Trendiness of Days - assigning a value

For me it's not here a question of modelisation, it's a question of realisation. When I am a modeliser, I use statistics or maths, when I am a trader I use practical criterias which have not much to do with statistics. Why ? Because as a trader am I interested that a PAST DAY has such or such trending value ? Not really, I am interested to be able to take position in FUTURE trending days in the most comfortable way as possible. So rather than trendiness value I would rather focus on TRADABILITY value: a day is all the more tradable that you can take position early, put your stop and go away for your Golf party because the exit will be at close so no hassle sitting behind the screen all day long :D.

Quote from SethArb:

work discusses assigning a value to a day based on its movement
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Acrary, I´m full of respect for your work here. I suppose one could see trendiness as a function of diffrences in [directionality divided by volatility] between different timeframes. Example

Trendiness by this definition means High directionality (steep slope) and Small volatility around the slope, e.g, narrow regression/deviation channel.

But also one should take time into consideration, the larger the timeframe where a pattern of high percentage/point movement with small deviations persists, the higher the measure of trendiness. In the day below trendiness would be based on the longest persistent pattern.

Just some thoughts

Joe


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. 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.
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How about an MACD of the ADR? I.E. ADRCD

For example, plot the ADR for 5 to 10 days.

Then look at the channel those 6 lines create. Where they get tight and where they get wide would that tell us what?

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I realise this thread is a bit old, but I've been absent from these boards for a while and am still catching up.

I recall an article in TA of S&C a while ago, which I can no longer find, describing a quantitive "trendiness" measure.

Does anyone recall this article, and can anyone describe the methodology please?
 
Quote from mbradley:

Picking a target is junk, at least for me. As IF I could tell how far the move will go.
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Subjective? Yes. That is why it is called experienced.
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Quantifying trend would also be, for me, a waste of time or way to lose money.
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I agree with you ... to a certain degree. However, think about what we do day after day: we take a position and watch the behaviour of the issue/market while deciding if we should continue or exit with a profit or loss.

This can be programmed/or automated and you can rely on these measures/formulas as a proxy for your own judgement ... to a certain degree. However, we are not yet to the point where you can completely substitute the judgement of an experienced trader.

Some traders need quite a bit less detail and rely on the computer in their own heads and they do exceedingly well .......
 
Quote from harrytrader:

For me it's not here a question of modelisation, it's a question of realisation. When I am a modeliser, I use statistics or maths, when I am a trader I use practical criterias which have not much to do with statistics. Why ? Because as a trader am I interested that a PAST DAY has such or such trending value ? Not really, I am interested to be able to take position in FUTURE trending days in the most comfortable way as possible. So rather than trendiness value I would rather focus on TRADABILITY value: a day is all the more tradable that you can take position early, put your stop and go away for your Golf party because the exit will be at close so no hassle sitting behind the screen all day long :D.
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Oh yeah, I'm very interested in the PAST DAY, particularly at trendiness extremes. I see we are perched on the right wing of your spooky bat - impressive chart, that's where we're going.

PTR
 
Now same structure on scale 3 see
http://www.elitetrader.com/vb/showthread.php?s=&postid=425401#post425401

Quote from harrytrader:

This gives an idea of what some trending days have in common - remember the model on the left is calculated BEFORE the market opens so it is aimed to forecast such kind of day in advance:
Can see below a bearish pic on daily scale (middle column not first column which is hourly scale) which is due to short term bearish consolidation but the global trend is bullish (global trend in the future not in the past since the model is a predictive one not a descriptive one).

<IMG SRC=http://www.elitetrader.com/vb/attachment.php?s=&postid=418698>
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