Experimental indicator, anyone? I give you the... reversal index

[oda.krell]

(EDIT)

Please see my posts further down this thread for the recent values of the indicator and my best suggestion how to interpret the output. Consider what I wrote below the following horizontal line obsolete.



Been playing around with ideas to (mechanically) quantify the likelihood of short term trend reversals (or trend continuations). The method I came up with is defined well enough that I could in principle fully code and backtest it, but tbh, for now it's just easier to do the last step (which requires identification of some "dominant" trend in the recent past) manually. So, no backtesting yet, but instead: seemingly random numerical values! Everyone loves those, no?

I might go into more detail how I calculate the values later, but for now I'll just say that the calculation is based on some short-term comparative analysis of price trends. The value you get should be thought of like a classical oscillator:
values near 100 = certain continuation(edit: wrong way to describe the top value. The method is more reactive than predictive, so the correct way to talk about a high value is) no sign of reversal.
values near 0 = certain reversal,
values near 50 = outlook hazy, ask again tomorrow.

You might wonder what the "reversal" time frame is I try to predict here... I hope to pick up a reversal or continuation of the currently dominant short term trend I determine in the first step, which happens to be in the range of some weeks. In EW terminology that would be a 'minor trend' I suppose.

I'll try to post a daily update, unless I lose interest... Alright, first value:


2014-06-04, 3:08 PM CEST

CI = 54
current main trend: up
price at calculation: $636


(edit) to have some basis to track performance, I'll add the approximate price at the time of the calculation above... median price of the last closed 2h interval, and the direction of the main trend that I track, i.e. the trend of which I try to determine whether it will continue or reverse.

(edit 2) clarification of the above: the main trend I track in calculating the CI value is  currently 'up'. The CI value expresses the likelihood that the dominant trend continues to be up. At 54 right now it basically says: "Unclear situation, but slightly leaning towards (upwards) continuation".

...


Yeah, I know. Not exactly enlightening, but that's what I got.

[Bitbuy]

Hi Oda;

Definitely looks interesting, and since it's coming from you, I'll keep an eye on it
Will your updates always be at the same time?

[oda.krell]

Hi Oda;

Definitely looks interesting, and since it's coming from you, I'll keep an eye on it
Will your updates always be at the same time?

Don't think I'll be able to do that. And I don't think it really matters... what ideally would happen is that the CI could help figuring out where we're heading if we are in one of those "in between" states that last for some days, i.e. not the shorter periods (think: flash crashes), nor the longer periods (think: bear market or bull market?). And for the time frame I have in mind, 1 or 2 hours early or late won't really matter much, I think.

[Peter R]

Interesting.

So if it works, you'll have us convinced because you've posted the predictions ahead of time.  However, we still won't know how to calculate your indicator.  Which means you can charge us top dollar for a subscription to your newsletter

[Bitcoin_is_here_to_stay]

Oda, so currently "continuation" means more creeping up? That should be also clarified at the moment you post the values.

[oda.krell]

Interesting.

So if it works, you'll have us convinced because you've posted the predictions ahead of time.  However, we still won't know how to calculate your indicator.  Which means you can charge us top dollar for a subscription to your newsletter

Ha, I wish.

If the thing is even remotely informative, I'll happily share the algorithm. I'd probably need some help anyway to fully code it... the tricky step I mentioned, 'determination of dominant short term trend' can probably be automatized through some combined analysis of BBW and ROC, but it's probably not quite as simple as looking at hard coded threshold values.

So when I say "I could code it in principle" I really mean "a more competent programmer than me could code it probably"

[oda.krell]

Oda, so currently "continuation" means more creeping up?

Yes. The CI value has to be seen in relation to the direction of the dominant trend. That trend is 'up' and CI value is slightly above 50, so the result of today says: unclear where we're going, with a slight bias towards continuation upwards.

EDIT: you're right, that wasn't very clear. I re-organized the presentation. Better now?

