Today we will test a new indicator and we will do it as good Algorithmic Traders.
The indicator that I present to you today is called “TD Sequential”, here is an example in its full “beauty” in the image below
Yes, I didn’t understand anything either, let’s go deeper…
AUTHOR
Thomas Demark is one of the world’s leading stock market analysts, as well as the author of trading techniques coined in the 1980s and still used today by thousands of traders around the world. A large part of Thomas Demark’s research work has been devoted to the definition of techniques that would allow him to identify in real time the formation of important lows or highs of the period. His study focused on the price action that typically occurs before and around market reversal points. Thomas Demark is one of the pioneers of “modern” technical analysis, i.e. the objective one characterized by precise implementation rules, here I would like to make a note as analysis, and as opposed to the completely subjective “classic” one and exposed to the moods of the moment.
INDICATOR
A large part of Thomas Demark’s research work has been devoted to the definition of techniques that would allow him to identify in real time the formation of important lows or highs of the period. His study focused on the price action that typically occurs before and around market reversal points.
CONDITIONS OF ENTRY
The purchase setup occurs once a series of at least nine days is recorded whose closing price is lower than the closing price of four working days before (for example, the Friday evening closing is lower than the Monday closing of the same day). week).
However, there are two other conditions that must be verified:
- the day preceding the first day of the nine of Thomas Demark’s count must have a closing greater than or equal to that of four days before;
- on day 8 or day 9 of Thomas Demark’s tally the high of the day must be greater than or equal to the low of three, or four, five, six or seven days ago, thus determining what Thomas Demark calls an “intersection”.
STRATEGY CONSTRUCTION AND INDICATOR
We come to the construction of our indicator and strategy, I remind you that you can find the complete code on my Telegram channel
First I declare inputs and variables:
In this indicator I have also put the possibility of operating only at certain times, but if it is left at 0 I can operate at any time, I will keep AllowMultipleEntries deactivated while exit is my variable which I can optimize to find the best exit in bars.
This is the strategy counter below:
And these are the strategy entries with the directional condition telling us to do the indicator:
Finally, the closure of open positions:
STRATEGY TEST
I decided to test this strategy on different underlyings and different time-frames, let’s start with a small time-frame and then move on to the daily one.
Naturally take these results with a grain of salt, they are not real strategies but simple tests to identify the performance of an indicator or an idea.
Time-Frame 60 MINUTES
GOLD
The best performance has not been very good, we have a tight hourly range to trade and an exit after 5 days
CRUDE OIL
We’ve got a system here that’s not too bad but has a lot of tough times
S&P 500
We see a very bullish nature in the indices, as we can see from these performances:
So let’s see what happens with just Trade Long:
I would say much better!
BITCOIN
On Bitcoin we have obtained very few Trades, we have no statistical significance so I consider it not very robust even if I have noticed a good symmetry between Long and Short Trades
Time-Frame Daily
In this case, being on a daily Time-frame, I don’t need to optimize the entry times, I will only optimize the exit after a certain number of bars.
GOLD
I would say that we are not on gold, the Trades are really too few.
CRUDE OIL
The same goes for Crude Oil
S&P 500
I’d say we’re not really there..
BITCOIN
That was to be expected
CONCLUSIONS
This indicator was born on daily timeframes but as we have seen it produces really bad results, I advise you to test it on low timeframes such as 60 minutes, on these it produces good results but it’s up to you to understand how to interpret these results, as we have seen with the S&P500 the short leg did not produce good results and therefore sometimes (not always) it is good to leave only one leg to a strategy.
The indicator isn’t much, frankly, it didn’t give us particular results but it allowed us to study futures better and it allowed us to understand that maybe it can be used.
One thing that few people understand is that the indicator does not exist for its own sake, there is no single example, it does not exist that I have read even it works everywhere …
One cannot think that every indicator is always good, however, even with the standard features! You have to TEST EVERYTHING!
See you in the next article 🤟
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