VTTrader: Indicator Discussions for VT Trader

Hi Rippy,

I would say that is a very concise and accurate comparison between Fantail and Guppy.

Actually, Fantail {a tropical fish variety of Fancy Guppy} is a derivative of GMMA designed to reduce the whip of {all, but particularly} the Shorter {Traders} MA's while still maintaining the integrity of the Indicator.

After defining Wilder's ADX, I then use Tuchar Chande's Variable MA formula to make the MA's dynamic.

From Daryl Guppy {Trader}

The inferred activity of traders is tracked by using a group of short term moving averages. The traders always lead the change in trend. Their buying pushes up prices in anticipation of a trend change. Their activity is shown by a 3, 5, 8, 10, 12 and 15 day group of exponentially calculated moving averages.

The trend survives only if other buyers also come into the market. Strong trends are supported by long term investors. The investor takes more time to recognize the change in a trend but he always follows the lead set by traders. We track the investors' inferred activity by using a group of long term moving averages. This group is 30, 35, 40, 45, 50 and 60 day exponentially calculated moving averages.

Mr. Guppy explains this while dealing with Daily Stock Charts in which his MA Periods would make more sense.
Traders MA Periods
03 ~ 0.5 Weeks.
05 = 1.0 Weeks.
08 ~ 1.5 Weeks.
10 = 2.0 Weeks.
12 ~ 2.5 Weeks. {Not sure why it's not 13 but you figure it out}
15 = 3.0 Weeks.

Long Term Group MA Periods starts at
30 = 6.0 Weeks.


If you are using Guppy on Daily Forex, imho, that progression should be adjusted to... 03, 06, 09, 12, 15, 18.
The Long Term MA Periods should also be adjusted accordingly to accomodate 6 Day Weeks {not 5} 36, 42, 48, 54, 60, 66.
Attached is a 30 Minute GBP/USD for Fantail & Daryl's Guppy comparison.

Following is the code and image of most inputs for the VT Trader Trading Strategy Template.
Posted for anyone who wishes to transpose it.

Formula Tab
{Edit this section to your preferences.}

{Control Error}

Barnum:= BarCount();
Err:= (tp1=0) or (tp2=0);

{Add Indicators Here}

Indicator1:= mov(C,tp1,mTp);
Indicator2:= mov(C,tp2,mTp);

{Do NOT change the NAMES of the Variables below.
If you Changed The NAMES of Indicator1 or Indicator2,
you will have to change them below.}

{Define Final Trade Entry/Exit Criteria}

LongEntrySetup:= Cross(Indicator1,Indicator2);
LongExitSetup:= Cross(Indicator2,Indicator1);

ShortEntrySetup:= Cross(Indicator2,Indicator1);
ShortExitSetup:= Cross(Indicator1,Indicator2);

{***********************************************}

{That's it! You're done! There is no need to
edit below this point.}

{***********************************************}

{Determine the Pip Value for the currency chart being used}

_InitialStoploss:= InitialStoploss * SymbolPoint();
_TrailingStoploss:= TrailingStoploss * SymbolPoint();
_ProfitTarget:= ProfitTarget * SymbolPoint();
_Spread:= Spread * SymbolPoint();

{Define Active Market Hours for Taking Trade Entries}
{For Example: StartHour=2 and StartMinute=0 will allow trade entries beginning at 2:00 AM EST}
{For Example: EndHour=14 and EndMinute=30 will allow trade entries until 2:30 PM EST}

TradingSessionOnStart:= hour()=StartHour and minute()>=StartMinute;
TradingSessionOnEnd:= hour()=EndHour and minute()<=EndMinute;
TradingSessionOn:= SignalFlag(TradingSessionOnStart,TradingSessionOnEnd);
TradingSessionOff:= 1;
TradeEntryTimeFilter:= if(TradeEntryTimeFilterMode=0, TradingSessionOn, TradingSessionOff);

TradeEntryTimeFilterNotEnabled:= TradeEntryTimeFilter=0;
TradeEntryTimeFilterEnabled:= TradeEntryTimeFilter=1;

{***********************************************}

LongEntrySignal:= (NOT Err AND LongTradeAlert=0 AND ShortTradeAlert=0 and TradeEntryTimeFilter=1 AND LongEntrySetup) OR
(NOT Err AND LongTradeAlert=0 AND Cross(0.5,ShortTradeAlert) AND TradeEntryTimeFilter=1 AND LongEntrySetup) OR
(NOT Err AND LongTradeAlert=0 AND TradeEntryTimeFilter=1 AND ShortExitSetup);

LongEntryPrice:= valuewhen(1,LongEntrySignal,C);
BarsSinceLongEntry:= BarsSince(LongEntrySignal);

LongEntryInitialStop:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal, LongEntryPrice - _InitialStoploss, null);
DisplayLongEntryInitialStop:= if(InitialStoplossMode=0, LongEntryInitialStop, null);

