Média de Mudança Adaptativa de Kaufman039s (KAMA) Introdução Desenvolvida por Perry Kaufman, a Média de Mudança Adaptativa de Kaufman039 (KAMA) é uma média móvel projetada para explicar o ruído ou a volatilidade do mercado. A KAMA acompanhará os preços quando os balanços de preços são relativamente pequenos e o ruído é baixo. KAMA irá se ajustar quando os balanços de preços se expandirem e seguirem os preços a uma distância maior. Este indicador de tendência pode ser usado para identificar a tendência geral, os pontos de giro do tempo e os movimentos dos preços dos filtros. Cálculo Existem várias etapas necessárias para calcular a Média de Mudança Adaptativa de Kaufman039s. Os primeiros começam com as configurações recomendadas por Perry Kaufman, que são KAMA (10,2,30). 10 é o número de períodos para a Razão de Eficiência (ER). 2 é o número de períodos para a constante EMA mais rápida. 30 é o número de períodos para a constante EMA mais lenta. Antes de calcular o KAMA, precisamos calcular a Razão de Eficiência (ER) e a Constante de Suavização (SC). Divulgar a fórmula em nuggets de tamanho de mordida facilita a compreensão da metodologia por trás do indicador. Observe que o ABS significa Absolute Value. Razão de Eficiência (ER) O ER é basicamente a mudança de preço ajustada para a volatilidade diária. Em termos estatísticos, a Razão de eficiência nos diz a eficiência fractal das mudanças de preços. ER flui entre 1 e 0, mas esses extremos são a exceção, não a norma. ER seria 1 se os preços subissem 10 períodos consecutivos ou 10 períodos consecutivos. ER seria zero se o preço for inalterado ao longo dos 10 períodos. Constante de Suavização (SC) A constante de suavização usa o ER e duas constantes de suavização com base em uma média móvel exponencial. Como você pode ter notado, a constante de suavização está usando as constantes de suavização para uma média móvel exponencial na sua fórmula. (2301) é a constante de suavização para uma EMA de 30 períodos. O SC mais rápido é a constante de suavização para EMA mais curto (2 períodos). O SC mais lento é a constante de suavização para o EMA mais lento (30 períodos). Observe que o 2 no final é quadrado da equação. Com a Razão de Eficiência (ER) e a Constante de Suavização (SC), agora estamos prontos para calcular a Média de Mudança Adaptativa de Kaufman039 (KAMA). Uma vez que precisamos de um valor inicial para iniciar o cálculo, o primeiro KAMA é apenas uma média móvel simples. Os seguintes cálculos são baseados na fórmula abaixo. Exemplo de cálculoChart As imagens abaixo mostram uma captura de tela de uma planilha do Excel usada para calcular KAMA e o gráfico QQQ correspondente. Uso e sinais Os cartistas podem usar o KAMA como qualquer outro indicador de tendência seguinte, como uma média móvel. Os cartistas podem procurar cruzes de preços, mudanças direcionais e sinais filtrados. Primeiro, uma cruz acima ou abaixo da KAMA indica mudanças direcionais nos preços. Tal como acontece com qualquer média móvel, um sistema de cruzamento simples gerará muitos sinais e muitos whipsaws. Os cartistas podem reduzir os whipsaws aplicando um filtro de preço ou tempo para os crossovers. Pode-se exigir que o preço mantenha a cruz para o número definido de dias ou exigir que a cruze exceda KAMA por porcentagem definida. Em segundo lugar, os cartistas podem usar a direção da KAMA para definir a tendência geral de uma segurança. Isso pode exigir um ajuste de parâmetros para facilitar o avanço do indicador. Os cartistas podem mudar o parâmetro do meio, que é a constante EMA mais rápida, para alisar o KAMA e procurar mudanças direcionais. A tendência está baixa enquanto a KAMA está caindo e forjando baixas mais baixas. A tendência aumenta enquanto a KAMA estiver aumentando e forjando altos altos. O exemplo de Kroger abaixo mostra KAMA (10,5,30) com uma tendência ascendente acentuada de dezembro a março e uma tendência ascendente menos escarpada de maio a agosto. E, finalmente, os artistas podem combinar sinais e técnicas. Os cartistas podem usar um KAMA de longo prazo para definir a tendência maior e um KAMA de prazo mais curto para sinais comerciais. Por exemplo, KAMA (10,5,30) poderia ser usado como um filtro de tendências e ser considerado otimista ao subir. Uma vez otimista, os carters poderiam então procurar cruzes de alta quando o preço se movesse acima de KAMA (10,2,30). O exemplo abaixo mostra MMM com um aumento de KAMA a longo prazo e cruzamentos de alta em dezembro, janeiro e fevereiro. KAMA de longo prazo recusou em abril e houve cruzamentos de baixa em maio, junho e julho. SharpCharts KAMA pode ser encontrado como uma sobreposição de indicadores no banco de trabalho SharpCharts. As configurações padrão aparecerão automaticamente na caixa de parâmetros uma vez que ela for selecionada e os carters podem alterar esses parâmetros de acordo com suas necessidades analíticas. O primeiro parâmetro é para a Razão de Eficiência e os autores devem abster-se de aumentar esse número. Em vez disso, os cartistas podem diminuí-lo para aumentar a sensibilidade. Os cartistas que procuram lidar com o KAMA para análise de tendências a longo prazo podem aumentar o parâmetro do meio de forma incremental. Mesmo que a diferença seja apenas de 3, KAMA (10,5,30) é significativamente mais suave do que KAMA (10,2,30). Estudo adicional Do criador, o livro abaixo oferece informações detalhadas sobre indicadores, programas, algoritmos e sistemas, incluindo detalhes sobre KAMA e outros sistemas de média móvel. Sistemas e Métodos de Negociação Perry KaufmanWard Systems Group, Inc. QuetLet seus sistemas aprendem a sabedoria da idade e experiência do comércio Indicador Avançado, Rede Neural e Complementos de terceiros Faça seus sistemas de negociação para outro nível quando você compra complementos que permitem que você inscreva-se Tudo, desde indicadores sofisticados e arquiteturas avançadas de redes neurais até John Ehlers MESA9 análise de freqüência e fase Ward Systems Group Add-ons Indicadores de rede adaptativa - redes neurais especialmente adaptadas ao reconhecimento de padrões, algumas das quais incluem automaticamente atrasos de insumos. Útil para construir suas próprias médias móveis adaptativas. Turbo-propulsor adaptativo 2 - como as redes neurais no Assistente de Previsão, mas eles funcionam como um indicador e se auto-reciclam automaticamente. Você pode otimizar o tamanho do conjunto de treinamento, o intervalo de caminhada, o número de neurônios escondidos e até o período de lookahead. Conjunto de indicadores avançados 1 - um conjunto de indicadores que os usuários solicitaram, incluindo indicadores de caos, um indicador que fornece a fase da lua e os indicadores da linha de tendência da curva. Conjunto Indicador Avançado 2 - nosso segundo conjunto de usuários solicitou indicadores, incluindo indicadores de Marc Chaikin e J. Welles Wilder, Wavelets redundantes de Haar, Indicadores de bandeira, Indicadores de contagem de BarCondition e outros Indicadores Diversos Advanced Indicator Set 3 - um conjunto eclético de indicadores que se expandem NeuroShell Traders capacidade de encontrar um valor entre duas condições separadas ou desde a ocorrência de uma única condição. Além disso, o Set 3 adiciona a energia para contar, lembrar ou alternar os valores de forma remota e automática com base em condições. Essas funções complementam a ênfase NeuroShell Traders na construção de indicadores com um assistente em vez de exigir que o usuário seja programador. O resultado é um aumento significativo da velocidade na construção e teste de sistemas de negociação. Indicadores de cluster - como os indicadores neurais, eles dão um sinal de compra ou venda (a probabilidade de seu problema ser uma oportunidade de compra ou venda), mas eles funcionam agrupando em vez de usar uma rede neural. Reconhecedor de padrões difusos - Permite descrever padrões nos quais você está interessado e, em seguida, informa quando esses padrões aparecem. Usa lógica difusa para encontrar os padrões, para que possa dizer-lhe quando um padrão é como aquele que você está procurando. Fuzzy Sets - Com Fuzzy Sets, o usuário pode instruir o NeuroShell com funções equivalentes a declarações fuzzy como: Compre quando o indicador Stochastic K é muito alto e o Commodity Channel Index é alto e a propagação entre duas médias móveis é baixa. Indicadores neurais - redes neurais de classificação que lhe dão a probabilidade de que a situação atual seja uma oportunidade de compra ou venda. Essas redes não predizem qualquer preço, eles lhe dão uma probabilidade de sinal direto. Algumas delas são redes recorrentes que olham automaticamente para trás no tempo. Pattern Matcher - um conjunto de indicadores com base no conceito de encontrar padrões, passados ou presentes, em uma série de tempo, e a atividade subseqüente que ocorreu após ele. Turning Points - um conjunto de indicadores com base no conceito de encontrar picos e vales locais em uma série de preços. Exemplos de terceiros Jurik Indicators JMA - Jurik Moving Average Filtro de eliminação de ruído de classe mundial para dados de preço de mercado. Permite que você veja a atividade subjacente sem os jaggies. Tem um atraso extremamente baixo, é muito suave e inusitadamente sensível às lacunas de preços de mercado. Para detalhes, visite jurikrescatalogmsama. htmtop VEL - Velocity Indicator Versão superior do indicador de momentum clássico. Tem um atraso extremamente baixo. Preciso e muito suave. Excelente