[sgbett]

I might not do TA very well, but I can code up a "hello world"

[Bitcoin_is_here_to_stay]

Oda, so currently "continuation" means more creeping up?

Yes. The CI value has to be seen in relation to the direction of the dominant trend. That trend is 'up' and CI value is slightly above 50, so the result of today says: unclear where we're going, with a slight bias towards continuation upwards.

EDIT: you're right, that wasn't very clear. I re-organized the presentation. Better now?

Yes, thanks! Especially if we would like to revisit a couple weeks from now it is very helpful to know what "current trend" estimation was at the time

[oda.krell]

Oda, so currently "continuation" means more creeping up?

Yes. The CI value has to be seen in relation to the direction of the dominant trend. That trend is 'up' and CI value is slightly above 50, so the result of today says: unclear where we're going, with a slight bias towards continuation upwards.

EDIT: you're right, that wasn't very clear. I re-organized the presentation. Better now?

Yes, thanks! Especially if we would like to revisit a couple weeks from now it is very helpful to know what "current trend" estimation was at the time

Are you suggesting that in a couple of weeks from now the dominant trend could be anything other than 'up'?!?

...

BURN THE HERETIC!

[oda.krell]

2014-06-04, 11:11 PM CEST

CI = 58
current main trend: up
price at calculation: $645

[Bitcoin_is_here_to_stay]

Oda, so currently "continuation" means more creeping up?

Yes. The CI value has to be seen in relation to the direction of the dominant trend. That trend is 'up' and CI value is slightly above 50, so the result of today says: unclear where we're going, with a slight bias towards continuation upwards.

EDIT: you're right, that wasn't very clear. I re-organized the presentation. Better now?

Yes, thanks! Especially if we would like to revisit a couple weeks from now it is very helpful to know what "current trend" estimation was at the time

Are you suggesting that in a couple of weeks from now the dominant trend could be anything other than 'up'?!?

...

BURN THE HERETIC!

LOL. I first meant "couple of months' but then was not sure how long you will keep it up. Good catch

[YipYip]

Interesting.

So if it works, you'll have us convinced because you've posted the predictions ahead of time.  However, we still won't know how to calculate your indicator.  Which means you can charge us top dollar for a subscription to your newsletter

Ha, I wish.

If the thing is even remotely informative, I'll happily share the algorithm. I'd probably need some help anyway to fully code it... the tricky step I mentioned, 'determination of dominant short term trend' can probably be automatized through some combined analysis of BBW and ROC, but it's probably not quite as simple as looking at hard coded threshold values.

So when I say "I could code it in principle" I really mean "a more competent programmer than me could code it probably"

I can code it for you if u want ?

[N12]

Does the indicator itself determine the main trend? Is it binary?

[oda.krell]

Does the indicator itself determine the main trend? Is it binary?

Not right now, but it's not a really controversial choice in what the main trend is imo. Like I said above, I think it could be coded by looking at, for example, rate of change. It's just easier to do by hand if you're lazy, like I am. And it is binary. Positive slope, or negative slope. Nothing in between.

I can code it for you if u want ?

I'll keep that in mind, thanks. First, I'd really like to see if this thing has any informative value though.

[oda.krell]

2014-06-05, 3:39 PM CEST

CI = 60
current main trend: up
price at calculation: $647

* * *

Please note the correction I made in OP: the way to look at CI values near the top is different from what I said at first... it does not amount to the claim that "reversal is unlikely", but rather "no indication that a reversal is underway".

So I should probably rename it "reversal index", and map the current 0 effect to 100.

[oda.krell]

Okay... as mentioned one post above, I changed my mind about how to interpret the output of my indicator, though I didn't change the formula itself.

I'd rather think of it as a 'reversal indicator', because the (previous) upper side of the value range doesn't really say that a continuation is guaranteed or even likely, just that no signs for a reversal can be picked up. Think of it like looking, for example, for bearish divergences on the RSI: finding one is an indication that a trend is about reverse, but not finding one is not equally an indication that the trend will continue. Below I'll re-post the previously calculated values as: RI = 100-CI, i.e. mapping the 0 effect to 100, and vice versa, and calling it "RI" (reversal index) from now.

