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A VERY simple question :)

  • #1
  • First Post: May 7, 2010 11:57am May 7, 2010 11:57am
I've spent an hour searching for something pretty simple, but haven't figured it out. How would you code if a MA is sloping up or down?

If the MA slopes up, buy -- if down, sell.
  • #2
  • May 7, 2010 12:39pm May 7, 2010 12:39pm
ObjectGetValueByShift("NameOfTrendline",0)
The more experience the closer to the reality
  • #3
  • May 7, 2010 12:46pm May 7, 2010 12:46pm
The definition of 'sloping up' and the definition of 'sloping down' is difficult to mathematically define. What may be sloping up to you could be sideways movement to me.

If it truly was this simple, we would be millionaires ages ago.
  • #4
  • May 7, 2010 3:52pm May 7, 2010 3:52pm
Your eyes are the best way to accomplish this. With respect to an indicator, HMA Angle is the best I had seen, but it prone to lagging as any MA is. Search for it on the Programming Discussion thread and you should good versions.
  • #5
  • Edited 7:43am May 8, 2010 1:19am | Edited 7:43am
CodeMeister,

HMA angle and just about any other 'angle' indicator generally considers only the current bar's value, and the value of the bar prior to it.

As a general rule of thumb, to try and garner a broader idea of what the overall trend direction is, I find using a linear regression works better. I personally have been using these for some of my trading, particularly finding consolidating periods and the subsequent breakouts that don't normally happen at a predictable time (akin to what tony mentions in his virus trading thread).

The problem with using linear regressions becomes which price value to use. Do I use:

 

  1. Open
  2. High
  3. Low
  4. Close
  5. Midpoint
  6. Typical
  7. Weighted
  8. Some other funky derivative of price?

After this, the problem becomes, what is the threshold which defines a slope?

 

  1. Is it 10 pips/bar?
  2. Is it 20 pips/bar?
  3. 30?
  4. 40?
  5. 50?
  6. 1,000,000?


Once you have this down, you need to consider:

 

  1. How many bars at what slope defines a trend?
  2. How do I filter out breakouts or spikes?
  3. How do I measure choppy movement vs smooth movement?


Some food for thought.

[Edit]

The mql4 codebase has several linear regression indis to play around with.

  • #6
  • May 8, 2010 9:14am May 8, 2010 9:14am
Thanks for the ideas -- I had no idea that it would be tricky! It is just one of the (what seemed to be mechanical) conditions that I have been eyeballing when I place manual trades. I guess it will be harder to program it than I thought.

Who knew that my eyes were so sophisticated!

Thanks so the input.
  • #7
  • May 8, 2010 9:28am May 8, 2010 9:28am
Actually you can do it on a simpler level: in algebra slope = distanceY / distanceX (example http://khanexercises.appspot.com/video?v=hXP1Gv9IMBo) Also this can be considered your MA's rate of change.

distanceX is your desired custom input
distanceY = ma[i] - ma[i + distanceX ]
slope = ( ma[i] - ma[ i + distanceX ] ) / distanceX

if slope > 0 buy, if slope < 0 sell

Inserted Code
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 Red
#property indicator_level1 0.0

extern int  maPeriod =25, //a D1 month
            distanceX =1;

double slope[], Y0, Y1, distanceY;

int init() {
   SetIndexStyle(0,DRAW_LINE);
   SetIndexBuffer(0,slope); 
   return(0);
   }

int start() {
   int   counted_bars=IndicatorCounted();
   int   limit = Bars-counted_bars-1;

   for(int i=limit;i>=0;i--) {
      Y0 = iMA(NULL,0,maPeriod,0,MODE_SMA,PRICE_OPEN, i );
      Y1 = iMA(NULL,0,maPeriod,0,MODE_SMA,PRICE_OPEN, i + distanceX );

      distanceY = Y0 - Y1;
      slope[i] = ( distanceY )/( distanceX );
      }
   return(0);
   }

Looks like this simple thing actually profits (a bit inconsistent) on long term EURUSD D1, maPeriod around 25, distanceX=1. cool
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  • #8
  • May 8, 2010 11:27am May 8, 2010 11:27am
The problem I have found with this sort of solution is you consider only two points in a time series, and the resulting value is the average slope of the price during that period.

That in itself I suppose is useful for determine the trend's direction from a very high level, but it presents some of the same problems as using any 'slope' indicator. The difference is instead of using the current bar, and the previous bar, you use the current bar and one bar several bars back.

Is there a way I could use this or otherwise manipulate this to somehow determine if the slope has been changing during the period and somehow display that on the chart?
  • #9
  • Last Post: May 8, 2010 11:44am May 8, 2010 11:44am
Keeping things simple I'd take this just one step further.
changeinslope = ( slope[i] - slope[ i+distanceX ] ) / distanceX

But that gets pretty noisy... ...so meanrevert this part, while simultaneously trendfollowing the original slope... in which case it's a matter of finding the right boundaries and we're circling back to dsp.
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