para análise de divergência de preço-momento. Para detalhes, visite jurikrescatalogmsvel. htmtop CFB - Composite Fractal Behavior Versão superior do indicador ADX clássico. Mede a duração da tendência (não momentum), tornando-o ideal para ajustar de forma adaptável a velocidade de outros indicadores técnicos. Muito sensível à qualidade da tendência do mercado, tornando-o útil como aviso prévio contra o colapso das tendências. Para obter detalhes, visite jurikrescatalogmscfb. htmtop RSX - Índice de qualidade de força relativa Versão superior do indicador RSI clássico. Combina o impulso do mercado e a qualidade da tendência em um único sinal. Sem barulho Consulte o gráfico de cima e de direita em jurikres para uma comparação clara entre RSI e RSX. Para obter detalhes, visite jurikrescatalogmsrsx. htmtop Informações de contato: Informações de contato: Mesa Software, Inc (Vendido por Ward Systems Group, Inc) Produto (s): Análise cibernética O grupo John Ehlers e Ward Systems Group criou os indicadores de Análise Cibernética como um complemento dos indicadores Detalhado no excelente livro de Johns Cybernetic Analysis for Stocks and Futures, publicado por John Wiley Sons (19 de março de 2004), ISBN: 0471463078. Este complemento também inclui mais de 10 gráficos de exemplo e outros modelos de Estratégia de Negociação. O livro Ehlers desenvolve e demonstra novas ferramentas de negociação efetivas através da aplicação de modernas técnicas de processamento de sinais digitais. Essas ferramentas provaram em tempo real usar para fornecer consistentemente aos comerciantes sinais de compra e venda afiados em praticamente qualquer mercado - cumprindo ou superando o desempenho de sistemas comerciais que custam centenas ou mesmo milhares de dólares, de acordo com a Ehlers. Modernizando os procedimentos de negociação popular para tirar proveito da incrível velocidade de computação e poder disponível para o comerciante de hoje, a Ehlers apresenta: The Fisher Transform - a certeza de que a função de densidade de qualquer indicador é gaussiana, criando sinais comerciais mais nítidos. O Índice Vigor relativo - Oscilador em que o movimento é normalizado para o intervalo de comercialização de cada barra Transformada de Hilbert melhorada - um método mais responsivo para medir com precisão os ciclos de mercado O Indicador de onda de Sinewa - um filtro não causal que fornece sinais de entrada e saída 116 de um ciclo de antecedência Do ponto de viragem A Transformada Laguerre - uma nova ferramenta para abordar o problema de suavização versus atraso de forma mais eficaz e criar melhores filtros de suavização Filtros Super Smoothing - proporcionam mais suavização com menos lag Cálculos médios simples moventes - duas novas maneiras de calcular o simples Média móvel com facilidade sem precedentes Os avanços realizados em tecnologia informática nas duas últimas décadas ultrapassaram claramente a adva Nces em software e prática comercial. Análise cibernética para estoques e futuros busca restaurar o equilíbrio entre poder computacional e proficiência do usuário, de acordo com Ehlers. Combinando novos indicadores com sistemas testados para previsão de estoque e mercados de futuros com precisão cirúrgica, levará seus sistemas a novos níveis de precisão preditiva, eficácia comercial e rentabilidade global. Os usuários do NeuroShell Trader Professional e DayTrader podem aprimorar ainda mais o trabalho da Ehlers combinando seus indicadores com o poder do otimizador de NeuroShell Traders para produzir sistemas de negociação com uma vantagem vencedora. O complemento Análise cibernética está disponível agora e custa 399 pelo download na Internet. Embora exista um arquivo de ajuda com o complemento para auxiliar na mecânica, o complemento é um complemento do livro, e a teoria eo uso dos indicadores são explicados apenas no livro. Você não deve comprar o complemento sem comprar o livro, que nesta escrita é descontado de 32 a 54.37 na Amazon. O complemento Análise cibernética contém os seguintes indicadores do livro: Preço - retorna a média dos valores altos e baixos para a barra. Ehlers usa esse valor na maioria dos seus indicadores quando se refere a um fluxo de dados de preço. Cyber1FisherTransform - Ehlers descreve o Fisher Transform como um processo matemático que converte um conjunto de dados em um com uma Gaussian Probability Density Function (PDF). Este indicador é descrito no Capítulo 1. Ele pode ser combinado com o indicador FisherTransformTrigger para criar um sistema comercial. Cyber1FisherTransformTrigger - O indicador FisherTransformTrigger é criado atrasando o indicador FisherTransform por uma barra. O indicador FisherTransformTrigger pode ser combinado com o indicador Fisher Transform para criar um sistema de negociação. Cyber3ITrend - Este é o indicador Tendência Instantânea descrito no Capítulo 3. De acordo com a Ehlers, ter um Instantâneo Trendline com zero atraso é um bom começo para gerar um sistema responsivo de tendências. Este indicador pode ser usado com o indicador Cyber3ITrendTrigger para criar um sistema de negociação. Cyber3ITrendTrigger - Este é o Instantâneo Trendline Trigger descrito no Capítulo 3. Este é um indicador líder que é criado adicionando um impulso de dois dias do Instantâneo Trendline ao Instantâneo Trendline em si. Este indicador pode ser usado com o indicador Cyber3ITrend para criar um sistema de negociação. Para incorporar um preço limite para a condição de cruzamento de ITrend e sem limite para a condição de saída de emergência que usa o RevPct (porcentagem de reversão), este suplemento contém três indicadores adicionais não incluídos no livro Ehlers. A Estratégia de Negociação Ehlers está integrada nesses indicadores: Cyber3TSLimit - Cyber3TSLimit é usado em conjunto com Cyber3TSPosition e Cyber 3TSSignal. Cyber3TSPosition - Cyber3TSPosition é usado em conjunto com Cyber3TSLimit e Cyber 3TSSignal. Cyber3TSSignal - Cyber3TSSignal é usado em conjunto com Cyber3TSPosition e Cyber 3TSLimit. Cyber4Cycle - Este é o indicador Cyber Cycle descrito no Capítulo 4. Este é um indicador que isola os ciclos em dados com suavização adicional. Pode ser usado com o indicador Cyber4CycleTrigger para criar um sistema de negociação. Cyber4CycleTrigger - Este é o indicador Cyber Cycle Trigger descrito no Capítulo 4. O indicador Trigger é criado retardando o indicador Cyber Cycle por uma barra. Pode ser usado com o indicador Cyber4Cycle para criar um sistema de negociação. Cyber5CG - Este é o indicador do oscilador do Center of Gravity (CG) descrito no Capítulo 5. Ehlers descreve este indicador suavizado, com atraso zero como útil para identificar pontos de viragem. Pode ser combinado com o indicador Cyber5CGTrigger para criar um sistema de negociação. Cyber5CGTrigger - Este é o indicador do oscilador do Gatilho do Gravador de Gravidade (CG Trigger) descrito no Capítulo 5. O indicador de disparo é criado atrasando o indicador do Center of Gravity em uma barra. Pode ser combinado com o indicador Cyber5CG para criar um sistema de negociação. Cyber6RVI - Este é o indicador do Índice de Vigor Relativo (RVI) descrito no Capítulo 6. Este indicador mede a força ascendente e descendente do mercado normalizado para o intervalo de negociação. Pode ser combinado com o Cyber6RVITrigger para criar um sistema de negociação. Cyber6RVITrigger - Este é o indicador de Gatilho de Índice de Vigor Relativo (RVI Trigger) descrito no Capítulo 6. O indicador de Trigger é criado retardando o indicador de Índice de Vigor Relativo em uma barra. Pode ser combinado com o Cyber6RVI para criar um sistema de negociação. Cyber8StochasticRSI - Este é o indicador StochasticRSI descrito no Capítulo 8. Este indicador é uma proporção de preços acima em relação à soma dos preços para cima e para baixo, e a parte estocástica analisa os altos e baixos durante o mesmo período. Pode ser combinado com o Cyber8StochasticRSITrigger indicator para criar um sistema de negociação. Cyber8StochasticRSITrigger - Este é o indicador StochasticRSI Trigger descrito no Capítulo 8. O indicador Trigger é criado retardando o indicador StochasticRSI em uma barra. Pode ser combinado com o indicador Cyber8StochasticRSI para criar um sistema de negociação. Cyber8StochasticCycle - Este é o indicador do ciclo cíclico estocástico descrito no Capítulo 8. Adiciona o componente estocástico de examinar os altos e baixos para o indicador Cyber Cycle do Capítulo 4. Ele pode ser combinado com o indicador Cyber8StochasticCycleTrigger para criar um sistema de negociação. Cyber8StochasticCycleTrigger - Este é o indicador de ativação do ciclo cíclico estocástico descrito no Capítulo 8. O indicador de disparo é criado retardando o indicador StochasticCycle por uma barra. Pode ser combinado com o indicador Cyber8StochasticCycle para criar um sistema de negociação. Cyber8 StochasticCG - Este é o indicador do Centro de Gravidade Estocástica (CG) descrito no Capítulo 8. Adiciona o componente estocástico de examinar os altos e baixos para o indicador Center of Gravity do Capítulo 5. Ele pode ser combinado com o indicador Cyber8StochasticCGTrigger para criar Um sistema comercial. Cyber8StochasticCGTrigger - Este é o indicador Estocástico do Gravador de gravidade (CG Trigger) descrito no Capítulo 8. O indicador de disparo é criado retardando o indicador StochasticCG por uma barra. Pode ser combinado com o indicador Cyber8StochasticCG para criar um sistema de negociação. Cyber8StochasticRVI - Este é o indicador do Índice de Vigor Relativo Estocástico (RVI) descrito no Capítulo 8. Adiciona o componente estocástico de examinar os altos e baixos do Índice de Vigor Relativo do Capítulo 6. Ele pode ser combinado com o indicador Cyber8StochasticRVITrigger para criar uma negociação sistema. Cyber8StochasticRVITrigger - Este é o indicador de disparador de índice de vigor relativo estocástico (RVI Trigger) descrito no Capítulo 8. O indicador de disparo é criado retardando o indicador StochasticRVI em uma barra. Pode ser combinado com o indicador Cyber8StochasticRVI para criar um sistema de negociação. Cyber8FisherCycle - Este é o indicador Fisher Cyber Cycle descrito no Capítulo 8. Ehlers adiciona o Fisher Transform ao indicador Cyber Cycle do Capítulo 4 para produzir sinais de entrada e saída mais nítidos e melhor definidos. Este indicador pode ser combinado com o indicador Cyber8FisherCycleTrigger para criar um sistema de negociação. Cyber8FisherCycleTrigger - Este é o indicador Fisher Cycle Trigger descrito no Capítulo 8. O indicador Trigger é criado atrasando o indicador Fisher Cycle por uma barra. Este indicador pode ser combinado com o indicador Cyber8FisherCycle para criar um sistema de negociação. Cyber8FisherCG - Este é o indicador Fisher Stochastic CG descrito no Capítulo 8. Ehlers adiciona o Fisher Transform ao indicador Center of Gravity do Capítulo 5 para produzir sinais de entrada e saída mais nítidos e melhor definidos. Este indicador pode ser combinado com o indicador Cyber8FisherCGTrigger para criar um sistema de negociação. Cyber8FisherCGTrigger - Este é o indicador Fisher Fisher Stochastic CG Trigger descrito no Capítulo 8. O indicador Trigger é criado retardando o indicador Fisher Stochastic CG por uma barra. Este indicador pode ser combinado com o indicador Cyber8FisherCG para criar um sistema de negociação. Cyber8FisherRVI - Este é o indicador do Índice de Vigor Relativo Estocástico de Fisher (Fisher RVI) descrito no Capítulo 8. Ehlers adiciona o Transformador Fisher ao indicador do Índice de Vigor Relativo do Capítulo 6 para produzir sinais de entrada e saída mais nítidos e melhor definidos. Este indicador pode ser combinado com o indicador Cyber8FisherRVITrigger para criar um sistema de negociação. Cyber8FisherRVITrigger - Este é o indicador Fisher Trigger (Fisher RVI Trigger) do indicador de Stochastic Relative Vigor (Fisher RVI Trigger) descrito no Capítulo 8. O indicador Trigger é criado retardando o indicador Fisher Stochastic RVI em uma barra. Este indicador pode ser combinado com o indicador Cyber8FisherRVI para criar um sistema de negociação. Cyber9Period - Este é o indicador do Período de Ciclo descrito no Capítulo 9. Ele pode ser usado para medir o período do Ciclo Dominante. Cyber10AdaptiveCycle - Este é o indicador do Ciclo Cyber Adaptativo descrito no Capítulo 10. Este indicador permite que o indicador Cyber Cycle do Capítulo 4 seja adaptável ao período do Ciclo dominante medido. Este indicador pode ser combinado com o indicador Cyber10AdaptiveCycleTrigger para criar um sistema de negociação. Cyber10AdaptiveCycleTrigger - Este é o indicador Cycle Cyber Adaptive descrito no Capítulo 10. O indicador Trigger é criado atrasando o indicador Cycle Cyber Adaptive por uma barra. Este indicador pode ser combinado com o indicador Cyber10AdaptiveCycle para criar um sistema de negociação. Cyber10AdaptiveCG - Este é o indicador do Centro Adaptativo de Gravidade (CG) descrito no Capítulo 10. Este indicador permite que o indicador Center of Gravity do Capítulo 5 seja adaptável ao período do Ciclo dominante medido. Este indicador pode ser combinado com o indicador Cyber10AdaptiveCGTrigger para criar um sistema de negociação. Cyber10AdaptiveCGTrigger - Este é o indicador Adaptive Center of Gravity Trigger (Adaptive CG Trigger) descrito no Capítulo 10. O indicador Trigger é criado retardando o indicador Adaptive CG por uma barra. Este indicador pode ser combinado com o indicador Cyber10AdaptiveCG para criar um sistema de negociação. Cyber10AdaptiveRVI - Este é o indicador Adaptive Relor Vigor Index (Adaptive RVI) descrito no Capítulo 10. Este indicador permite que o Índice de Vigor Relativo do Capítulo 6 seja adaptável ao período do Ciclo dominante medido. Este indicador pode ser combinado com o indicador Cyber10AdaptiveRVITrigger para criar um sistema de negociação. Cyber10AdaptiveRVITrigger - Este é o indicador de Gatilizador de Índice de Vigilância Relativa Adaptativa (Adaptive RVI Trigger) descrito no Capítulo 10. O indicador de Trigger é criado retardando o indicador do Índice de Vigor Relativo Adaptativo por uma barra. Este indicador pode ser combinado com o indicador Cyber10AdaptiveRVI para criar um sistema de negociação. Cyber11Sine - Este é o indicador Sinewave descrito no Capítulo 11. Este indicador pode ser usado para prever o ponto de viragem dos ciclos de mercado. É plotado como o seno do ângulo de fase do Ciclo dominante. Ele pode ser usado em conjunto com o indicador Cyber11LeadSine para criar uma Estratégia de Negociação. Cyber11LeadSine - Este é o indicador LeadSine descrito no Capítulo 11. É plotado como o seno do ângulo de fase do Ciclo dominante mais 45. Ele pode ser usado em conjunto com o indicador Cyber11Sine para criar uma Estratégia de Negociação. Cyber12Adaptive Momentum - Este é o indicador de Momento de Adaptação Suavizada descrito no Capítulo 12. Este indicador mede o período do Ciclo Dominante e usa essa medida para calcular um impulso de um ciclo. Cyber132PoleButterworth - Este é o Two Pole Butterworth Filter descrito no Capítulo 13. Ehlers introduz os filtros Butterworth como melhores filtros do que as médias móveis exponenciais. Cyber133PoleButterworth - Este é o Filtro Butterworth de Três Poleiros descrito no Capítulo 13. Comparado ao Filtro Two Pole Butterworth, este aumenta a nitidez da rejeição do filtro. Cyber132PoleSuperSmoother - Este é o Two Pole Super Smoother descrito no Capítulo 13. Este filtro tem menos atraso que o 2PoleButterworthFilter. Cyber133PoleSuperSmoother - Este é o Three Pole Super Smoother descrito no Capítulo 13. Comparado ao Two Pole Super Smoother, este aumenta a nitidez da rejeição do filtro. Cyber14LaguerreFilter - Este é o Filtro Laguerre descrito no Capítulo 14. Ehlers descreve este filtro como um equilíbrio entre suavizar um sinal e atraso para evitar negociações de whipsaw. Cyber14LaguerreRSI - Este é o Indicador de Índice de Força Relativa Laguerre (RSI) descrito no Capítulo 14. Ehlers mostra que você pode aplicar o Filtro Laguerre a indicadores familiares. Cyber16NetLead - Este é o indicador líder chamado NetLead descrito no Capítulo 16. Este indicador combina um indicador líder com uma média móvel exponencial para mostrar quando o mercado está em uma tendência de alta ou uma tendência de baixa. CyberCycleInverseFisher - Este é o indicador Inverse Fisher Transform descrito no artigo Ehlers do mesmo nome que apareceu na edição de maio de 2004 da revista Technical Analysis of STOCKS AND COMMODITIES. Ele descreve esse indicador como um oscilador que produz sinais claros de compra e venda. Os seguintes são os gráficos de exemplo do NeuroShell Trader incluídos no complemento de Análise cibernética: Exemplo Capítulo 3 ITrend No Limit Este gráfico cria uma Estratégia de Negociação com base no crossover dos indicadores de Disparo ITrend e ITrend do Capítulo 3. Exemplo Capítulo 3 ITrend Limit Intel This Chart cria uma Estratégia de Negociação com base no crossover dos indicadores de ativação ITrend e ITrend do Capítulo 3. Este gráfico incorpora um preço limite para a condição de crossover. Exemplo Capítulo 4 Cyber Cycle Este gráfico usa um crossover de um indicador chamado Signal para gerar sinais de negociação. Exemplo Capítulo 4 Cyber Cycle Opt HD Este gráfico usa um cruzamento de um indicador chamado Signal para gerar sinais de negociação. Este gráfico é otimizado no Home Depot (HD). Os resultados são melhorados a partir do gráfico não optimizado chamado Capítulo 4 Cyber Cycle. Exemplo Capítulo 4 Cyber Cycle Opt Intel Este gráfico usa um crossover de um indicador chamado Signal para gerar sinais de negociação. Este gráfico é otimizado na Intel e inclui um período de avaliação de 6 meses na Estratégia de Negociação. Exemplo Capítulo 4 Cyber Cycle Opt Deere Este gráfico usa um crossover de um indicador chamado Signal para gerar sinais comerciais. Este gráfico é otimizado no Deere e inclui um período de avaliação de 6 meses na Estratégia de Negociação. Exemplo Capítulo 10 RVI adaptativo Este gráfico constrói uma Estratégia de Negociação usando um cruzamento do Adaptive RVI e Adaptive RVI Trigger. Isso é típico de muitas das Estratégias de Negociação que o Ehlers constrói com os indicadores descritos no livro. Exemplo Capítulo 10 Adaptive RVI Opt Este gráfico constrói uma Estratégia de Negociação usando um cruzamento do Adaptive RVI e Adaptive RVI Trigger. Esta versão otimizada do quadro do Adaptador RVI do Capítulo 10 produz mais lucro do que o original. Exemplo Capítulo 12 Tendência Adaptativa Este gráfico constrói uma Estratégia de Negociação para o Franco Suíço usando um cruzamento do indicador Adaptive Momentum e 0. Exemplo Capítulo 12 Tendência Adaptativa Opt SF Este gráfico constrói uma Estratégia de Negociação para o Franco Suíço usando um cruzamento do Indicador de Momento de Adaptação. Este gráfico é otimizado para aumentar o lucro. Exemplo Capítulo 12 Tendências adaptativas Múltiplas ações Opt Este gráfico