LongEntryPipTrailingStop:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal, max((C - _TrailingStoploss), PREV(LongEntryPrice - _TrailingStoploss)), null);
LongEntryATRTrailingStop:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal, max(HHV(H,BarsSinceLongEntry) - (ATR(ATRper) * atrmultiplier), PREV(valuewhen(1,LongEntrySignal,H) - (ATR(ATRper) * atrmultiplier))), null);
DisplayLongEntryTrailingStop:= if(TrailingStoplossMode=0 AND TrailingStoplossType=1, LongEntryPipTrailingStop,
if(TrailingStoplossMode=0 AND TrailingStoplossType=0, LongEntryATRTrailingStop,
null));

LongEntryProfitTarget:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal, LongEntryPrice + _ProfitTarget, null);
DisplayLongEntryProfitTarget:= if(ProfitTargetMode=0, LongEntryProfitTarget, null);

LongExitSignal:= (LongTradeAlert=1 AND InitialStoplossMode=0 AND Cross(LongEntryInitialStop,C))
OR (LongTradeAlert=1 AND TrailingStoplossMode=0 AND TrailingStoplossType=1 AND Cross(LongEntryPipTrailingStop,C))
OR (LongTradeAlert=1 AND TrailingStoplossMode=0 AND TrailingStoplossType=0 AND Cross(LongEntryATRTrailingStop,C))
OR (LongTradeAlert=1 AND ProfitTargetMode=0 AND Cross(C,LongEntryProfitTarget))
OR (LongTradeAlert=1 AND LongExitSetup);

LongExitPrice:= valuewhen(1,LongExitSignal,C);

ShortEntrySignal:= (NOT Err AND ShortTradeAlert=0 AND LongTradeAlert=0 AND TradeEntryTimeFilter=1 AND ShortEntrySetup) OR
(NOT Err AND ShortTradeAlert=0 AND Cross(0.5,LongTradeAlert) AND TradeEntryTimeFilter=1 AND ShortEntrySetup) OR
(NOT Err AND ShortTradeAlert=0 AND TradeEntryTimeFilter=1 AND LongExitSetup);

ShortEntryPrice:= valuewhen(1,ShortEntrySignal,C);
BarsSinceShortEntry:= BarsSince(ShortEntrySignal);

ShortEntryInitialStop:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal, ShortEntryPrice + _InitialStoploss, null);
DisplayShortEntryInitialStop:= if(InitialStoplossMode=0, ShortEntryInitialStop, null);

ShortEntryPipTrailingStop:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal, min((C + _TrailingStoploss), PREV(ShortEntryPrice + _TrailingStoploss)), null);
ShortEntryATRTrailingStop:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal, min(LLV(L,BarsSinceShortEntry) + (ATR(ATRper) * atrmultiplier), PREV(valuewhen(1,ShortEntrySignal,L) + (ATR(ATRper) * atrmultiplier))), null);
DisplayShortEntryTrailingStop:= if(TrailingStoplossMode=0 AND TrailingStoplossType=1, ShortEntryPipTrailingStop,
if(TrailingStoplossMode=0 AND TrailingStoplossType=0, ShortEntryATRTrailingStop,
null));

ShortEntryProfitTarget:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal, ShortEntryPrice - _ProfitTarget, null);
DisplayShortEntryProfitTarget:= if(ProfitTargetMode=0, ShortEntryProfitTarget, null);

ShortExitSignal:= (ShortTradeAlert=1 AND InitialStoplossMode=0 AND Cross(C,ShortEntryInitialStop))
OR (ShortTradeAlert=1 AND TrailingStoplossMode=0 AND TrailingStoplossType=1 AND Cross(C,ShortEntryPipTrailingStop))
OR (ShortTradeAlert=1 AND TrailingStoplossMode=0 AND TrailingStoplossType=0 AND Cross(C,ShortEntryATRTrailingStop))
OR (ShortTradeAlert=1 AND ProfitTargetMode=0 AND Cross(ShortEntryProfitTarget,C))
OR (ShortTradeAlert=1 AND ShortExitSetup);

ShortExitPrice:= valuewhen(1,ShortExitSignal,C);

{Simulated Open Trade Determination and Trade Direction}

LongTradeAlert:= SignalFlag(LongEntrySignal,LongExitSignal);
ShortTradeAlert:= SignalFlag(ShortEntrySignal,ShortExitSignal);

{Create Auto-Trading Functionality}

OpenBuy:= LongEntrySignal and (eventCount('OpenBuy')=eventCount('CloseBuy'));
CloseBuy:= LongExitSignal and (eventCount('OpenBuy')>eventCount('CloseBuy'));

