Hello all. Ive been working on an idea from Calculus to predict pivot points and local extrema (min/max). Its in the early stages, so consider this indicator an early prototype. I realize its sort of a naive approach currently, however all technical analysis has gray areas mathematically. Much of technical analysis was developed based on observations, and trial and error, rather than a rigorous mathematical approach. To find out more about this please refer to JSTOR: Naive Trading Rules in Financial Markets .

This indicator uses finite difference methods to calculate derivatives. Its a simple technique in numerical analysis that comes from Taylor's expansions. Eventually I will incorporate much better approximations to the derivative as well as include smoothing, ect., ect. I have to go through some of the math to figure out some things.

At any rate, whip out your calculus text books if you want to understand derivatives (the math ones) more than my basic explanation.

The first derivative is the yellow line. It represents a rate of change of price, or "velocity" if you will. The green line is the rate of change of the rate of change of price, which can be thought of as "acceleration". Whenever the "velocity" hits zero, this corresponds to a local minimum/maximum (extrema) similar to if a car has zero speed it is not changing its position. To see whether its a minimum or a maximum you must look at the second derivative.

Rules :

If yellow line is zero and green line is positive, you have a local minimum

If yellow line is zero and green line is negative, you have a local maximum

Ive also noticed you can use it to predict pivots (areas where the price reverses) by peaks of the first derivative.

The min/max criteria are taken directly from a undergraduate calculus text book. I dont want to get into whether or not the function that represents price is differentiable or not, nor convex optimization theory, nor any other higher level of mathematical complexity. Just feel free to use this indicator and comment on any patterns or uses you find for it.

I have updated my differential indicator to use more accurate derivative calculations. Its calculation for the previous and current bar is less accurate but it gives you an idea of what to expect. The error is still relatively low, but in the interest of full disclosure I wanted to say so. It had to be less accurate because we do not know the prices in the future. This being so, this indicator serves as a great confirmation. To use it as a leading indicator, If you see the first derivative approach zero its time to enter/exit a trade. The direction depends on the green line and whether or not the market is cycling, trending, or going through its elliot waves (see previous post for more information).

Your observation in post #1341 about the HiLowChannel-Juriksmooth was excellent and resulted in my running it on my M5 chart with great results and like you say it has the excellent feature of keeping one in a run for longer when you start thinking of exiting the trade.

Post #1345 re BB MACD-zerolag: excellent indicator and I have run it from day 1 comparing the 0.5 and 1.0 deviations and I must say that the 0,5 seems "better" on my charts at least.

What I would like to know from you though ( and you will see this on the attached screen-print) is:

................ when I compare the Zero-lag to the normal BB MACD, it sometimes signals a "false" signal but it is probably due to the non-lag feature, right? You can see those areas where the line is "switched on" as opposed to the long vertical-lines which indicated entries.

It may therefore be prudent to allow for a second dot to appear for confirmation of the change in direction.

Also, in this short this morning, it clearly shows how the ordinary MACD (first sub-window) outperforms the non-lag in the retrace situation; having said that the non-lag gives one an earlier indication of directional change which is easily identified with the brilliant SchaffTrendLine indicator.

uses 1 future value in the calculation. Is that on purpose?

I am aware that the current bar calculation does not use those kind of values but as soon as the current bar becomes a "past" bar, it is recalculated and it then uses those future values it had no way to know about. For a comparison, the lower on the picture is the one that does not use any of the future bars (so that is what it is in run-time) but uses the calculation you use for the current bar.