constrói uma Estratégia de Negociação para as múltiplas ações usando um cruzamento do indicador Adaptive Momentum. Este gráfico é otimizado para aumentar o lucro. Exemplo Capítulo 12 Adaptive Trend Opt Dell Este gráfico cria uma Estratégia de Negociação para a Dell usando um cruzamento do indicador Adaptive Momentum. Este gráfico é otimizado para aumentar o lucro. Para mais detalhes, consulte o manual do produto para este complemento MESA91 - Mesa Software, Inc. John Ehlers mais uma vez abriu novos fundamentos aplicando métodos científicos para comercializar dados com o lançamento dos indicadores MESA91 para o NeuroShell Trader. Os indicadores MESA91 medem se o mercado está em modo ciclo ou tendência e fornece sinais de negociação precisos para qualquer situação. A nova versão inclui um método adaptativo de extração do ciclo dominante para cada instrumento e um indicador EvenBetterSine que pode prever a tendência do mercado em apenas meio período do ciclo dominante. Cada indicador agora inclui parâmetros para definir o Período mais baixo e mais alto do ciclo, e esses parâmetros podem ser otimizados no NeuroShell Trader. Ehlers é um especialista de renome mundial na aplicação de princípios científicos e tecnologia DSP (processamento de sinal digital) para a arte do comércio técnico. De acordo com a Ehlers, um modelo simplificado do mercado consiste na combinação de uma tendência e um ciclo. Como o período do ciclo é conhecido, ele pode ser removido dos dados para expor a tendência subjacente. O mercado é melhor negociado usando indicadores de tipo oscilador quando está em um modo de ciclo e é negociado melhor usando indicadores de tipo médio em movimento quando está no modo de tendência. A coleção de indicadores MESA91 não é apenas ajustada dinamicamente pelo ciclo dominante, mas as técnicas avançadas de DSP são usadas para produzir sinais de baixa lag e não causais no tempo para oferecer aos usuários uma vantagem comercial. O complemento MESA91 é um projeto conjunto entre Mesa Software, Inc. e Ward Systems Group, Inc. A Mesa desenvolveu a teoria e a programação e a Ward Systems está vendendo o complemento para uso com o NeuroShell Trader. O MESA91 requer o NeuroShell Trader versão 6.3. O preço é 499,00. O MESA91 é tão fácil de usar como qualquer um dos indicadores incorporados no NeuroShell Trader. MESA91 Adaptive CCI, RSI e Estocástico O MESA91AdaptiveCCI é semelhante aos seus Indicadores convencionais, exceto que está sintonizado com o período de Ciclo dominante medido MESA completo. O mesmo é verdade para os indicadores MESA91 Adaptive RSI e Adaptive Stochastic incluídos no conjunto. MESA91 Bandpass O Indicador MESA91Bandpass é um filtro passa-banda ajustado ao Ciclo dominante medido pela MESA. Sua amplitude é plotada para refletir o balanço cíclico das séries temporais de entrada. O filtro MESA91Bandpass remove componentes de baixa freqüência e alta freqüência das séries temporais de entrada. O parâmetro Delta é a largura de banda de um filtro passa-banda em termos de - fração do Ciclo dominante. Um número menor fornece uma largura de banda mais estreita para eliminar componentes do ciclo estranho e um número maior oferece uma largura de banda maior para melhorar a capacidade de resposta aos transientes. MESA91 BandStop O Indicador MESA91BandStop remove o componente Ciclo dominante das séries temporais, mantendo os componentes cíclicos mais longos e curtos que o Ciclo Dominante. Detentor MESA91 O indicador MESA91Detrend subtrai uma linha de tendência da série temporal e exibe a diferença escalada para o desvio padrão mais e menos um daquela linha de tendência. Esta exibição permite uma estimativa fácil quando um pico ou vale de balanço é alcançado e, portanto, uma maior probabilidade de reversão para a média. Ciclo dominante MESA91 Este indicador exibe o Ciclo dominante medido pela MESA. O Ciclo dominante pode ser usado para ajustar dinamicamente outros indicadores para manter a consistência com a mudança das condições do mercado. MESA91 Sine e LeadSine O problema com praticamente todos os indicadores é que eles são causais. Isso significa que eles dependem diretamente de dados para sua computação. Como resultado, a computação não pode ser realizada até que os dados cheguem e, como resultado, todos os indicadores causais têm atraso. Lag é talvez o principal inimigo dos comerciantes, particularmente quando se comercializa o modo de ciclo quando esperas entradas e saídas de relativamente curto prazo. O MESA91 oferece uma solução para o problema de atraso ao oferecer os indicadores MESA91Sine e MESA91LeadSine. O mercado é coerente no modo ciclo, o que significa que o Ciclo dominante já existe durante um curto período de tempo na história. Assume-se ainda que o ciclo dominante continuará por um curto período de tempo no futuro. Como o ciclo dominante é conhecido, e sua fase pode ser calculada, podemos avançar o tempo avançando a fase do ciclo dominante coerente. O indicador MESA91LeadSine é calculado simplesmente avançando a fase do ciclo dominante em 45 graus. Isso cria um indicador que produz um sinal de cruzamento 18 de um ciclo antes do seu ponto de viragem, indicado pelo indicador MESA91Sine. Para um ciclo de 16 bar, a travessia ocorre 2 barras à frente dos pontos de rotação cíclicos - apenas para fazer uma entrada comercial oportuna. Claramente, os indicadores MESA91Sine e MESA91LeadSine não funcionam tão bem quando o mercado está em um modo de tendência. MESA91 EvenBetterSine O indicador MESA91EvenBetterSince pode prever a tendência do mercado e isso ocorre em apenas um meio período do ciclo dominante, em comparação com o indicador Sine, que exige o ciclo dominante completo antes que ele possa determinar a tendência do mercado. O indicador Sine original correlaciona uma onda senoidal pura com a fase do ciclo de entrada (ou ciclo dominante em MESA91) durante um período de ciclo completo. Isso remove completamente qualquer componente de tendência e apenas dá o ciclo inerente aos dados. A desvantagem deste indicador é que às vezes o balanço cíclico é tão pequeno que os dados do ciclo dominante são inconsequentes. Isto é particularmente verdadeiro quando o mercado está em uma tendência. Por outro lado, o EvenBetterSine correlaciona os dados com uma onda senoidal ao longo de um período HALF do ciclo dominante. MESA91 Smooth MESA91Smooth é um filtro Super Smoother adaptável de 2 pólos que está sintonizado para uma fração do Ciclo dominante medido com MESA. O grau de suavização é alterado pelo parâmetro de entrada Mult, que é a fração do ciclo dominante ao qual o filtro está sintonizado. MESA91 SNR (Razão Sinal / Ruído) MESA91SNR mede a Relação Sinal-Ruído nos dados de preço em decibéis. O ruído é a faixa de preço diária média (High Low) tomada durante o período do ciclo dominante medido pela MESA. Esta definição pode não ser estritamente verdadeira, mas basta como qualificador de incerteza dos preços intradiários. Para o propósito deste indicador, o sinal é a amplitude de pico a pico do ciclo dominante. Quando a amplitude da onda do sinal é duas vezes a amplitude do ruído, o SNR tem um valor de 6 dB. Esta relação é o limiar abaixo do qual não é aconselhável balançar o comércio com base nos ciclos. MESA91 TrendLine MESA91TrendLine é um filtro Super Smoother adaptável de 2 pólos que está sintonizado para um múltiplo do Ciclo dominante medido com MESA, assegurando que todos os componentes cíclicos mais baixos do que o Ciclo dominante serão atenuados. Isso resulta em uma indicação da tendência. O grau de atraso produzido pelo indicador MESA91TrendLine é controlado pelo parâmetro Mult input, que é o múltiplo do Ciclo dominante ao qual o filtro está sintonizado. MESA91 TrendVigor O Indicador MESA91TrendVigor mede a inclinação das séries temporais ao longo do período do Ciclo Dominante como uma relação com a amplitude pico a pico do Ciclo dominante. Se a proporção for maior do que uma, a tendência de alta é swamping the Dominante Ciclo e não é aconselhável usar o Ciclo dominante para swing trading. O conjunto de indicadores MESA91 inclui oito gráficos de exemplo que você pode examinar dentro do NeuroShell Trader. Para obter mais detalhes, consulte o manual do produto para este complemento. Informações de contato: Para perguntas sobre a teoria por trás dos indicadores MESACybernetic, entre em contato com: Mesa Software, Inc. John Ehlers PO Box 1801 Goleta, CA 93116 Voz: (805) 969-6478 Fax: (805) 969-1358 mesasoftware Produto (s) : Mistura Adaptativa de Especialistas (AME) A Noxa AME é um consultor especialista de classe mundial capaz de se adaptar a não apenas mudar as condições do mercado, mas também mudar a maneira fundamental do mercado. É auto-aprendido e tem apenas um parâmetro para definir. Sinais ajustados ao risco para uma ampla gama de valores mobiliários, estrangeiros e domésticos, Proxy negociação possível por tempo de indexação, Executa em 100 modo de adaptação progressiva. Tecnologia de próxima geração para novos mercados Noxa AME (Mistura Adaptativa de Especialistas) é um Consultor Especializado que é executado como um complemento para os Grupos de Sistemas Ward NeuroShell Trader. Adaptativo: os mercados não são estáticos. Eles são dinâmicos e suscetíveis a mudanças rápidas, ainda mais, com o influxo de negociação de alta freqüência. As estratégias adaptativas devem ser capazes de ajustar-se a não apenas mudar as condições de mercado, mas as mudanças na forma fundamental de funcionamento do