Trendiness of Days - assigning a value
- Thread starter TGregg
- Start date
man, there is NO WAY I could make money with that stuff. Tony Crable, yes, the rest no.
Maybe I misinterpeted the orginal thought of the thread, which was not the idea of a trend day of moving from low/high at the open to the other extreme at the close. I thought the idea of the thread was more along the line of followthrough.
In that case, the "trendiness" is simply, when the market breaks an obvious pivot point, does it keep going so I can make money, or does it quickly stall back into the chop. Thats all.
Maybe I misinterpeted the orginal thought of the thread, which was not the idea of a trend day of moving from low/high at the open to the other extreme at the close. I thought the idea of the thread was more along the line of followthrough.
In that case, the "trendiness" is simply, when the market breaks an obvious pivot point, does it keep going so I can make money, or does it quickly stall back into the chop. Thats all.
That's an interesting idea, and a new one to me (unschooled in stats as I am). But let's take the day I posted this. We had a nice uptrend until 1 or so (as I recall), then a downtrend for the rest of the day. Would a least squares take that as a range day? I mean, compare that to today (a day I would call a Range Day).
I haven't dug into this as well as I will over the next few days, so there is likely additional insights that await me. And, thanks for the ideas.
Yeah, it's kinda that. Take today as an example of what I would call a Range Day. Market set it's high and low for the day early on, and respected that for the rest of the day - that's a Range Day, and should score very low on our Trendiness Scale.
We've all seen days where the market just keeps going up all day, or keeps going down all day. That's a very high score on our Trendiness Scale.
Sometimes (rarely?) we have a double trend day, like the day I started this thread. That'd score well (IMO) on a Trendiness Scale, two trends.
But I don't know how to compute this value.
Quote from OddTrader:
For day trading, Toby Crabel once mentioned: "... Look at trendiness based on an expanding day's range with a close in the bottom 10 percent of the day's range and an open on the top 10 percent of the day's range, and vice versa."
It seems Crabel's trendiless concept above would cover basically four characteristics:
1. Daily bar;
2. Expanding range;
3. Close - around its bottom/top; and
4. Open - around its top/bottom.
Possibly the daily range could be established mainly:
A. In the first few hours of the day;
B. During the mid day;
C. In the last few hours of the day;
D. Etc.
You might be able to improve on this (a cool idea, btw) by maybe multiplying by the correlation coefficient? I guess this would be unneccessary if you just calculate the line from a higher TF, but if you're on say a 1 min chart, multiplying by cc will give you a value that's weighted by trend and chop
Ok here's the chart from 11/20. The white line is the regression for the whole day. That would indicate the day wasn't very trendy.
However if you split the day into 2 halves and do separate regressions you'd see the yellow lines. Then you'd get two separate slopes for each line. Then add the two together and divide by 2 for the average for the day. This would indicate it was a very trendy day. You can do this for any number of periods you think would be a acceptable. I think the overall value to this approach is to use it to measure one period say 2002 versus 2003 to see if the days are on average more or less trendy (by however number of separte regesssions you choose). It's not very tough. I'll be hanging around tomorrow. If I have time I'll run some tests for each year from 1996 - present to see what's going on with the intraday trends.
Hi All,
It seems to me that trying to "assign a value" to "trendiness" is a rather fruitless undertaking. If somebody can express in mathematical terms what he means by "trend", I will quickly come up with a suitable metric for expressing this property.
In fact a poster pointed out that a good measure of trendiness is for him the profitability of his trading strategy. This is probably the only sensible approach but is at the same time very subjective. It has only meaning for the trader familiar with his own strategy.
The trend is your friend
Be good,
nononsense
It seems to me that trying to "assign a value" to "trendiness" is a rather fruitless undertaking. If somebody can express in mathematical terms what he means by "trend", I will quickly come up with a suitable metric for expressing this property.
In fact a poster pointed out that a good measure of trendiness is for him the profitability of his trading strategy. This is probably the only sensible approach but is at the same time very subjective. It has only meaning for the trader familiar with his own strategy.
The trend is your friend Be good,
nononsense