Once more, the suggested (from now on) way to read the RI value is as follows:

100 = reversal (from main trend) certain
50 = undecided/unclear signal
0 = no sign of reversal (by the metric of the RI)

(edit) To keep track of performance, I take note of current price (H+L/2 of last closed daily interval at time of calculation), and the direction (up, down) and starting point of what is assumed to be the current main trend.

This is also the last new post I'll make in updating the values. all further values will be added inside this post by edits. I feel this method isn't really worth bumping to the 1st page of the forum every day. Feel free to check on it if you wish though, I'll keep updating it daily, if possible.


2014-06-04, 3:08 PM CEST

RI = 46
trend: up (from 2014-05-20)
price: $665


2014-06-05 3:39 PM CEST

RI = 40
trend: up (from 2014-05-20)
price: $648


2014-06-06 3:02 PM CEST

RI = 39
trend: up (from 2014-05-20)
price: $655


2014-06-07 3:07 PM CEST

RI = 44
trend: up (from 2014-05-20)
price: $655


2014-06-08 8:37 PM CEST

RI = 38
trend: up (from 2014-05-20)
price: $647


2014-06-09 3:00 PM CEST

RI = 45
trend: up (from 2014-05-20)
price: $656


2014-06-10 4:00 PM CEST

RI = 43
trend: up (from 2014-05-20)
price: $649

comment: RI continues to stay below 50, which implies the larger upwards trend is likely still intact. Momentum signals differ: 1d MACD just turned negative, so it'll be interesting to see how the situation resolves.


2014-06-11 04:15 PM CEST

RI = 49
trend: up (from 2014-05-20)
price: $650


2014-06-12 3:30 PM CEST

RI = 51
trend: up (from 2014-05-20)
price: $634

comment: first time during this swing that RI goes above 50. Slightly so, but if past results apply here as well, it's starting to look like the downturn isn't over yet.

also, I'm already not too happy with the results of the RI, but have some ideas how to fine tune it better. I will however continue this first "experiment cycle" with the old rules to get a result at the end that allows me to draw some conclusions. Afterwards, if I think improvements might work, I can do the next cycle with the new rules


2014-06-13 4:00 PM CEST

RI = 52
trend: up (from 2014-05-20)
price: $590

comment: I'm late with the post, but the value above is calculated for the chart ~24h after the last one for consistency.

The method doesn't really provide a price target, but if I look at the situations in the past where similar values came in, I would consider ~$530 to be a possibility in the coming days.


2014-06-15 2:00 AM CEST

RI = 57
trend: up (from 2014-05-20)
price: $566

comment: Last update for now. RI = 57 just states what is obvious anyway: the previously dominant trend is broken. I'll stop posting updates for now because I don't see how it can inform anyone's trading. We went down substantially, and the question right now is if, how and when we will go back into an upwards trend, but the RI in its current form can't answer that question.

I'll make another post with a more detailed analysis of the results for now, together with a chart of the values of the RI, and then I'll work on improving it. The RI value crossed 50 shortly before the crash began, but e.g. daily MACD would have actually performed better this time, so I should work on it.

[sgbett]

bump away! its better than some of the tripe that keeps being pushed to the top

[oda.krell]

Huh. That's a nice surprise...

I spent a bit of time backtesting the formula (still not all the way automatized, but I'm getting reasonably fast at it), and I took for example a look at the April 11 rally and the period that followed.

It's an example of a scenario that I was hoping my RI would be able to pick up: there's a strong trend, an initial retracement, followed by a longer period of indecision. In situations like that, I'd like to get a leading signal from my RI whether reversal is expected or not.

Here's the period I'm talking about:



Marked in green is the beginning of what I define to be the main trend, orange is the crash I'd like to predict.