mercado. Mistura: as misturas combinam as crenças de vários algoritmos experientes em uma única previsão. Eles são capazes de um maior desempenho preditivo do que qualquer um de seus especialistas individuais. Especialistas: é possível que padrões de preços se desenvolvam com diferentes resultados que muitas vezes são contrários um ao outro. Na maioria das vezes, somos muito inúteis para entender tudo. Uma possível explicação é que, naturalmente, diminuímos os padrões, não temos uma boa idéia sobre os detalhes. Expert algorithms however can deconstruct a pattern into low level features and look at how they progress through time in various contextual scenarios. Causal Singular Spectrum Analysis (CSSA) quot. I am very comfortable working with the package. It is incredibly useful just to look at the raw CSSA indicators. quot Nature and its parts fluctuate in cycles. Markets are no exceptions. A quick glance at any price chart will reveal cyclical behaviors price bobs up and down with a good degree of regularity giving evidence of rhythm. Obviously, if cycles are genuine . the presumption is that they will continue. And mostly they do, so we cannot afford to ignore them. Noxa CSSA is a package that runs as an add-on to NeuroShell Trader 5.2 and above. It is packed with a set of zero-lag indicators that provide a full wave-composite picture of the market at all time-frames. As you can see on the graph below, the peaks and troughs of the cycles emphasize the swings as if they were predicted with perfect hindsight. To learn more about CSSA, CLICK HERE Following is a brief overview of the indicators in the CSSA add-on: CSSA-Cycles The cycles are designed to be a direct reflection of the price action so that they dont lag. You will be able to quickly anticipate turning points independently of the time-frame. CSSA-Slope and Trendlines These indicators are derivatives from CSSA-Cycles they are particularly useful in identifying and confirming the direction of momentum behind a move. CSSA-Long and Short Entries Signals are triggered by CSSA-Cycles from its bases and peaks. A causal lead and filtering features have been added to compensate for inherent execution lags so that you can make the most of each market move. CSSA-QPhase This indicator operates a 90 degree phase shift of CSSA-Cycles the peaks and troughs of the cycle line become zero crossings. Signals are then triggered when the transform breaks through its center line. Because of the accuracy of the signals, tight stop losses can be kept for even better results. CSSA-Oscillator In addition to generating signals, this centered oscillator can also be used to confirm developing trends. CSSA-Turning Levels Lines are drawn horizontally from the base before an upmove in CSSA or a peak before a downmove. The purpose of this indicator is to show where price is liable to find some local support and encounter some local resistance. The violation of these lines can generate reliable entry points. CSSA-Percent Variance, CSSA-Coupling Index Both indicators are variations of the same concept. They use the variance accounted by individual cycles or group of cycles to compute a degree of coupling between them. Any sudden change in this coupling can announce that something is amiss with the current trend or that the current trend is about to change. CSSA-Change Point Score The degree of change between recent and past price action is returned. It can be interpreted as the probability that some change is likely to occur due to strong causal dependencies in the data. In other words this indicator reveals hidden dependencies that may announce significant changes in trend. CSSA-ShowRange Select a range, and then use the values shown in the caption to set the training range of CSSA indicators. CSSA-ShowEigenvectors Visualize the elementary patterns of behavior in price and find propagating modes. Their inherent persistence over time makes these modes especially worthy of attention. Example Following is a screenshot illustrating crossovers from CSSA-QPhase. The out-of-sample equity curve looks upper trending and pretty strong: Entropy Indicators (NEI) Make your purchase safely and with confidence using our secure online ordering system. For details, VISIT These add-ons are implemented in Vectorized C and assembly code for maximum speed. They integrate directly with Neuroshell Trader version 5 and come with chart examples. To download our Hands-on tutorial on NEI, CLICK HERE Have you ever heard of Claude Shannons entropy Probably not but it may be just what you need to find profitable patterns in the market. The backbone of NEI add-ons (Noxa Entropy Indicators) is a powerful search engine for patterns that are resistant to entropy (the tendency of systems to disorder). That means you will be able to trade compelling pockets of order that arise in the market. NEI Prediction-Days Markets sometimes lock themselves into predictable futures. NEI Prediction-Days detects these events by searching for local histories with high predictability potential. NEI Shannon Entropy Shannon Entropy gives a measure of statistical regularity in price data, making it a good proxy for changes in market condition. It is particularly suited for use with neural-nets to make buysell decisions. NEI Mutual Information Global Correlation Mutual Information and Global Correlation measure the statistical dependence between two series by giving the amount of information one series carries about the other. You will be able to explore the market and select inputs that maximize their Mutual Information. NEI Transfer Entropy Transfer Entropy is a measure of information flow between two series. It takes into account the amount of additional information required to represent future events. In essence, Transfer Entropy tells us which input leads which. Examples Following is a screenshot illustrating Mutual Information as a fair representation of market forces: You can see that some information flow between Oil service and Airlines stocks materialized in the form of islands whose tops happen to precede significant changes in trends (1997 1 . 1999 2 and early 2003 3 . 4 ). Particularly successful trading strategy example two neural-nets were built with NEI indicators as inputs to cope with changes in market conditions (out-of-sample backtest period in green): Contact Information: Contact Information: Optimized Renko Bars for Less Noise and Precise Trading Signals: Interchart Tools Renko Bars Add-On for NeuroShell Trader The Japanese developed Renko bar charts in an attempt to show price based upon a specified amount of movement in a single direction rather than reporting price based on a time schedule as in a 5 minute bar chart. Richey Enterprises developed an entirely new concept in Renko bars - optimizable Renko bars based on price, volume, or a combination of both, that may be customized for each security. The result is that your trading systems are based on less noise and subsequently generate more precise trading signals. These innovative Renko Bars comprise the InterChart Tools Renko Bars Add-On for NeuroShell Trader. The InterChart Tools Renko Bars are virtual bars capable of generating trading signals and performing their calculations using the same methods as traditional bars. Once a trading signal is generated by the Renko bar, both the trade and fill are correctly displayed on the open of the next bar of the base chart. For example, you can create a 0.25 range bar base chart and then add InterChart Tools Renko Bars to trading rules, visual charting systems, or predictions. Included Indicator Types InterChart Tools Renko Bars - are created based on a specified change in price that moves either up or down. InterChart Tools Volume Bars - are created based on the exchange of a specified minimum number of shares or contracts that move with price action either up or down. InterChart Tools Money Bars - are created based on the exchange of a specified amount of money stated in thousands of dollars that is calculated by multiplying the price times the number of sharescontracts that move with price action either up or down. How Renko Bars Work Renko Bars are only created when price has moved either up or down by the amount of the specified high-low range. This amount is referred to as the brick size. In all classic Renko charts, all bricks must be exactly the same size and the change specified in the high-low range must be in the same direction, either up or down, before a new bar is formed. Why InterChart Tools Renko Bars Differ from Traditional Renko Bars The InterChart Tools Renko Bars include parameters that allow you to specify the number of ticks used to calculate the up part of the Renko bar as well as the number of ticks used to compute the down part. Since any bars function is to absorb noise and rising price jitter is often different from falling price jitter, the IctRenko bars permit an asymmetrical definition to accommodate this. A Bar Size Multiplier gives you the option of setting the overall size of the bar once the updown ratio has been configured. IctRenko bars are only created when price has moved either up or down by the number of virtual ticks specified in either the Ticks per Up Bar or Ticks per Down Bar multiplied by the Bar Size Multiplier. NeuroShell Renko bars may, at the users discretion, be controlled by the NeuroShell Trader optimizer to identify the optimal bar size and noise absorption