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Trend Thrust Indicator (TTI)
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Trend Thrust Indicator (TTI)

  #1 (permalink)
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Trend Thrust Indicator (TTI)

Hello,

I was wondering if anyone has coded the Trend Thrust Indicator (TTI) bu Buff Pelz Dormeier for NinjaTrader. The indicator is described in his book "Investing with Volume Analysis" and in an article in the August 2011 edition of TAS&C. The code has been provided in easyLanguage (attached) which would be very easy to translate in C# by a good programmer (which I'm not...)

Thanks

Attached Files
Register to download File Type: txt TTI easyLanguage code.txt (1.2 KB, 82 views)
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  #2 (permalink)
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This indicator is also called the "Buff Spread" or "Buff Spreader"
It was written up in the August issue of S&C.

It is the bottom indicator on the attached image
FWIW

Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
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Trend Thrust Indicator (TTI)-dormeier_fig1.gif  
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Virtuose1 View Post
Hello,

I was wondering if anyone has coded the Trend Thrust Indicator (TTI) bu Buff Pelz Dormeier for NinjaTrader. The indicator is described in his book "Investing with Volume Analysis" and in an article in the August 2011 edition of TAS&C. The code has been provided in easyLanguage (attached) which would be very easy to translate in C# by a good programmer (which I'm not...)

Thanks

The Easy Language code was indeed provided by Dormeier and can be retrieved from technical.traders.com.

The code for the Trend Thrust Indicator accesses an additional function BD.VWMA, which you did not include with your file. The full code is shown below.


 
Code
inputs: price(close), Fastlen(12), Slowlen(26), W(9), volToday(true);
variables: fastavg(0), slowavg(0), sprd(0), avgsprd(0), sLOW(0), vavg(0), FAST(0),
           Vfactor(0), IVfactor(0), m(0), sprdiff(0), mcad(0), VD(0);
fastavg = bd.vwma(Price, FastLen, volToday);
slowavg = bd.vwma(Price, slowLen, volToday);
m = xaverage(close, fastlen) - xaverage(close, slowlen);

if xaverage(volume,slowlen) <> 0 then 
	Vfactor = (bd.vwma(volume,fastlen,voltoday)/xaverage(volume,slowlen))*10;
if xaverage(volume,fastlen) <> 0 then 
	IVfactor = (bd.vwma(volume,slowlen,voltoday)/xaverage(volume,fastlen))*10;
if ivfactor <> 0 and vfactor <> 0 then 
	FAST = FASTAVG/(VFACTOR/IVFACTOR);
if ivfactor <> 0 and vfactor <> 0 then 
	SLOW = (IVFACTOR/VFACTOR)* SLOWavg;

sprd = (fast - slow);
Vavg = BD.VWMA (vfactor,fastlen,voltoday)/xaverage (ivfactor,slowlen) *W;

avgsprd = round (bd.vwma(sprd,vavg,voltoday),3);

sprdiff = (sprd - avgsprd);
mcad = xaverage((m),(w));

vd = sprdiff-mcad;

plot1 (sprd, "sprd");
plot2 (avgsprd, "avg sprd");
plot3 (vd, "Buff diff");

VWMA function (volume-weighted simple moving average)

[LegacyColorValue = true];

{***************************************************************************************
// fileName: BD.VWMA
// Logic by Buff Dormeier
// Programming code written by:
     Fred G. Schutzman, CMT
     27 Briarwood Drive
     New City, NY 10956
     Tel: (914) 634-2978
     Fax: (914) 634-1890
     Email: FredSchutzman@attglobal.net
     Internet: www.fredschutzman.com
// Function returns a Volume Weighted SMA
// futures volume is always reported 1-day late
// therefore, this function has the ability to calculate a MA with an offset of 1
// Date last changed: January 30, 2000

****************************************************************************************}

Inputs: price(numericSeries),   { data to be averaged; e.g. close }
        length(numericSimple),  { length of moving average }
        volToday(trueFalse);    { true = volume is available for today (e.g. stocks)
                                  false = volume is NOT available for today (e.g.futures) }

Vars: beg(0),		{ days back to begin working with for average }
      sumOfVol(0),	{ sum of volume }
      vwPx(0),		{ volume weighted price }
      vwMa(0),		{ volume weighted moving average }
      counter(0);	{ counter }

{ initialize/reset first 4 variables }
if currentBar = 1 then begin
	if volToday = true then
		beg = 0
	else if volToday = false then
		beg = 1;
end;
sumOfVol = 0;
vwPx = 0;
vwMa = 0;

{ update sumOfVol variable on each bar }
for counter = beg to (length-1+beg) begin
	sumOfVol = sumOfVol + volume[counter];
end;

{ update vwPx and vwMa variables on each bar }
for counter = beg to (length-1+beg) begin
	if sumOfVol > 0 then
		vwPx = price[counter] * volume[counter] / sumOfVol;
	vwMa = vwMa + vwPx;
end;

{ return the VWMA if enough data is present, else return 0 }
if length >= 1 and volume[length-1+beg] > 0 then
	BD.VWMA = vwMa
else
	BD.VWMA = 0;

As this is an authorized version of the TTI, it should be easy to translate it to NinjaTrader.

