Much of the setup is derived from Billy's published work in this forum as well as the VIT forum.Originally Posted by brrim
Basically, do the following:
1) establish a cumulative tick trace that is essentially an always-running accumulator. I use $TICK, which represents all the securities trading on the NYSE, $TIKSP, which is unique to TradeStation and represents the ticks of the S&P500, $TIKRL, which is also unique to TradeStation, and represents the ticks of the Russell 2000 small caps, and $TIKQ, which represents the ticks of the NDX-100.
2) Apply a simple moving average (SMA) that corresponds to 1/2 day in length. Hence, if you are on 1-min bars, this would be 195m.
3) Apply a SMA that corresponds to 1 day in length. This would be 390m
4) Apply a SMA that corresponds to 10h in length. This is 600m.
5) I take this further, and I also use 780 (2d), 1170 (3d), 1560 (4d), and 1950 (5d).
I also have another display that I am working on and will share that when it is finished. Basically, it is the slope of the MAs above, and it is FAR easier to see signals using slope than looking at the moving averages. In addition, I also am plotting the slope of the slope, so we can see the ebb/flow of momentum in the tick indicators, and initial backtesting has shown this to be interesting (but unfinished) and somewhat profitable work.
Regards,
pgd
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