for a given algorithm or security. Different moving averages of InterChart Tools Volume Renko Bars can tell you when to go long or short - or even when to stay out of the market. The price of InterChart Tolls Renko Bars Add-On is 695. You need NeuroShell Trader 6.4x or higher to use the InterChart Tools Renko Bars Add-On. InterChart Tools Renko Bars work with the NeuroShellreg DayTrader and NeuroShell DayTraderreg Power User, as well as NeuroShell Trader Professional and NeuroShell Power User. For more information, call Ward Systems Group at 301 662 7950. InterChart Tools 1 Richey Enterprises is offering traders a set of indicators that makes consensus trading among multiple time frames possible. The InterChart Tools 1 Add-On allows you to share information between charts using different bar sizes. As an example, an MACD indicator created on a range bar chart may be used to influence processing on a 5-minute time bar chart. Or you could use the close on a 5-minute chart to influence a 15-minute chart. Since bar size creates primary noise filtering, this allows another mechanism for noise removal. Streams may be sent or received from any of NeuroShell DayTrader Professional chart types: time bar, volume bar, tick bar, and range bars. Because InterChart Tools 1 works with daily, monthly, and weekly charts, it may also be used with NeuroShell Trader and NeuroShell Trader Professional. Single Streams InterChart Tools 1 broadcasts data streams from a source chart, which can be retrieved by one or more receiving charts. These streams are time series chart items. Any time series which can be plotted on a chart can be sent to another chart using the SendStream and GetStream indicators respectively. Items that may be sent to another chart include: Price streams such as open, high, low, and close Indicators such as (High Low) 2, MACD, Exponential Moving Average and any of NeuroShells hundreds of other indicators Outputs from trading strategies and predictions Groups of Streams In addition to transmitting single data streams, InterChart Tools 1 includes SendGroup indicators which allow you to send similar data from either single or multiple charts. The multiple streams are processed (summed, min value, max value, or averaged) and displayed on another chart as a single data stream using the GetGroup indicator. Volume Indicators Volume data may be transmitted from a stock chart to an options or futures chart using the SendVolume and GetVolume indicators. The SendVolume indicator is different from the SendStream indicator because it accumulates data until the completion of a bar on the receiving chart. Cautionary Note There is no way to guarantee the order in which two separate intraday charts will update with a new bar, and thus it is likely that charts updating bars at the same time may not receive the most recent data. As an example, suppose a 1-minute chart is sending a stream to a 10-minute chart. Six times an hour these charts will update at the same time, and which updates first is usually a function of the unpredictable timing in which data is received, or other factors. Therefore at any one of those six times per hour, it is possible that the 10-minute chart will update and ask for streams a second or so before the 1-minute chart updates. The 10-minute chart will get the streams that are currently available, and will not wait for the 1-minute chart to update. Therefore it is possible that the 10-minute chart will receive 1-minute-old data from the 1-minute chart. Do not use these indicators where this could be a problem for you . Generally simultaneous updating is not as likely when at least one chart is a volume, tick, or range bar chart. To correct this problem, you can right click on the chart and select recalculate chart to manually update out of sequence operations. Another time that older bars may be sent is when there are no bars to send. This could occur when there are gaps in price bars due to missing data, the exchange not being open, or other causes. When a new value for a bar is available, the bar may change. If you build a prediction or trading rules based on these bars, your signals could change. Such problems may be less troublesome when sent data is received by the chart with the fastest bars. InterChart Tools 1 will NOT work on charts that have more than one chartpage. InterChart Tools 1 indicators include: SendStream transmits a single data stream GetStream receives a single data stream SendGroup1, 2, 3, 4, 5, and 6 transmits up to 6 similar data streams GetGroup accepts data from the SendGroup indicators and applies a treatment such as summing, extracting the minimum or maximum value, or averaging to compress the data into a single stream SendVolume sends volume data. This indicator accumulates volume data until the completion of a bar on the receiving chart. GetVolume receives volume data that accumulates since the last update Example 1: This example shows how to send a 10 bar moving average computed on a 5-minute chart to a 7-minute chart. The 5-minute chart contains the following indicator SendStream that uses a StreamID of 1: SendStream (1,Avg(Close,10)) The 7-minute chart contains the following GetStream indicator, which reads StreamID 1: GetStream(1) Example 2: In this example a range bar chart computes the spread between an RSI on itself and an RSI from a daily chart. The daily chart contains an RSI indicator that has been renamed DailyRSI. It also contains the following SendStream Indicator with a user selected StreamID of 13: The range bar chart contains an RSI that has been renamed RangeRSI. It also contains the following indicator: Example 3: The user in Example 2 also creates an hourly bar chart to which he would like to send the spread on his range bar chart. On the hourly chart the user wants to divide the spread by a moving average on one of hisher daily charts. The following indicator is added to the range bar chart from Example 2, now called Example 3 Range SPY. cht . SendStream (5,Spread(RangeRSI, GetStream (13))) The following indicator is added to the daily chart from Example 2, now called Example 3 Daily SPY. cht . Then on the hourly bar chart called Example 3 Hourly SPY . the following indicator is added: Divide( GetSteam (5), GetStream (12)) For more details, please view the product manual for this add-on The price of the InterChart Tools 1 Add-on is 399. For more information, call Ward Systems Group at 301 662 7950. BUY NOW InterChart Tools 2 Richey Enterprises has developed a set of price indicators called InterChart Tools 2 that generate early trading signals for NeuroShell Trader. The TimeBars indicators call higher timeframe data to a chart and update every time the base chart updates. There are separate indicators for the open, high, low, close, and volume data as well as several different combinations of that data. The Consolidated Bars indicators combine x number of the most recent bars that you specify into a single data stream and are useful for fast moving tick and range bars. The TimeBars indicators let you to create 5, 10, 15, 30, etc. minute bars on a 1 minute chart in NeuroShell DayTrader, with the added advantage of not having to wait for the higher minute bar to complete before the TimeBar updates. While creating these indicators, Richey Enterprises determined that 90 of the time the high and low for 10 minute bars occur before the end of 10 minute bars. The optimizer in the Trader can determine the bar size which is most appropriate for your desired algorithm and equity. The Consolidated Bars indicators can combine the high value from the most recent 5 bars, for example. The Consolidated Bars are especially useful when your trading system is based on tick and range bars. Consolidated bars allow you to de-noise high frequency range and tick bars. The optimizer can identify the optimal number of bars to consolidate during the morning, mid-day and closing sessions to properly de-noise range data without lag and without having to wait for a higher range bar to complete. Example 1: Time Bars High and Volume On the Example 1 chart we have added a TimeBar High indicator. The high bar displays the highest high value from the 10 minute bar since the 10 minute bar began to form. The TimeBar High will continue to build until 10 minutes past the hour at which point it will be identical to the high of a standard 10 minute bar. At 10 minutes past the hour both indicators will reset and the operation repeats. We also added the TimeBar Volume indicator to the chart. When you look at the example chart, the TimeBar high values from the 10 minute bars are almost always correctly defined before the end of the bar time. Therefore any Trading Strategy, Prediction, or indicator which references the high of a higher time frame bar may fire before a standard bar would be able to issue a signal. Similarly, the bar volume builds at the chart frequency. Any Trading Strategy, Prediction, or indicator which depends on a volume level from a higher time frame will fire when that has been achieved. Often this is before half of the bar has been built. Of course, if the volume requirement is not going to be met for this bar, it will not fire falsely. Example 2: Indicators in Predictions In this example we created a 5 minute chart for the SP 500 E-Mini which uses several different InterChart Tools2 indicators based on 10 minute bars (TimeBars HL2, TimeBars HLC3, and TimeBars OHLC4) as