OpenSell:= ShortEntrySignal and (eventCount('OpenSell')=eventCount('CloseSell'));
CloseSell:= ShortExitSignal and (eventCount('OpenSell')>eventCount('CloseSell'));

{***********************************************}

{Calculate Simulated Individual Trade Profit In Pips}

_TradeProfitInPips:= If(LongExitSignal=1,LongExitPrice - (LongEntryPrice + _Spread),
If(ShortExitSignal=1,ShortEntryPrice - (ShortExitPrice + _Spread),
0));

TradeProfitInPips:= if(SymbolDigits()=4, _TradeProfitInPips * 10000, _TradeProfitInPips * 100);

{Calculate Simulated Total Profit In Pips}

TotalProfitInPips:= cum(TradeProfitInPips);

{Calculate Number of Trades and W/L Percentage}

LosingTrades:= cum(If(TradeProfitInPips < 0,1,0));
WinningTrades:= cum(If(TradeProfitInPips > 0,1,0));
BreakEvenTrades:= if((LongExitSignal=1 or ShortExitSignal=1) and TradeProfitInPips=0, PREV+1, PREV);
TotalTrades:= cum(LongExitSignal) + cum(ShortExitSignal);

{Calculate Current Open Trade P/L In Pips}

_OpenTradeInPips:= If(LongTradeAlert=1, (C - _Spread - LongEntryPrice),
If(ShortTradeAlert=1, (ShortEntryPrice - C - _Spread), null));

OpenTradeInPips:= if(SymbolDigits()=4, _OpenTradeInPips * 10000, _OpenTradeInPips * 100);

MaxOpenProfit:= Highest(OpenTradeInPips);

MaxOpenLoss:= Lowest(OpenTradeInPips);

{***********************************************}

While using Bemac's variable ma timeframe indicator I found myself at first using the longer timeframes, Ex-(1hr chart use 4hr ma's). In my trading I always find myself quickly glancing down at a 5 min chart before placing any trade. I do not want to make my trades while the shorterm 5 min chart is in disaggrement with the longterm charts. It occurred to me that all I have to do is put the variable ma's indicator- set to the 5 min ma I desire. Now I always place the next lower timeframe shorterm ma's on my chart. I do not have to waste my time looking at a 5 min chart. This also opens up additional ma relationships that can be traded. (See image)
I thought I would run this by other traders and see if this application has merit!
As you can see, the "Black" 5 minute -10 period ma - acts as a leading indicator.

Thanks,
Rippy

Hi Rippy,

This is a very easy mistake to make and therefore a good lesson for all. I hope you wont mind if I point something out here.

When I constructed this indicator the intention was to view an MA from a Higher Timeframe. {not Lower Timeframes} The formula to do this is as follows.

SourceMAPeriods * SourceTimeframeMinutes / Destination TimeframeMinutes.

Using this equation, your formula would read.

10 * 5 / 30

Which would calculate to 1.66

So, in effect, you are applying a 1 bar MA to your 30 Minute chart.

Sorry if this dissappoints you but I couldn't leave it without letting you know.

In the back of my mind I was wondering how you could produce the smaller data to make up the smaller ma. I understand how you can get a higher timeframe ma. Thanks for clearing that up. I will take that shortcut out of my routine.

Thanks,
Rippy

Hi, bemac, need your help here

i am wrrting a simple trading system where buy signal will be genrated whenever the close cross 20 MA

buy:=cross(C,mov(c,20,s));

i m using a 15 min TF and what i have observed is that at this moment the price already crossed the 20 moving average,and stay above it for few sec but then the follwing sec it had turned down , creating a upper tail and cross back below the 20 moving average. The current price bar is dynamic !!!

my question is:

How to confirm that the price is already cross the 20 moving average?

thanks you

On the Current Bar, VT uses the Last @ as the Close.
This means that if the 2nd tick on the Current Bar Crosses Above the MA, your Buy Criteria will be True & will remain so as long as the Last @ stays above the MA. If the Current Bar Ends [closes] above the MA, your Buy will be activated.
[remember that VT triggers orders @ the Close of the Bar only.
I understand there are pros and cons to that]


You may want to try this to compare results but remember it will still trigger @ the close of the bar.

buy:=cross(High,mov(c,20,s));

Let me know if that helps.

Also, depending on your strategy you could just reference the previous bar for your condition...

Long:= ref(C,-2) < mov(C,20,S) and ref(C,-1) > mov(C,20,S);

However, if you're using this for automated trading it has the effect of delaying your entry by 1 full bar since the condition will be true on the first tick of the newly forming bar, but then you must wait for that bar to close for the order to be placed.

Both methods have their pros and cons. This is just another alternative.

Regards,
Chris

thanks bemac and chris for the explantaion,

So i can say the code cross(C,mov(c,20,s0) will only be triggered once the Close of the current bar is above the 20 moving average and it is not depends on the dynamic movement of the current bar.right?

