatical calculations; although, I have heard that "Quants" have programmed their own platforms to do this. This far exceeds the technical knowledge of most traders and they are considered to be among the market makers. If you are a Quant, please let us know about your platform and its codes.

Most quant jobs I have looked into require C++ or Matlab knowledge. Matlab is some great but expensive software. I've used it a lot while I was in college but its basically not affordable for the average person on their own. The only way to get it without paying thousands of dollars is to get a student version or to pirate it, and I wouldn't advocate that. I'd imagine these people use their own internal tools for a lot of what they do, but Matlab is a great environment for data analysis and prototyping.

That being said, various platforms like NinjaTrader give you access to full C# so you can do some pretty complicated stuff. You can also import various numerical mathematics libraries. I believe other platforms that aren't on the easylanguage train are similar.

The slope can be done, its just that Fat Tails mentioned that this calculation doesn't make sense without fixed scale. It doesn't pass something called a C-test, or Coherency test. I.e. the scale of the time series will affect the calculation. I have made a C-test indicator in NinjaTrader that lets me perform a C-test on any indicator (you put the indicator name in as a string) just because its much easier than doing the algebra. So far the dimensionless PFE passes, the Stochastic passes, etc. Things like MACD, Slope, etc. do not pass. Those are the easy ones to check just in their formulas but I made this C-test indicator as a quick test for any arbitrary indicator.

Here is a Slope indicator, it doesn't pass the C-test. The idea is to have the dotted line and the solid line overlap. If they do, then the indicator doesn't get biased base on its scale.

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If anyone wants the C-test indicator I may share it, PM me.


Last edited by Antisyzygy; July 15th, 2012 at 02:00 PM. Reason: corrected factual info
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patbateman View Post
Hello,

I'm having trouble getting any ROC of slope indicator working with getting the slope of my indicator...the error messages indicate that the problem is my indicator prints as a double, so ROC won't work.

Is it possible to code an alternative ROC without using the bars code in the built in version in NT?

Here is a collection of "Angle/Slope" information:
Concept of Slope/Angle in indicators - Big Mike's Trading Forum

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LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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Hello everyone,

What I mean is very simple - I try to get the slope (current bar minus previous bar on a time chart) of an indicator, but it won't work. I'm not asking about the usefulness of slopes, just why Ninjatrader and dataseries won't do it.

Reread this if you are still confused.

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Last edited by patbateman; July 22nd, 2012 at 07:01 PM.
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patbateman View Post
Hello everyone,

What I mean is very simple - I try to get the slope (current bar minus previous bar on a time chart) of an indicator, but it won't work. I'm not asking about the usefulness of slopes, just why Ninjatrader and dataseries won't do it.

Reread this if you are still confused.


We are not confused, but you are not giving correct definitions. A slope is a geometrical concept, which can be expressed via an angle.

What you can calculate, is the value of your indicator of the current bar minus the indicator value for the previous bar. This is called the momentum over one period.

You just need to apply the momentum indicator, use your indicator as input series and set the period to 1.


Last edited by Fat Tails; July 22nd, 2012 at 07:13 PM.
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