inputs to a prediction of the percent change in open 1 bar in the future from the next open. We did not optimize any input parameters. The model shows a 15476.1 1 yr Return on Trades for the out-of-sample period. Example 3: Indicators in Trading Strategies In this example we created a 5 minute chart for the SP 500 E-Mini which uses InterChart Tools2 high and low values from a 10 minute bar as the basis for creating an RSI Trading Strategy. We entered a Trading Strategy as follows: Long Entry: RSI based on TimeBars Low 10 minute 70 Optimize the periods in the RSI from 1 to 10 and optimize the RSI value from 80 to 90 We set the model to trade 1 contract between the hours of 8:35 a. m. to 3:30 p. m. We added a margin of 500 per contract and a point value of 50 for the SP E-Mini. The model returned an annual return on account of 5603.3 in the out-of-sample period compared to a 115.4 annual percent change in price. Example 4 Optimize Time Frame If you dont know which higher time frame to use in your model, you can let the optimizer choose. We created a prediction much like Example 2, but instead of using different TimeBars indicators based on the same time frame, we used the same TimeBarsHL2 indicator, one for 10 minute bars and the other for 15 minute bars, both on a 5 minute chart. In the Prediction Parameters settings on the Optimization tab, we limited the maximum number of inputs to 1 so the optimizer was forced to make a choice of inputs. You could do the same thing with various numbers of Consolidated Bars. Letting the optimizer choose the best TimeBars or Consolidated Bars could also be used in the Trading Strategy wizard by choosing Rule Selection Optimization on the Long and Short rules tabs. Example 5 Consolidated Bars We created a .3 range bar chart for the SP 500 E-Mini, then created a Prediction with both a Consolidated Bars HL2 indicator and a Linear Weighted Average of the Close as inputs. On tick based charts (range and volume) these consolidated bars act like variable time bars. In this example, a 5 bar consolidate of a .3 range bar will display the (H L) 2 over the time it took to create the 5 bars. These bars are continuous and always reflect the high of the previous N bars, so as a new bar is added the oldest bar is dropped off. Unlike any moving average which might attempt to do the same, there is never any lag. The Prediction predicted 5 0.3 range bars into the future from the next open. The model used a 500 margin and a point value of 50. We set the number of hidden neurons down to 1. The profitable results from the optimization period continued into the out-of-sample period. Example 6 Optimize Data Stream If you dont know which data stream you want to use in your Trading Strategy or Prediction, you can use the TimeBars indicator and let the optimizer choose a display parameter, which means that the optimizer will choose the correct data stream. In this example, we inserted two TimeBars indicators in a prediction and optimized only the display parameter. The two TimeBars were based on 10 and 15 minute bars respectively, and the optimizer chose the 10 minute bar based on the low as the only input for the model. Consolidated Bars You can also let the optimizer choose the data stream for Consolidated Bars by optimizing the display parameter for a Consolidated Bars indicator. For more details, please view the product manual for this add-on. The price of InterChart Tools 2 Add-on is 399. For more information, call Ward Systems Group at 301 662 7950. BUY NOW InterChart Tools 21 Richey Enterprises has developed a set of price indicators called InterChart Tools 21 that generate early trading signals for NeuroShell Trader. The TimeBars indicators call higher timeframe data to a chart and update every time the base chart updates. There are separate indicators for the open, high, low, close, and volume data as well as several different combinations of that data. The Consolidated Bars indicators combine x number of the most recent bars that you specify into a single data stream and are useful for fast moving tick and range bars. The TimeBars indicators let you to create 5, 10, 15, 30, etc. minute bars on a 1 minute chart in NeuroShell DayTrader, with the added advantage of not having to wait for the higher minute bar to complete before the TimeBar updates. While creating these indicators, Richey Enterprises determined that 90 of the time the high and low for 10 minute bars occur before the end of 10 minute bars. The optimizer in the Trader can determine the bar size which is most appropriate for your desired algorithm and equity. The Consolidated Bars indicators can combine the high value from the most recent 5 bars, for example. The Consolidated Bars are especially useful when your trading system is based on tick and range bars. Consolidated bars allow you to de-noise high frequency range and tick bars. The optimizer can identify the optimal number of bars to consolidate during the morning, mid-day and closing sessions to properly de-noise range data without lag and without having to wait for a higher range bar to complete. Adaptive Consolidated Bars indicators also combine the information from the most recent bars on a chart, but unlike the regular Consolidated Bars the Adaptive Consolidated Bars treat rising bars and falling bars independently. The Adaptive Consolidated Bars offer the option of consolidating a different number of bars for rising prices as contrasted to the number of bars for falling prices. Since the function of a consolidated bar is to absorb noise and rising price jitter is often different from falling price jitter, the Adaptive Consolidated Bars permit an asymmetrical definition to accommodate this. Example 1: Time Bars High and Volume On the Example 1 chart we have added a TimeBar High indicator. The high bar displays the highest high value from the 10 minute bar since the 10 minute bar began to form. The TimeBar High will continue to build until 10 minutes past the hour at which point it will be identical to the high of a standard 10 minute bar. At 10 minutes past the hour both indicators will reset and the operation repeats. We also added the TimeBar Volume indicator to the chart. When you look at the example chart, the TimeBar high values from the 10 minute bars are almost always correctly defined before the end of the bar time. Therefore any Trading Strategy, Prediction, or indicator which references the high of a higher time frame bar may fire before a standard bar would be able to issue a signal. Similarly, the bar volume builds at the chart frequency. Any Trading Strategy, Prediction, or indicator which depends on a volume level from a higher time frame will fire when that has been achieved. Often this is before half of the bar has been built. Of course, if the volume requirement is not going to be met for this bar, it will not fire falsely. Example 2: Indicators in Predictions In this example we created a 5 minute chart for the SP 500 E-Mini which uses several different InterChart Tools2 indicators based on 10 minute bars (TimeBars HL2, TimeBars HLC3, and TimeBars OHLC4) as inputs to a prediction of the percent change in open 1 bar in the future from the next open. We did not optimize any input parameters. The model shows a 15476.1 1 yr Return on Trades for the out-of-sample period. Example 3: Indicators in Trading Strategies In this example we created a 5 minute chart for the SP 500 E-Mini which uses InterChart Tools2 high and low values from a 10 minute bar as the basis for creating an RSI Trading Strategy. We entered a Trading Strategy as follows: Long Entry: RSI based on TimeBars Low 10 minute lt 30 Optimize the number of periods in the RSI from 1 to 10 and optimize the RSI value from 15 to 45 Short Entry: RSI based on TimeBars High 10 minute gt 70 Optimize the periods in the RSI from 1 to 10 and optimize the RSI value from 80 to 90 We set the model to trade 1 contract between the hours of 8:35 a. m. to 3:30 p. m. We added a margin of 500 per contract and a point value of 50 for the SampP E-Mini. The model returned an annual return on account of 5603.3 in the out-of-sample period compared to a 115.4 annual percent change in price. Example 4 Optimize Time Frame If you dont know which higher time frame to use in your model, you can let the optimizer choose. We created a prediction much like Example 2, but instead of using different TimeBars indicators based on the same time frame, we used the same TimeBarsHL2 indicator, one for 10 minute bars and the other for 15 minute bars, both on a 5 minute chart. In the Prediction Parameters settings on the Optimization tab, we limited the maximum number of inputs to 1 so the optimizer was forced to make a choice of inputs. You could do the same thing with various numbers of Consolidated Bars. Letting the optimizer choose the best TimeBars or Consolidated Bars could also be used in the Trading Strategy wizard by choosing Rule Selection Optimization on the Long and Short rules tabs. Example 5 Consolidated Bars We created a .3 range bar chart for the SampP 500 E-Mini, then created a Prediction with both a Consolidated Bars HL2 indicator and a Linear Weighted Average of the Close as inputs. On tick based charts (range and volume) these consolidated bars act like variable time bars. In this example, a 5 bar consolidate of a .3 range bar will display the (H L) 2 over the time it took to create the 5 bars. These bars are