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wsam29

TTM/DDF Value Chart

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I take it some of you have seen their newest indicator they are promoting.

 

Just by eyeballing it, it looks like a good indicator.

 

I've tried searching for it and came up short.

 

Value Chart Video

 

Value Chart Video 2

 

From what I understand the indicator was created by John Clayburg, correct me if I am wrong.

 

Either way, I like the indicator

 

Clayburg.Com - Your Source on the Web for Self-Adaptive Systems and Indicators

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Stratman has published some capable code in this thread based on earlier eKam and goose studies over at the TS forum.

The idea of opening range break out or establishing trend based on other opening range price action has been around for quite some time. It seems like every few years they add a new twist or flavor to the old indicators and call it the latest thing.

 

I would be very careful about believing claims of 80% accuracy or some such number in predicting trend. If it is 80%, not too many people have seen the details (actual data) of such studies. Anything approaching 80% in trading is probably not wildly published.

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Hi,

 

Is there a link to a site where it explains the calculations behind this indicator? Thanks

 

I've had a quick look and couldn't find a link to explain the exact calculations, however I can provide the code if you wanted. What I did find was an interview by the creator of the value chart, David Stendahl, talking to Tradestation.

 

Here's the link:

 

Chart Research - TradeStation Interview

 

Hope this helps

 

Blu-Ray

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HI Blu-Ray,

 

The code would be perfect if you dont mind. I am trying to replicate this in IRT. Thanks

 

Sure here goes, the first part is for the function VChart:

 

Inputs:NumBars(Numeric),Price(NumericSeries);

 

Variables:VarNumBars(0),Var0(0),LRange(0),YDiv(0),RanVar4(0),VOpen(0),VHigh(0),VLow(0),VClose(0),

VarA(0),VarB(0),VarC(0),VarD(0),VarE(0),VarP(0),VarR1(0),VarR2(0),VarR3(0),VarR4(0),VarR5(0);

 

{Insure NumBars is between 2 and 1000}

If NumBars < 2 then VarNumBars = 2;

If Numbars > 1000 then VarNumBars = 1000;

If Numbars >= 2 and NumBars <=1000 then VarNumBars = NumBars;

 

VarP=Round(VarNumBars/5,0);

 

If VarNumBars >7 then begin

VarA=Highest(H,VarP)-Lowest(L,VarP);

If VarA = 0 and VarP=1 then VarR1=absvalue(C-C[VarP]) Else VarR1 = VarA;

VarB=Highest(H,VarP)[VarP+1]-Lowest(L,VarP)[VarP];

If VarB = 0 and VarP=1 then VarR2=absvalue(C[VarP]-C[VarP*2]) Else VarR2 = VarB;

VarC=Highest(H,VarP)[VarP*2]-Lowest(L,VarP)[VarP*2];

If VarC = 0 and VarP=1 then VarR3=absvalue(C[VarP*2]-C[VarP*3]) Else VarR3 = VarC;

VarD=Highest(H,VarP)[VarP*3]-Lowest(L,VarP)[VarP*3];

If VarD = 0 and VarP=1 then VarR4=absvalue(C[VarP*3]-C[VarP*4]) Else VarR4 = VarD;

VarE=Highest(H,VarP)[VarP*4]-Lowest(L,VarP)[VarP*4];

If VarE = 0 and VarP=1 then VarR5=absvalue(C[VarP*4]-C[VarP*5]) Else VarR5 = VarE;

LRange=((VarR1+VarR2+VarR3+VarR4+VarR5)/5)*.2;

End;

 

 

If VarNumBars <=7 then Begin

If AbsValue(C-C[1]) > (H-L) then Var0=AbsValue(C-C[1]) else var0=(H-L);

If H=L then Var0=absvalue(C-C[1]);

LRange=Average(Var0,5)*.2;

End;

 

If LRange > 0 then begin

If Price = Open then

VChart=((Open-Average((H+L)/2,VarNumBars)))/(LRange);

If Price = High then

VChart=((High-Average((H+L)/2,VarNumBars)))/(LRange);

