Trendiness of Days - assigning a value

Quote from 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.
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well, one possible use of an intra-day "trendiness" indicator could be to gauge inter-day momentum.

This is completely speculative and theoretical (and I have done zero work on this), but intra-day trendiness could have a relationship to inter-day momentum.

I recall some articles mentioning how the market seems to "buzz" at tops - calm interday patterns but a great deal of intra-day volatility below the surface.

Again - I have no evidence for this, but it could be an interesting (and useful, for a change) approach to investigate the fractal nature of markets.
 
Quote from acrary:



I'm sorry, you lost me. What are the two variables that would be used to determine the correllation coeff?
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<a href=http://mathworld.wolfram.com/CorrelationCoefficient.html>Calculating Correlation Coefficient</a>

<a href=http://www.mega.nu:8080/ampp/rummel/uc.htm>A more advanced approach</a> This one has some interesting stuff that could be applied to trend analysis
 
Quote from acrary:



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.
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HERE'S HOW YOU DO IT:

run a repeat for each tick, finding the ticks which are either the highest highs or lowest lows for the 20 (or so) bars on either side of the one being examined. The number of such bars found is the number of trends in the day + 1.

IE:
OPEN AT LOW, CLOSE AT HIGH DAY would have 2 such bars at open and close, therefore 1 trend

OPEN AT LOW, PEAK HIGH MIDDDAY, CLOSE AT LOW DAY would have 3 such bars, one at the open, one midday and one at the close, 3 = 2 trends.

just tweak the 20 value for whatever time increments you use and voila
 
Quote from mbradley:

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.
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This is very knowable for anyone. You make the key point for trading in the last paragraph. Another person here mentions Range trading. All three of these aspects are continually knowable so the trading focus may be maintained almost all of the time.

Once people get off the "market only does three things" mentalitiy, they can move to the consideration of how to detect the market operating point at all times.

This thread has many many posts about what happened after the fact. What is most important is what is possible to anticipate. There are many kinds of trending segments, many kinds of "chop" and many possible "ranges" to consider. Having a set of measures as to which is possible at any time really puts the icing on the cake.

You can see which traders in ET are aware of these possible delineations.
 
Quote from TGregg:



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.
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Today was sort of another double trend day...........

Response to second para.:

It might be possible to find the True Range for successive market days over a long span of time, then find the average of all those measurements. Any day where the True Range is greater than average is a Trend Day and vice versa, every day where the range is less than average is a Range Day.

Response to third para.:

You could also measure within a day as Acrary did...just find the distance between the High and the Low. If the close is equidistant between the two call that a Low Trend Day. Depending upon how close the Close is to either the High or the Low determines how much of a trending day has occured. You can measure this using a percentage measure away from the midpoint of the day's range...the further away from the midpoint the greater the percentage the Close has moved resulting in a trend measurable by percent.

I enjoyed reading the posts and seeing you guys' contributions.
:cool:
 
Quote from TGregg:

How would one go about assigning a value to how "trendy" a day was? Take today for instance, I'd rate it fairly high as a trend day - we basically had one trend up for most of the day, then a trend down.

Some days we trend all day, those would get the higher score. Most days (lately) the market sets it's highs and lows pretty early then respects them for the rest of the day.

I'm curious because it might be interesting to plot "trendiness" and see if it is increasing (as I suspect it is). Perhaps summer spells lower trendiness and winter higher.
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==============================
[1]Like hiking or walking ,like to measure it lots of ways.

[2] Previous day closing price to closing price, the day you mentioned, regular market hours;
& Market makers edge - measure it from daily open price to closing price.:cool:

==
Love learning--Solomon,trader king
 
2 cents:

Perhaps ADX, which was originally designed by Wilder to measure the trendiness of any bar, in terms of its directional movement, in comparison to its surrounding bars during an observed period of time, could be exactly what you want in a practical sense.

:confused:
 
You could also use moving averages. If they point in one direction and are steep it's trending. Also if price hits the moving averages and bouncing, it's also trending. When the moving average lines are all lined up and flat, it's not trending. This is a simple method without having to use to man indicators, lines etc. Without indicators you could just see if it keeps making higher highs and higher lows etc. This means the market is trying to break resistance and keeps bouncing off support. (Harder to use interday though because of the whipsaws.)
 
Quote from privateisland:

You could also use moving averages. If they point in one direction and are steep it's trending. Also if price hits the moving averages and bouncing, it's also trending. When the moving average lines are all lined up and flat, it's not trending. This is a simple method without having to use to man indicators, lines etc. Without indicators you could just see if it keeps making higher highs and higher lows etc. This means the market is trying to break resistance and keeps bouncing off support. (Harder to use interday though because of the whipsaws.)
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privateisland,

Very interesting your "could" and "simple method".

Please "could you" express your "simple method" in a little mathematical formula. Then we will talk a bit further.

nononsense
 
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