Turns out, at the time of the last green candle *before* the crash, RI was 55, i.e. "undecided, leaning towards reversal" by my interpretation guidelines as specified so far. So the RI was leaning in the right direction (reversal signal more likely than no reversal signal), but the value was pretty close to 50. Perhaps the way to make use of it is considering even small deviations from that baseline as a relevant signal. Further testing needed obviously to determine if an "aggressive" interpretation like that gives too many false signals or not.

Anyway, the above "aggressive" interpretation applied to the current situation and values would mean that the values we're seeing now (high 30s, low 40s) are actually a comparably strong indication that there is no reversal signal coming in from the RI. (The updated values can be found 2 posts above)

Let's see.

[oda.krell]

Another example of my RI backtesting. This time on the early March (failed) breakout:



RI reversal signal came a solid 3 days before daily MACD turned red, and at around $40 higher price.


For comparison, 6h MACD turned red around the same time as RI signaled 'reversal' (slightly earlier in fact), but it gives a lot more signals altogether, including many bad ones, so can't really be compared:




EDIT: the current situation is actually quite interesting. Almost all momentum signals of comparable time scale are either red, or are about to (1d MACD will probably go down in the next day or two). My RI signal is still saying "doesn't look good, but no reversal case yet". Will be really interesting to see if it is just lagging even more than the momentum signals at the moment, or whether it is onto something.

I never properly defined what I'd consider a "success", but since I'm thinking in terms of profitable trading signals, I'd want to see at least a 5%, and preferably a 10% change in price from here to say that we substantially deviated from the main trend. In other words: staying above 618, or 585, in case RI doesn't signal reversal would be a success in my view. If price hits 585 before RI signals reversal, I'd consider it a clear failure.

[sgbett]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

[oda.krell]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

[sgbett]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

once again, pulling opinions out of my ass (but it keeps this thread near the top, hehe) id say there will be no concerted move into that range, if it does spike down, it will be short lived. No reversal, just a blip in a general uptrend.

[oda.krell]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

once again, pulling opinions out of my ass (but it keeps this thread near the top, hehe) id say there will be no concerted move into that range, if it does spike down, it will be short lived. No reversal, just a blip in a general uptrend.

I'm keeping track of the output so far in a chartable format, so once this swing (or non-swing) is over, I'll post the results charted against price and daily MACD (which is a reasonably close analogue to my RI, from what I can tell so far), and I shall do so with a bump :D

[let_me_backtest_that]

This is interesting.  Are you able to plot the indicator? It would be nice to see how it interacts with price visually.

[oda.krell]

This is interesting.  Are you able to plot the indicator? It would be nice to see how it interacts with price visually.

Yes, absolutely. will do that at the end of the current "swing".

[oda.krell]

As promised, the RI values during the last swing plotted against price (and daily MACD)





Observation #1: As mentioned a few posts above, values above or below 50 (i.e. when 50 is crossed), even when still near 50, should be considered a buy/sell signal. IOW, the output should be interpreted with high sensitivity, if it is to be useful at all.

Observation #2: daily MACD outperformed RI during this swing. MACD went negative on June 10, around $650, my own signal crossed the 50 line 2 days later, near $590. Still in time for the bigger drop to $530, but even more lagging than the MACD, so it has to be improved.

Conclusion: I'm changing some of the parameters to make my method more sensitive to an impending reversal. Will post the results, under the new rules, in a bit.

[oda.krell]

Next round...

2014-06-20

trend: down

intraday median daily price: $590
intraday daily MACD hist: -17.6

RI = 48

comment: Let's stipulate for now that 1d MACD signals reversal when the MACD histogram turns positive, and RI when it goes above 50 (and remains there). So neither MACD nor RI signal a reversal today from the downtrend starting from July June 5.

[oda.krell]

2014-06-21

trend: down

intraday median daily price: $587
intraday daily MACD hist: -16.8

RI = 41

[pirsquared]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

[oda.krell]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

Thanks :)

What do you mean though you "broke" the script? You changed the parameters, and didn't keep a backup of the ones that worked?

