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Anyone tried FVE indicator? On Ninjatrader?
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Anyone tried FVE indicator? On Ninjatrader?

  #11 (permalink)
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wldman View Post
Going to read that article first then study the thread a bit BUT, I have been looking for a clean volume based indicator that works in my evaluative metric. BTW @Fat Tails the item named anaFVED, is that D for daily?

Those three indicators were just necessary to find an efficient way to code them.

- anaFVED is the original (incoherent) indicator, which should only be applied to daily data
- anaFVE1 is a translation of Markos Katsanos (coherent) volatility adjusted version of the FVE
- anaFVE2 is a simplified (coherent) version of anaFVE1

I will publish the final indicator in the download section of the forum. It will be called anaFVE. So far I have made a few more changes:

- following the idea by @cory I have added an option to modify the cutoff coefficient
- I have also added an option to select from different moving averages for the volume MA
- I have changed the default values for the overbought and oversold lines to +50 and -50

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  #12 (permalink)
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Fat Tails View Post
Eckhardt Coherency Test

For the c-test by William Eckhardt, please have a look at the may 1994 issue of Technical Analysis of Stocks and Commodities. In that issue he shows that the PFE (polarized fractal efficiency) does not pass the c-test.

An indicator which passes Eckhardt's c-test produces similar values across all timeframes. Good examples for indicators that pass the c-test are the Stochastics, the RSI, the CCI, the Aroon Oscillator or the Kaufman Efficiency. Examples for indicators that do not pass the test are the MACD, Momentum or the ATR.

There is an indicator available on the NinjaTrader forum that allows to perform a coherency test for all NinjaTrader indicators. Unfortunately, that indicator is flawed. A modified version with the apparent bug removed can be found below. Apply the c-test indicator to your chart, then select the indicator string as needed, and it will tell you whether the indicator passes the test.

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Hi @Fat Tails,
I just applied this to the TSI4JeffFromTMFT with the settings of Short; 7, Long; 10, Signal; 5 and it did not pass. I really like this indicator. What can I do to make it right/pass? Anything?
here is a screencast link; http://screencast.com/t/BthxlVya6iFo


Last edited by Big Mike; January 6th, 2014 at 05:10 PM. Reason: removed elite only attachment, link to it instead
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  #13 (permalink)
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TSI indicator fails more than the C test!


One thing I can tell you about that TSIJeffTMTF is that the coding is atrociously wasteful of cpu resources. And those jhl indicators that it uses incorporate elaborate attempts to conserve RAM, which is generally abundant, with no thought given to conserving cpu resources, which are limited. REALLY BAD coding overall. However it could easily be fixed. By me, anyway.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
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  #14 (permalink)
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Zondor View Post
One thing I can tell you about that TSIJeffTMTF is that the coding is atrociously wasteful of cpu resources. And those jhl indicators that it uses incorporate elaborate attempts to conserve RAM, which is generally abundant, with no thought given to conserving cpu resources, which are limited. REALLY BAD coding overall.

Well that just sucks.

I'm sure you could do it some serious justice. That would be really great and much appreciated if you would fix it.


Last edited by dnkhoward2; January 6th, 2014 at 05:10 PM.
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  #15 (permalink)
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what happened to Jeff Castile?

legendary status well deserved

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  #16 (permalink)
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dnkhoward2 View Post
Hi @Fat Tails,
I just applied this to the TSI4JeffFromTMFT with the settings of Short; 7, Long; 10, Signal; 5 and it did not pass. I really like this indicator. What can I do to make it right/pass? Anything?
here is a screencast link; TSI - dnkhoward2's library

@dnkhoward2: I have neither TSI4JeffFromTMFT nor RJay's RangeNoGap bars installed.

If you take a BrrrPfftHuiCodedDuringAFullMoonWhileTheWolfWasHowling and apply it to GapUpOrDownSuperBarsThatReveilAllTradingSecrets, then it is likely that the c-test will fail.

A standard TSI passes the test on minute bars, and even the famous TSIPigletNoLipstick indicator coded by @Zondor passes the test, when applied to UniRenkoT1R7O3 charts.

But maybe we should create a separate thread for the coherency test and discuss it there!

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Last edited by Fat Tails; January 7th, 2014 at 07:17 AM.
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  #17 (permalink)
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Fat Tails View Post
@dnkhoward2: I have neither TSI4JeffFromTMFT nor RJay's RangeNoGap bars installed.

If you take a BrrrPfftHuiCodedDuringAFullMoonWhileTheWolfWasHowling and apply it to GapUpOrDownSuperBarsThatReveilAllTradingSecrets, then it is likely that the c-test will fail.

A standard TSI passes the test on minute bars, and even the famous TSIPigletNoLipstick indicator coded by @Zondor passes the test, when applied to UniRenkoT1R7O3 charts.

But maybe we should create a separate thread for the coherency test and discuss it here!

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Thanks? Glad you got a chuckle from my question and chart. It works for me. It's always a crapshoot asking you something. Lesson learned.

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Porcine cosmetiiques

All of my piglets come with lipstick. <TS sigh....>

However, I do not know, nor have ever, used the TSI indicator for anything.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
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On Bill Eckhardt...

of course with all due respect, my opinion.

Eckhardt is a legendary trend guy. He was in part responsible, I believe, for the inception of the now famous "turtles" and the turtle method. All of that is well documented and available to anyone interested in doing the work.

I believe in the second Schwager book of wizards that Eckhardt's shortest typical trade length was 6 days. His group runs like 17-20 strategies with the shortest trades typically held 6 days. Mr. Eckhardt also operates as a fund manager...fund managers carry big positions generally directional in nature but sometimes dictated by volatility, premium, volume etc. So, what Eckhardt does is manage money using directional (I believe trend based) strategies. If that is what you do, hold six days or longer then you may want to attempt to "do what Bill does" I'd view that practice as "investing" compared to "trading". Trading, pure trading that is, would be the near simultaneous execution across products or products, strike prices and expiration dates extracting an edge while maintaining a "neutral" position. Pure trading is very difficult these days for obvious and numerous reasons...the two biggies being HFT and financial/regulatory barriers to entry.

I'm pretty sure Mr. Eckhardt, a precise and talented math guy, would view how I "trade" as pure folly...betting on the noise at best. Of course, not being a talented (as he) math guy, the only empiricism that I could offer is my account statement. Fact is we can all make money in the markets and we have to be lucky and good, as well as disciplined to do it over time.

So the point here is that it is important to understand context when studying what has worked for others. Some of you guys may chime in as well but I do not think there is anything more important to sustained profitable trading as continuous study, diligent hard work, extreme patience, and rock solid discipline.

One of Eckhardts recent additions was this (his) concept of measuring erraticness in a market. When present, allocation switches to strategies designed to capitalize while other strategies basically shut down. I bring up erraticness because as a valid concept it becomes random over various timeframes, as does trend. So the broader our knowledge base the better equipped we are to succeed. That said we also need to be specific enough in our approach to find our niche, recognize our best set ups and really manage the exits. This is the hardest easy job in the world guys. Trading is not glamorous, it is rather a hellish job to all but those who are very good at it. Big money profits, yes that can bring a glamorous lifestyle...but reckless pursuit, is guaranteed ruin.

Okay off the soap box, I'm switching to tea.

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  #20 (permalink)
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Back to topic


Want to come back to topic and away from the Eckhardt Coherency Test .....


Below attached is the final (simplified) version of the FVE.

It also has the option added to change the cutoff coefficient as implemented by @cory.


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