Directional Day Filter

R

rickty

Dr. Clayburg, a noted systems designer, has a technique for determining
market trend of the day based off of the first hour price action. It's
over 70% accurate. He calls it the Directional Day Filter and he freely
provides Tradestation (EasyLanguage) code for it. It's available at:
http://www.clayburg.com/four_steps_tradestation_code.htm

Unfortunately, I don't have Tradestation to import his *.els file to
be able to read it. So would some kind soul with access to Tradestation
be good enough to send me the plain text file with this code. My e-mail
is tymerski@ee.pdx.edu

Thanks,
Richard
 
You don't need the code, it's simply the average of the first 5 minutes, draw and line thru that price and watch where most of the trading takes place during the first hour or so.
 
big_jdez,

Thanks for your reply. I have Clayburg's book, so I know exactly
in concept how the DDF operates. However, I'm interested to
see how he mathematically figures out where most of the market
action is in the first hour, especially in the cases when it's not so
clear. Also, I would like to see how he uses the price information
at the sixty minute interval as confirmation of his trend determination. After all, the devil is in the details, and this is
what I'd like to see. So please, someone help me out here.

Thanks,

Richard
 
big_jdez,

Thanks for your reply. I have Clayburg's book, so I know exactly
in concept how the DDF operates. However, I'm interested to
see how he mathematically figures out where most of the market
action is in the first hour, especially in the cases when it's not so
clear. Also, I would like to see how he uses the price information
at the sixty minute interval as confirmation of his trend determination. After all, the devil is in the details, and this is
what I'd like to see. So please, someone help me out here.

Thanks,

Richard
 
Come on guys, help me out here. See my message at top.
I can email you the *.els file if you like. Will post when I
no longer need any help.

(Some incentive to help: I'm working on a S&P futures
day trading system, I'll let you know my system when I'm done).
 
Richard,

Regrettably, we will not get to see how this system is handled mathematically within the code.

I downloaded from the link you provided, unzipped, imported, and tried to edit the files. Alas, they are locked and password protected.

So, even with Tradestation, the code is unavailable.
 
Dave,

Thanks for your help, anyway.

For anyone who may be interested:

Clayburg had a couple of articles in Active Trader:
1) Nov. 2001 issue: "Limiting Losses isn't always the answer"
2) Feb. 2002 issue: "Moving with the market: Adaptive Stop Orders"

Both articles exam results of a S&P futures daytrading system
which uses his Directional Day Filter (DDF). Since the results are
quite impressive, I thought I'd verify them myself, starting with
those in his Nov. article. Using quote.com 5-min data for SPU1
for 6/11/2001 to 8/2/2001, I was not able to verify his net
profit of $23,375. The most I could get was $17,800. Perhaps,
worse was the fact that his largest loss of around $4000, as
far as I can see, shouldn't have even been a trade because his
DDF wouldn't have allowed it. Other anomalies also exist in this
article which I won't go into here.

In the Feb. article he examines various stop loss approaches.
Of the three examined, a volatilty stop allowed him to increase
profits while reducing drawdowns. For the data above, I was able
to incease my profit result from $17,800 to $19,375. However,
the drawdown also increased.

I don't believe that my results differ from Clayburg's solely
because of data differences. I believe I have my DDF
implementation working OK. Anyone who might be interested
in pursuing this further with me please let me know. Maybe,
the next thing to try is another data source.

Richard
 
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