Anyway, I like the idea of combining very different types of analysis, some chart based, some maybe news/sentiment based, aggregating them into a single value (if I understood it right that this is what you did.) Could then even be an interesting optimization problem to find the best weights for the different types of input.

* * *

2014-06-22

trend: down

intraday median daily price: $596
intraday daily MACD hist: -14.5

RI = 50

comment: 50, means RI is getting nearer to indicate a reversal (upwards). MACD still far from it, which makes it all the more interesting.

[oda.krell]

2014-06-23

trend: down

intraday median daily price: $591
intraday daily MACD hist: -13.3

RI = 38

comment: last day of trading didn't exactly help the reversal case. RI further away from 50 again. MACD still pretty far from turning positive.

[oda.krell]

2014-06-24

trend: down

intraday median daily price: $585
intraday daily MACD hist: -12.7

RI = 31

comment: RI still falling. Keep in mind, a low RI doesn't entail that the main trend (down, currently) is growing stronger/picking up speed, just that there are few signs of a significant reversal trend.

[pirsquared]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

Thanks

What do you mean though you "broke" the script? You changed the parameters, and didn't keep a backup of the ones that worked?

Anyway, I like the idea of combining very different types of analysis, some chart based, some maybe news/sentiment based, aggregating them into a single value (if I understood it right that this is what you did.) Could then even be an interesting optimization problem to find the best weights for the different types of input.

* * *

2014-06-22

trend: down

intraday median daily price: $596
intraday daily MACD hist: -14.5

RI = 50

comment: 50, means RI is getting nearer to indicate a reversal (upwards). MACD still far from it, which makes it all the more interesting.

This is exactly what I did - very crudely. I would be a happy to help you with weighting your inputs. Bitcoin is evolving. Last year if we had some of the news we have had this year, the swings would have been MASSIVE. Things have changed. Consolidation is happening. Smart money is giving way to smarter money. The mining landscape has changed. The "killer app" is being built. I'd be happy to take a look at your parameters, variables, and weighting strategy and offer some foggy insight. No guarantees though.

I'm not a coder. I took both MIT's and CalBerkley's freshman and sophmore free online courses in order to teach myself python. Codeacademy helped too. I am (was) a physician by trade. I am good at the maths, but it's all in my head (and chicken scratch notebooks). Python is good at making brain maths = screen maths without all the heavy lifting. I tried to make this script autotrade (something I obviously had no clue how to do) for me and created a bad loop. I did not back up my work. I was running the script and trading based on my number. Once I incorporated the trading API's from various markets, I couldn't go back. I lost $4400 equivalent in one day because I thought it worked.  I no longer actively trade. 

Specualtion and speculators are essential for any free market. I'd like it if the people retained control of the bitcoin market. It is important for regular folks to trade in novel markets in an internet "outcry" sort of format. Centralization of mining is not a crucial variable as many have speculated. Centralized speculation on the other hand, could be devastating for the common fellow.

Warren Bufett isn't exacty a bitcion enthusiast, but his words ring true: "It matters not when an event will occur so long as you know that it will occur." Abide.

[oda.krell]

2014-06-25

trend: down

intraday median daily price: $567
intraday daily MACD hist: -15.1

RI = 15

comment: Not trying to rub it in... just to keep the "public experiment" going. Sorry guys.

[lay785]

did the people on the titanic hodl or day trade?

[oda.krell]

did the people on the titanic hodl or day trade?

I dunno. Judging by the fact that 1st class tickets were pretty expensive, I'd guess most of them were traders.

[JustAnotherSheep]

did the people on the titanic hodl or day trade?

I dunno. Judging by the fact that 1st class tickets were pretty expensive, I'd guess most of them were traders.

From what I hear the traders all got on the lifeboats, while the hodlers played the strings.

[oda.krell]

2014-06-26

trend: down

intraday median daily price: $566
intraday daily MACD hist: -15.5

RI1 (formerly just RI) = 44

comment: woohoo! quite the jump up. okay, seriously though, probably doesn't mean anything... remember, I tuned the parameters to make it more sensitive, so after a day of some kind of upwards action, it gets a bit closer to 50, that's all.