As you can see, difference is significant, and if one uses the zero crosses of the current (or even the first 2 closed bars) as signals, number of false signals is going to be significant

regards

mladen

antisyzygy: I have updated my differential indicator to use more accurate derivative calculations. Its calculation for the previous and current bar is less accurate but it gives you an idea of what to expect. The error is still relatively low, but in the interest of full disclosure I wanted to say so. It had to be less accurate because we do not know the prices in the future. This being so, this indicator serves as a great confirmation. To use it as a leading indicator, If you see the first derivative approach zero its time to enter/exit a trade. The direction depends on the green line and whether or not the market is cycling, trending, or going through its elliot waves (see previous post for more information).

mladen: While doing some code corrections, made this one too

It is a variation of the Gann hi low activator (or SSL channel as I named it in one moment, only it uses smoothed prices)

Compared to the SSL channel seems to be giving much less false signals (or signals when the prices are ranging - it is less sensitive to ranging, and it seems to be quite good in finding trends) The upper is the SSL channel that was used as a model for the new indicator and the lower is the new one.

Looks rather interesting, doesn't it :):)

Mladen

I am wondering if there could be two changes to this. The first would be a alert on trend change, and the second would be a MTF function. I have found this indy very good!

Nice setup...working with something similar here with good success. I have not tried the non-lag version, will give that a go...but the 'regular' BBMACD is performing well for me, esp. in combination with STC.

Can you share the indicator showing in your main chart (purple hi-lo lines with support1 and support2, or are those separate indies)...?

i just finish this sw version of highlow channel made it by Mladen...

i divided the 2 line so you can try other combination with other lines of your choice... obviously you must put all this 3 indys inside the indicator folder

I forgot that already exist the linear price bar indicator (bars are calculated for pips) ...sorry for disturbed you Mladen

Best regards

Doc

Files:Doc,

Good that you found it. Frankly, I was lazy today so you saved my lazy day :):)

regards

Mladen

mladen:Doc,

Good that you found it. Frankly, I was lazy today so you saved my lazy day :):)

regards

MladenDear Mladen,

seems that you are in a "bear moment"

Regards

Doc

New Indicator

Hello all. Ive been working on an idea from Calculus to predict pivot points and local extrema (min/max). Its in the early stages, so consider this indicator an early prototype. I realize its sort of a naive approach currently, however all technical analysis has gray areas mathematically. Much of technical analysis was developed based on observations, and trial and error, rather than a rigorous mathematical approach. To find out more about this please refer to JSTOR: Naive Trading Rules in Financial Markets .

This indicator uses finite difference methods to calculate derivatives. Its a simple technique in numerical analysis that comes from Taylor's expansions. Eventually I will incorporate much better approximations to the derivative as well as include smoothing, ect., ect. I have to go through some of the math to figure out some things.

At any rate, whip out your calculus text books if you want to understand derivatives (the math ones) more than my basic explanation.

The first derivative is the yellow line. It represents a rate of change of price, or "velocity" if you will. The green line is the rate of change of the rate of change of price, which can be thought of as "acceleration". Whenever the "velocity" hits zero, this corresponds to a local minimum/maximum (extrema) similar to if a car has zero speed it is not changing its position. To see whether its a minimum or a maximum you must look at the second derivative.

Rules :

If yellow line is zero and green line is positive, you have a local minimum

If yellow line is zero and green line is negative, you have a local maximum

Ive also noticed you can use it to predict pivots (areas where the price reverses) by peaks of the first derivative.

The min/max criteria are taken directly from a undergraduate calculus text book. I dont want to get into whether or not the function that represents price is differentiable or not, nor convex optimization theory, nor any other higher level of mathematical complexity. Just feel free to use this indicator and comment on any patterns or uses you find for it.

Files:I have updated my differential indicator to use more accurate derivative calculations. Its calculation for the previous and current bar is less accurate but it gives you an idea of what to expect. The error is still relatively low, but in the interest of full disclosure I wanted to say so. It had to be less accurate because we do not know the prices in the future. This being so, this indicator serves as a great confirmation. To use it as a leading indicator, If you see the first derivative approach zero its time to enter/exit a trade. The direction depends on the green line and whether or not the market is cycling, trending, or going through its elliot waves (see previous post for more information).