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I am a bit annoyed by the Easy Language code that has been published for the TTI.

There are a few points that I do not yet understand.


(1) The calculation of FAST and SLOW is peculiar.
 
Code
FAST = FAST = FASTAVG/(VFACTOR/IVFACTOR);

SLOW = (IVFACTOR/VFACTOR)* SLOWavg;

Multiplying by IVFACTOR/VFACTOR should be the same as dividing by VFACTOR/IVFACTOR. The way the code is written does not make sense.

(2) Vavg is calculated as the volume weighted moving average of the DataSeries vfactor, which itself is a ratio of the values of two moving averages. vavg is then used as an input variable for the length of a moving average. This would require an integer, however vavg is a ratio of type double.

The code is not really clean, but shows quite a degree of (voluntary?) negligence.

Any comments appreciated.

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The TTI cannot be used with intraday data

The Trend Thrust Indicator has been clearly developed for daily data and should not be used with full session intraday data. The reason is its heavy reliance on volume data. Intraday volume data is pretty low during the night session and shows a specific smile during the regular session with higher volume during the the initial and the last hour of trading. The indicator cannot cope with this volume distribution. It might be worth developing a gapless version for use with the regular session.

In such a case it makes sense to replace volume with range. For use with intraday data it is possible to try the following approach:

-> calculate a MACD from a range weighted moving average
-> reinforce dependence on range by using a multiplier
-> compare outcome to traditional MACD

Meanwhile, I have a working version of the original TTI, but it should only be applied to daily data or with some restrictions (holidays need to be eliminated) to regular session data, see charts below.


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Thanks a lot Fat Tails. Would you mind sharing your version of the TTI indicator ?

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Virtuose1 View Post
Thanks a lot Fat Tails. Would you mind sharing your version of the TTI indicator ?

Of course I will share it, but first I have to review it again. I am not satisfied with the result, as there are a few problems, such as

-> inconsistencies in the code (see post # 4)
-> inconsistencies in the concept (why is the VWMA not compared to a SMA but to an EMA?)
-> problems with application of the indicator to intraday data

I first want to understand the concept and the problems related to the application of the concept, before I release an indicator to the public.

Nobody else has made a comment on the code so far, so I am currently discussing the matter with myself.

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Ha...

Well then @Fat Tails you are in great company. I miss chatting. Perhaps we schedule a skype some time. Dan

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Fat Tails View Post
Of course I will share it, but first I have to review it again. I am not satisfied with the result, as there are a few problems, such as

-> inconsistencies in the code (see post # 4)
-> inconsistencies in the concept (why is the VWMA not compared to a SMA but to an EMA?)
-> problems with application of the indicator to intraday data

I first want to understand the concept and the problems related to the application of the concept, before I release an indicator to the public.

Nobody else has made a comment on the code so far, so I am currently discussing the matter with myself.

Re: "inconsistencies in the code (see post # 4)": I think the formula are mathematically accurate. It is just a bit weird that the author didn't use a consistent way to document them. He should have used:
FAST = FASTAVG/(VFACTOR/IVFACTOR);
SLOW = SLOWAVG/(VFACTOR/IVFACTOR);

Re: "Inconsistencies in the concept": I looked at the code again but sorry, can't find the EMA comparison you're referring to.

Re: "Intraday": I see your point and agree with the potential limitations of using this indicator on intraday data because of the typical patterns (e.g.: low volume over lunch time). I could not find reference in Buff's book about using it for intraday. Having said that, I think that it might still work assuming we use either very long or very short periods as parameters for the Slow/Fast.

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Virtuose1 View Post
Re: "Inconsistencies in the concept": I looked at the code again but sorry, can't find the EMA comparison you're referring to.

If you look at the definition of VFactor and IVFactor

 
Code
Vfactor = (bd.vwma(volume,fastlen,voltoday)/xaverage(volume,slowlen))*10;
IVfactor = (bd.vwma(volume,slowlen,voltoday)/xaverage(volume,fastlen))*10;


you will note that in both formulae the enumerator is a volume-weighted moving average VWMA, while the denominator is an exponential moving average. As the VWMA is based on a simple moving average, a simple moving average should be used for the denominator as well. Compared to the simple moving average, the exponential moving average gives more weight to the more recent data points, which sort of intermingles with the volume weighting of the VWMA.

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