EDIT: how about another version... RI2 should be about as sensitive as the re-tuned RI, but I believe it might give less false positives of a reversal. Still based on similar principles as the original, just slight variations of how I calculate the value exactly and how I partition the price data. Brace yourself, by the way, I already have an idea for another one,  RI3. that one's a bit more complex though... the intuition is there, just don't know exactly the math of it yet.

RI2 = 43

[oda.krell]

2014-06-26 27 (fixed )

trend: down

intraday median daily price: $582
intraday daily MACD hist: -11.0

RI1 = 57
RI2 = 50

comment: interesting. one or two days of positive price action, and RI1 crosses 50, i.e. signals reversal. But as I said one post above, I'm worried about false positives now that I made it more sensitive, which is why I'd rather look at RI2, which is at 50 right now, i.e. waiting for a bit more confirmation before calling it a reversal.

[Wary]

2014-06-26

trend: down

intraday median daily price: $582
intraday daily MACD hist: -11.0

RI1 = 57
RI2 = 50

comment: interesting. one or two days of positive price action, and RI1 crosses 50, i.e. signals reversal. But as I said one post above, I'm worried about false positives now that I made it more sensitive, which is why I'd rather look at RI2, which is at 50 right now, i.e. waiting for a bit more confirmation before calling it a reversal.

The indicator is broken! It shows wrong date! 

[oda.krell]

2014-06-28

trend: down

intraday median daily price: $598
intraday daily MACD hist: -7.0

RI1 = 60 78 [corrected wrong value for R1]
RI2 = 51

comment: RI1 now firmly in 'reversal' territory. RI2 still more cautious, but slightly leaning towards reversal as well. If I would trade on those signals (which I don't.) (yet.) now would probably be the time to take their advice and buy. MACD substantially up since yesterday, but still negative, so I'm happy that RI and MACD "disagree", which will make it more interesting later to compare which signal turned out to be more profitable.

[oda.krell]

2014-06-29

trend: down

intraday median daily price: $596
intraday daily MACD hist: -5.5

RI1 (2) = 90
RI1 (3) = 65

RI2 (1) = 58
RI2 (2) = 53

comment: hope it doesn't get too confusing, but I need to introduce one more distinction, this time in the form of a parameter for both variants that I'd like to keep track of, to see which one performs better.

RI1 (2) = previous RI1 = the "original" RI
RI1 (3) = slightly more "cautious" version of RI1

RI2 (1) = previous RI2 = the "cautious" variant of the original RI
RI2 (2) = even more cautious version of the (cautious) RI2

In any case, all 4 of them are now well above 50, for the second day, which means the RIx signals are clearly saying 'up' by now.

[oda.krell]

2014-06-30

trend: down

intraday median daily price: $617
intraday daily MACD hist: 0.2

RI1 (2) = 99
RI1 (3) = 85

RI2 (1) = 60
RI2 (2) = 53

[oda.krell]

2014-07-01

trend: down

intraday median daily price: $648
intraday daily MACD hist: 8.4

RI1 (2) = 99
RI1 (3) = 99

RI2 (1) = 99
RI2 (2) = 99

comment: um, yes... Not much point anymore reporting the RI values during this swing, unless it turns around again, they're all at max anyway.

MACD signal would have, according to the common interpretation, signaled a buy today, because yesterday MACD hist went positive again.

So... buying signal MACD at ~$640 (today's opening price) vs. RI signal at $581 (on the 27th, the "risky" choice) or $598 (a day later, the "safer" choice).

[Raystonn]

So when does your trend change to up?

[oda.krell]

So when does your trend change to up?

Not my choice. The only "manual" choice is the starting point, which is June 1st @$683.

So I guess when and if we go above that value, and stay there for a bit.