Files:Mladen re latest indies

Hi Mladen,

Your observation in post #1341 about the HiLowChannel-Juriksmooth was excellent and resulted in my running it on my M5 chart with great results and like you say it has the excellent feature of keeping one in a run for longer when you start thinking of exiting the trade.

Post #1345 re BB MACD-zerolag: excellent indicator and I have run it from day 1 comparing the 0.5 and 1.0 deviations and I must say that the 0,5 seems "better" on my charts at least.

What I would like to know from you though ( and you will see this on the attached screen-print) is:

................ when I compare the Zero-lag to the normal BB MACD, it sometimes signals a "false" signal but it is probably due to the non-lag feature, right? You can see those areas where the line is "switched on" as opposed to the long vertical-lines which indicated entries.

It may therefore be prudent to allow for a second dot to appear for confirmation of the change in direction.

Also, in this short this morning, it clearly shows how the ordinary MACD (first sub-window) outperforms the non-lag in the retrace situation; having said that the non-lag gives one an earlier indication of directional change which is easily identified with the brilliant SchaffTrendLine indicator.

Your comments would be much appreciated.

Files:antisyzygy

Sorry to "hop in", but : "because we do not know the prices in the future".

This part of the code :

{

Diff[shift]=(-MA[shift-2]+8*MA[shift-1]-8*MA[shift+1]+MA[shift+2])/12;

Diff2[shift]=(-MA[shift-2]+16*MA[shift-1]-30*MA[shift]+16*MA[shift+1]-MA[shift+2])/12;

}[/php]Uses 2 future values of the MA, and this one :

[php] else if(shift>=1)

{

Diff[shift]=(MA[shift-1]-MA[shift+1])/2;

Diff2[shift]=(MA[shift-1]-2*MA[shift]+MA[shift+1]);

}uses 1 future value in the calculation. Is that on purpose?

I am aware that the current bar calculation does not use those kind of values but as soon as the current bar becomes a "past" bar, it is recalculated and it then uses those future values it had no way to know about. For a comparison, the lower on the picture is the one that does not use any of the future bars (so that is what it is in run-time) but uses the calculation you use for the current bar. As you can see, difference is significant, and if one uses the zero crosses of the current (or even the first 2 closed bars) as signals, number of false signals is going to be significantregards

mladen

antisyzygy:I have updated my differential indicator to use more accurate derivative calculations. Its calculation for the previous and current bar is less accurate but it gives you an idea of what to expect. The error is still relatively low, but in the interest of full disclosure I wanted to say so. It had to be less accurate because we do not know the prices in the future. This being so, this indicator serves as a great confirmation. To use it as a leading indicator, If you see the first derivative approach zero its time to enter/exit a trade. The direction depends on the green line and whether or not the market is cycling, trending, or going through its elliot waves (see previous post for more information).

Files:Request

mladen:While doing some code corrections, made this one too

It is a variation of the Gann hi low activator (or SSL channel as I named it in one moment, only it uses smoothed prices)

Compared to the SSL channel seems to be giving much less false signals (or signals when the prices are ranging - it is less sensitive to ranging, and it seems to be quite good in finding trends) The upper is the SSL channel that was used as a model for the new indicator and the lower is the new one. Looks rather interesting, doesn't it :):)Mladen

I am wondering if there could be two changes to this. The first would be a alert on trend change, and the second would be a MTF function. I have found this indy very good!

Thanks for all you do!!!!

ValeoFX,

Nice setup...working with something similar here with good success. I have not tried the non-lag version, will give that a go...but the 'regular' BBMACD is performing well for me, esp. in combination with STC.

Can you share the indicator showing in your main chart (purple hi-lo lines with support1 and support2, or are those separate indies)...?

Cheers,

San.

High low channel SW

Hi everybody,

i just finish this sw version of highlow channel made it by Mladen...

i divided the 2 line so you can try other combination with other lines of your choice... obviously you must put all this 3 indys inside the indicator folder

Best regards

Doc