If Price = Low then

VChart=((Low-Average((H+L)/2,VarNumBars)))/(LRange);

If Price = Close then

VChart=((Close-Average((H+L)/2,VarNumBars)))/(LRange);

End;

 

and the second part is the indicator

 

Inputs:NumBars(5);

Variables:Vopen(0),VHigh(0),VLow(0),VClose(0),Var1(0),Var2(0);

Var: VcloseLam(0),ValueSOB(" "),ValueMOB(" "),ValueMOS(" "), ValueSOS(" "), ValueFair(" "), lastdate(0);

 

 

{Calcualte Value Chart}

VOpen = VChart(NumBars,Open);

VHigh = VChart(NumBars,High);

VLow = VChart(NumBars,Low);

VClose = VChart(NumBars,Close);

 

 

If currentbar > Numbars then Begin

Plot1(VOpen,"VOpen");

Plot2(VHigh,"VHigh");

Plot3(VLow,"VLow");

Plot4(VClose,"VClose");

Plot5(8,"8");

Plot6(4,"4");

Plot7(-4,"-4");

Plot8(-8,"-8");

Plot9(0,"0");

End;

 

Cheers

 

Blu-Ray

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I've studied the code Blu-Ray shared and am attempting to recreate the Value Chart in Investor/RT. Here is what I have come up with so far:

 

Images | ChartHub.com

 

ValueChart.png

 

However, comparing my chart with the charts in the videos wsam posted, my charts seem to oscillate at a much slower rate. Is it possible that a different VarNumBars was used in those videos (200 maybe instead of 1000)? Can somehow compare my charts with a 2-min of ES in TS and let me know how it compares.

 

Thanks

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Hi Chad

 

Here's a pic of the TS screen with the value chart attached.

 

attachment.php?attachmentid=5052&stc=1&d=1202161188

 

With regards to the VarNumBars, the setting is 5. What you're reading is the part within the function that constrains the inputs, if someone were to put in 1050 as the NumBars then TS will only allow it to be 1000 max.

 

Hope this helps

 

Blu-Ray

ValueChart.thumb.png.2f6d6916888df427cf682fbaf5079080.png

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Good stuff...I've been looking at Investor RT, nice to see we have people with programming skills on here. Might make my decision easier. :)

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I'm creating a web page on this chart / indicator. If one of you Value Chart experts will share some information on how this is traded, or provide me with a good link where it is explained, I would greatly appreciate it.

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I'm creating a web page on this chart / indicator. If one of you Value Chart experts will share some information on how this is traded, or provide me with a good link where it is explained, I would greatly appreciate it.

 

 

It's been a few years since I read the book (Dynamic trading indicators by Stendhal) but a Google book search will show the portion of the book with the main ideas.

 

If I remember correctly it's a statistical distribution method that uses the price of an instrument and it's ability to move away from it's own moving average. In the book he used a SMA 20 on a daily chart to illustrate the point. He then assigns points according to where it is in the distribution:

 

 

+8 and Above= Significantly overbought- 3 SD or above

+4 to +8= Moderately overbought- 2 SD

+4 to -4= Normal or value

-4 to -8= Moderately overbought- 2 SD

-8 and below= Significantly oversold- 3 SD or below

 

In a bell curve +4 to -4 would be the Mean and 1SD areas and the others would fall to the outside as described above.

Stendahl used these to play reversions back to the mean.There are several additional items he uses, that is the basic premise behind his value charts.

 

It also seems as if thats how the TTM guys are using it as well.

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Hi guys,

 

I'm a newbie to this site and this is my first post. I was wondering if anyone has this code for us eSignal users?

It seems everything is coded for TS!!

 

Thanks

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Hi Blu-Ray, thanks for the Value Chart it looks interesting, is an alert able to be added to the indicator so that it fires off when the bar hits either +8 or -8 ?

 

Hi Greycells

 

Yes no problems, I'm away from my trading computer at the moment, but I'll post it tomorrow.

 

Cheers

 

Blu-Ray

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