EDIT: though I admit, it might make more sense to set a new starting point once the RI signaled reversal. As you can tell, I haven't fully thought this through yet

[Kramerc]

I'm liking this a lot. Interesting experiment but fortunately I was already all-in by the time the indicator reversed. Maybe next time I'll use it, provided you keep updating the thread. So thanks for a good read.

[oda.krell]

I'm liking this a lot. Interesting experiment but fortunately I was already all-in by the time the indicator reversed. Maybe next time I'll use it, provided you keep updating the thread. So thanks for a good read.

Thanks as well.

It's probably too early to really trust the signal with any significant amount of money, at least before testing it some more. As I wrote a few posts above, I tuned it to be a lot more "sensitive" to an impending reversal, so the question is now whether it'll give too many false positives.

Apart from that, I don't think it'll ever become as accurate and profitable as a good trader who goes bottom fishing. My goal is not to beat discretionary trading, but to get an automated (or almost automated) signal that is *slightly* better than, say, daily MACD. If I can get there, I'd be pretty happy. I still wouldn't trade based on the RI alone, but I would be able to include it in my inventory of indicators that I use to make decisions.

[zimmah]

2014-07-01

trend: down

intraday median daily price: $648
intraday daily MACD hist: 8.4

RI1 (2) = 99
RI1 (3) = 99

RI2 (1) = 99
RI2 (2) = 99

comment: um, yes... Not much point anymore reporting the RI values during this swing, unless it turns around again, they're all at max anyway.

MACD signal would have, according to the common interpretation, signaled a buy today, because yesterday MACD hist went positive again.

So... buying signal MACD at ~$640 (today's opening price) vs. RI signal at $581 (on the 27th, the "risky" choice) or $598 (a day later, the "safer" choice).

so, you are predicting it to go down from here?

or do i misunderstand how this works?

[oda.krell]

2014-07-01

trend: down

intraday median daily price: $648
intraday daily MACD hist: 8.4

RI1 (2) = 99
RI1 (3) = 99

RI2 (1) = 99
RI2 (2) = 99

comment: um, yes... Not much point anymore reporting the RI values during this swing, unless it turns around again, they're all at max anyway.

MACD signal would have, according to the common interpretation, signaled a buy today, because yesterday MACD hist went positive again.

So... buying signal MACD at ~$640 (today's opening price) vs. RI signal at $581 (on the 27th, the "risky" choice) or $598 (a day later, the "safer" choice).

so, you are predicting it to go down from here?

or do i misunderstand how this works?

No, very much not. The prediction is more or less over for now, but a few days ago, my RI predicted we'd go up. As of today, MACD agrees.

Could you let me know where you got that idea from, so I can work on improving my way of presenting the results?

[oda.krell]

Quick single day update..

2014-07-11

larger trend (since June 1) = down

RI1(2) = 85
RI2(1) = 46


subtrend (since June 26) = up

RI1(2) = 62
RI2(1) = 46

comment: By my interpretation (where RI1 is the leading indicator and RI2 should be used for confirmation), this means mid term, we're most likely breaking out of the downtrend since June 1st (but would want to see the RI2 at 50 or above to be sure). Short term there's potential to go down some more, i.e. break down from the June 26 upwards trend, especially if the shorter term RI2 crosses 50. (EDIT) just to be sure: it's coincidence that both RI2 are at 46. They're based on different data, from their respective trend.


(EDIT) adding one more time scale...

even larger trend (since May 19) = up

RI1(2) = 33
RI2(1) = 19

comment: In other words, the trend that took us from ~$450 to where we are now shows no signs of reversing (by the RI metric).


(edit) Here's a (qualitative) summary of the above (quantitative) results:

The currently most robust trend, from May 19, appears to be 'up'. It depends now which time frame's reversal is confirmed first, i.e. whether the June 1 downtrend RI2 crosses 50 first (then: likely upwards breakout) or the June 26 uptrend RI2 crosses 50 first (then: likely downwards breakout). Given the current data, the upwards breakout is the more likely scenario (higher RI1 value, and embedded in the larger May uptrend).