I think i misundertood as i saw one of the indcitor i m using is dynamic(RSI), for example, current RSI is> 50 but few second later it dint cross the 50 mark and stay below it. i guess i can use chris technique to filter that.

Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) > 50;

please correct me if i am wrong.

thanks alot guys

Not sure if this is a typo but ...
"So i can say the code cross(C,mov(c,20,s0)" will not pass.

RSI Filter.
Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) > 50;
As long as you don't mind going long if the RSI for the Current Bar Close is below 50 as it could be.
This would still put you Long even if the RSI crossed back Under 50.
RSI 2 Bars ago = 48.
RSI 1 Bar ago = 51.
RSI Current Bar = 49.
Result would be Long at Close of Current Bar.

This one will only get you Long at the Close of the Current Bar if the RSI is crosses Above 50 During the Current Bar.
Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) <= 50 and rsi(14) > 50;

The ref(rsi(14),-2) < 50 makes sure that the RSI is approaching 50 from the right direction.
The ref(rsi(14),-1) <= 50 and rsi(14) > 50; will ensure that the RSI Just crossed above 50.

Like Chris mentioned, it really depends on exactly what your entry criteria is/are.

Getting any closer? Or more confusing?

i m sorry that is a TYPO

my criteria is buy when the RSI is over 50 and that close is confirm/ static/not dynamic/wont change anymore for that particular bar

Take the daily TF for example, The EOD will get us the close, high, open and low. So if the EOD of the close that day shows RSI>50, that will generate a buy signal.

I try to give an example of the dynamic movement:

Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) <= 50 and rsi(14) > 50

For the above code, if current bar for TF 15 min , will it be like that:

5th minute = RSI>50 ---> buy? Arrow appear
6th minute = RSI<50 --> become no buy? Arrow dispear
10th minute = RSI>50 again ----> buy signal again? arrow appear again

what i try to get is at the 16th minute which is another bar for TF 15 is confirmed RSI>50

can i do it like this:

Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) <= 50 and rsi(14) > 50 and ref(rsi(14),1)>0

thanks

hi bemac,

can u pls show me where to download the Full Template Trading System 06 Code(in VT format)..

A question here for Full Template Trading System 06 Code :

Izzit possible to add an account risk control where when the loss is more than 50% of the account size, the automate trading will stop immediately?


thank you

"Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) <= 50 and rsi(14) > 50 and ref(rsi(14),1)>0;"

No. You cannot Reference into the Future. ref(rsi(14),+1)>0;


Long:= ref(rsi(14),-2) < 50 and ref(rsi(14),-1) <= 50 and rsi(14) > 50;
This should work for what you want. But, [there's always a but]
[for explanation purpses]
It will be at 14 Minutes and 60 seconds + a pica or 2. Not at the 16th minute.
In other words, on the Close of the Bar that all conditions are True.

"what i try to get is at the 16th minute which is another bar for TF 15 is confirmed RSI>50"

You would have to wait another 15 minutes until That Bar Closes. VT Trader will not [at the present time] Auto Trade on Any other Point of the Bar Except the Last Tick of the Bar. [Close]

hi, if i would like to create a counter that will check for the close to cross the 20 MA for 5 periods, what code shoud i use?

for example, now RSI already >50 but the price is still trading under the 20 MA.... the system will give a"buy" when RSI>50 and cross(c,mov(c,20,s))=1.
but since the price is trading under or very near to the 20MA,5 more bars are given to the price to cross the 20MA since RSI>50 in order to generate a "buy".

thanks

Long:= BarsSince(Cross(RSI,50))<=5 AND BarsSince(Cross(50,RSI))>5 And Cross(Close, Mov(Close,20,S));

5 Could be defined as an Input.
Input: MyBars
Style: Integer
Default: 5

Long:= BarsSince(Cross(RSI,50))<= MyBarsAND BarsSince(Cross(50,RSI))> MyBars And Cross(Close, Mov(Close,20,S));

I now have ~ 4 1/2 hours before I will be back here trading. Gotta get some zzz's. Will check back later today to see how you are doing.

icic, thanx alot for the help

Hey Rams,

Did that work for you?

Hi Bemac -- More of a "How to" than an indicator request. Whilst I trade my own hybrid Sidus/VB with reasonable success I have been looking for something more effective for ranging markets and like the look of the Fozzy method .

I cannot access the VT Help Forum today -- hence the question here.

How can I overlay an 8 period MA of the RSI on an RSI (8) and also Bollinger Bands (20) on the same RSI ? This would give me the basics.

Keven (Bramhall17)

Have now been able to access VT forum and got the answer from Chris

-------- B17

Bemac,

What drives you to do all of the fantastic work you do for people. Surely you must be compensated by FF. If not you are an amazingly kind and gifted person!!

My apologies for the posts- just read the heading