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Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
Is there an existing indicator that counts bar overlap? What I'm looking for is an indicator that counts the number of bars out of the previous n bars that the current bar overlaps.
I have seen something similar, but I cannot find it.
As it was faster to code than to search for it, I have recoded it. I think it best shows as a histogram. It looks quite usful, so I do not regret the few minutes that I have spent to code it.
I have added a filter to identify bars with an overlap that are large than the average overlap plus two standard deviations. The multiplier and lookback for the standard deviation can be adjusted.
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
Wow, ask and you shall receive! Thanks, Harry. I thought it would be easy to code but for me that probably would have been a frustrating 8 hour torture session.
Everyone talks about avoiding chop, and chop is nothing but a lot of bar overlap. It's easy to see but I always thought it might be helpful to quantify the overlap. Thanks for the help and the quick response. Hope everything is going well for you, I just walked the dog and it is 9 degrees F (-13 C). I want to be somewhere WARM!
"You don't need a weatherman to know which way the wind blows..."
I am still not satisfied with the first approach. I think that there is a conceptual problem.
If you have a wide ranging bar - which in fact ends the chop period - it is likely to overlap with more of the preceding bars than the prior narrow range bars. The breakout bar would therefore obtain the highest chop reading, and only the bar after the breakout bar would show little overlap. This means that the original indicator is lagging unnecessarily by 1 bar.
I have therefore tried to modify the concept in several ways.
(1) I am looking at which fraction of the last bar is covered by previous bars. The results are weighted in a way that the prior bar has a higher weight than the prior2 bar, the prior2 bar a higher weight than the prior 3 bar.
(2) Then I have added a simple SMA as a signal line.
It is still an experimental indicator. The chart below shows that
-> when the bars are exceeding the signal line, it is getting choppy
-> when the bars stay below the signal line, price is trending
I think it is possible to transform this into a MACD type indicator, which indicates chop and trending conditions via an EMA or a SMA cross.
HMA, does that mean a Holt or Hull moving average? :becky:
No, we are definitely not back, where the thread started. We have come up with something, I have checked 3 different versions of the indicator, out of which 2 were definitely false. And I …
It is still experimental, but @Jura has obtained the same results with a TradeStation version. Could be better than bar overlap.
When you are quoting someone else, do not type your own text as if it were theirs, as you did here:
This has your text, not Fat Tail's, in the quote box. Quote is only for quoting another person.
Obviously you meant no harm and just misunderstood, but please don't type into the quote you are displaying. When you use the Quote key, it displays the quoted text in the text editor within tags that say "Quote".
Just leave the quoted text as it is (you can shorten it for clarity but don't add to it) and type your text outside the Quote area.
Thanks.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
