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Ruggerio's Trend
Ruggiero's Trend Mode Rules

· To: "Metastock list" <metastock@xxxxxxxxxxxxx>
· Subject: Ruggiero's Trend Mode Rules
· From: "Yngvi Hardarson" <hardy@xxxxxxxxxx>
· Date: Sat, 19 Dec 1998 09:42:32 -0000
· Importance: Normal
· Reply-To: metastock@xxxxxxxxxxxxx
· Sender: owner-metastock@xxxxxxxxxxxxx

Hi All!

Has anybody experimented with Ruggieros Trend mode identification strategy as described in table 4.9 in his Cybernetic Trading Strategies book?

Below I have made an attempt to write down an indicator supposed to employ his rules.

Ruggerio's Trend

periods:=Input("Periods?",1,63,14);
If((ADX(periods) > 25 AND (BarsSince(Cross(45,ADX(periods))) > BarsSince(Cross(ADX(periods),25)))) OR (ADX(periods) > 10 AND
Ref(ADX(periods),-4) < 10 AND (ADX(periods) - Ref(ADX(periods),-5) > 0)),1,
If(ADX(periods) < 20 OR ((BarsSince(Cross(45,ADX(periods))) < BarsSince(Cross(ADX(periods),25))) AND ADX(periods) < 45),-1,0))

 

Comments or suggestions anybody?

Regards,
Yngvi

[11048]

Hello Yngvi ,

I find your indicator very interesting, perhaps (If you dont mind) would you share the strategy in using this indicator? I plotted it with the ADX and noticed that when ADX is below 20 or ADX is declining (which indicates no or falling trend) that your indicator plotted "-1". When a trend broke out, yours showed a "0" or "+1"...... what does the value "0" represent? Thanks for sharing!

Best wishes,
Adam Hefner.
e-mail: VonHef@xxxxxxxxxx


Adam!

Yes you are right but there is a bit more. I guess I should have posted the following along with my original message.

Ruggiero's rules for trend mode quoting his table 4.9:

1. If ADX crosses above 25, then the market is trending.
2. If ADX crosses below 20, then the market is consolidating.
3. If ADX crosses below 45 from above, then the market is consolidating.
4. If ADX rises from below 10 on 3 out of 4 days, then the market will start to trend.
5. If a trend is based on rule 4, it remains in effect until the 5 day difference in ADX is less than 0.

Ruggiero employs a 14 day ADX but that is based on T-Bonds data.
Ruggiero suggest employing the above rules as a filter. Sounds quite sensible.

However I'm not quite sure of the precise interpretation of his point 4 and therefore I guess my implementation of it is somewhat primitive.

I make the indicator take the value +1 if trending, a -1 if consolidating according to the above criteria but I guess the zero is for the grey area inbetween. Anyway according to definition: If a market is not trending it must be consolidating. However the zero may contain additional useful information. I just have not experimented enough.

Also Ruggiero suggests tweaking the threshold values but I have not experimented much on that. I guess that I'm a bit conservative with regard to optimization and I tend to give prior knowledge much greater value. Also I prefer parsimony.

Thanks for your feedback Adam and if you come up with anything of interest I'd be interested to know.

Best regards,
Yngvi
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