continuous and always reflect the high of the previous N bars, so as a new bar is added the oldest bar is dropped off. Unlike any moving average which might attempt to do the same, there is never any lag. The Prediction predicted 5 0.3 range bars into the future from the next open. The model used a 500 margin and a point value of 50. We set the number of hidden neurons down to 1. The profitable results from the optimization period continued into the out-of-sample period. Example 6 Optimize Data Stream If you dont know which data stream you want to use in your Trading Strategy or Prediction, you can use the TimeBars indicator and let the optimizer choose a display parameter, which means that the optimizer will choose the correct data stream. In this example, we inserted two TimeBars indicators in a prediction and optimized only the display parameter. The two TimeBars were based on 10 and 15 minute bars respectively, and the optimizer chose the 10 minute bar based on the low as the only input for the model. Consolidated Bars You can also let the optimizer choose the data stream for Consolidated Bars by optimizing the display parameter for a Consolidated Bars indicator. Example 7 Consolidated Bars vs Adaptive Consolidated Bars The Adaptive Consolidated Bars were able to increase the profits from the original Trading Strategy built on crossovers of Exponential Moving Averages of consolidated bars. For more details, please view the product manual for this add-on. The price of InterChart Tools 21 Add-on is 499. For more information, call Ward Systems Group at 301 662 7950. BUY NOW RJ5 Group LLC Product(s): iCinDER trade indicators The iCinDER indicators, W3 and V2, provide indication of the cyclical trends advance and decline, and as such, can provide cycle analysis information at the Minor, Intermediate and Major Cycles. The approach taken in the creation of the set of tools in the iCinDER products is to combine individual components into a cohesive, integrated analytical tool that can provide information as to the direction and strength of market movement of financial instruments traded in the open markets. The basis of the indicators is extractions of dynamics of price and time with the added mathematical algorithms that attempt to capture the pure impulse movement of the instrument being evaluated. It is also understood that the indicators reliability and quality of feedback is based on the issue having adequate volume movement to ascertain the impulse of the indicator with higher efficiency and correlation. As with all technical analysis indicators, iCinDER cyclical indicators are designed to be used with other indicators you may be familiar with and that the user verify correlation to achieve positive confirmation of the output that is provided by iCinDER indicator. The W3 and V2 indicators can also be filtered by other indicators such as RSI, Linear Regression Slope as well as others that the user may want to experiment with in their models. How all this came to be Interview with Raul Jimenez, creator of iCinDER W3 and V2. I have been trading since about 1989 and have devoted time to studying trading systems, indicators, Dow Theory, Elliott Wave Theory, etc. During all my trading years, I found systems that worked for a while then stopped working. At the time, I did not understand why but changed to another system that would work for a while. In 2006, after working for a large software company for a number of years, I decided it was time to stop the traveling and fast paced lifestyle and devote some time to something I was passionate about trading in the stock market. I had spent time reading books on cycle analysis, MACD, RSI, adaptive indicators and other methodologies. It all came back to me as either the cycles were too closely correlated, tight fitting with virtually no divergence or loosely coupled. I knew that mathematically it was possible to measure multiple timeframes and correlate them to a single wavelength, which while not adaptive could provide high correlation to the measured instruments. I will not bother with discussing all the experiments, but one thing was clear the business cycle was part of the solution. With this in mind, I devised an algorithm that analyzed price and time in 5 dimensions this became V2 and a secondary indicator that added a theoretical momentum type dimension. This last part was composed of 2 dimensions at 2 timeframes. Adding all this together to V2 --- W3 was born. This was December of 2006 when this was completed. Initial complex implementations with scanners and strategies were done for Tradestation, and to date that is the most complete and complex model I have developed. The simple V2 and W3 were ported to other platforms Metastock, eSignal and others. Now we fast track to 2009 when a good friend of mine, George D, started discussing GA with me. I had worked on this before and thought of having a fresh look at V2 and W3 within a GA. My friend recommended Neuroshell. The rest is now history about 5 months of work and testing, building models with iCinDER indicators and adding TurboProp, Fuzzy Indicators, Neural Indicators and Chaos Hunter. Today, we have both V2 and W3, implemented in an external DLL. We ship the indicators with an extensive Help File and sample models that the user can use as starting points for their own models. We plan on providing more complex models for the users that have TurboProp, NI and even Chaos Hunter. BUY NOW Contact Information: Adaptive Net Indicators The way a human would typically do pattern matching on financial data is as follows: He or she would scan the price stream (close) looking for distinct movements. Then he or she would examine the pattern formed by the changes in close for some number of bars (lets say 11) just prior to the distinct movements. If this human is pretty good at pattern recognition, he or she might even examine the changes in the open, high, and low of the preceding 11 bars as well as the change in close in those bars. The human is looking for what types of patterns in the prior 11 bars that foretell the distinct movement. Once the human is satisfied that there is a high probability of the distinct movement following certain patterns, he or she can then watch for those patterns in the future. When the patterns appear, the human expects one of the distinct movements to follow and places orders appropriately. The example above is the inspiration behind the enhancements to Adaptive Net Indicators (ANI) release 2.0. ANI always did pattern matching, but now in release 2.0 new functions not only include the current bar in the inputs but a number of lags of the input as well. Technical Details Adaptive Net Indicators are special versions of GRNN and PNN neural nets formulated to do pattern matching, both predicting and classifying. They retrain (quickly) on every new bar, so they are never more than 1 bar behind. You can set the contribution factors yourself so that the net uses your specification of how important the inputs are, instead of the other way around. Of course, you could also let the genetic algorithm find them if you own the NeuroShell Trader Professional or the DayTrader Professional. As a matter of fact, you can also let the GA find the optimal number of bars ahead to predict and the optimal training set size. If thats not enough exclamation points, how about this: you can even let the GA find the best thing to predict by optimizing the parameters (including whether open, high, low, or close) of your output indicator. Adaptive Net Indicators is a package with unprecedented flexibility and capabilities. Many of you have expressed a desire to have confidence factors for your nets. The classification series of Adaptive Net Indicators will provide you with confidence. In addition, Adaptive Net Indicators will make no prediction at all if they feel they have no basis on which to do so. Our Adaptive Net Indicators do pattern matching by comparing each new pattern encountered with a number of immediately previous known patterns. They do not use weights like most neural nets. The Net output (i. e. the output of the indicator) is derived from the outputs of the immediately previous patterns. It is most heavily influenced by the most closely matching of the known patterns, and so the output of any new pattern encountered will be much like similar known patterns. You the user can set the number of immediately previous patterns which the Net compares to the new pattern. The Net indicator has inputs in which the pattern is stored, just like other indicators and neural nets. If a Net has 3 inputs, you can feed in the current values of the RSI, a CCI, and the Momentum to form the pattern, for example. Or you could feed the Net todays close, yesterdays close (lag 1 of close), and the close the day before (lag 2 of close). You can feed Net outputs into a Net, just as you could do with any other indicator. With some of our indicators, you can also input many lags of the primary inputs as well. Nets also have another type of input, called the Actual value. This is where you show the Net what you want the outputs to be like. In other words, you train the Nets to produce values like the Actual value whenever the corresponding inputs are closely matched. You want the Net to predict for you the Actual value X bars in advance. The output of the Net is the prediction signal of the Actual value X bars ahead. You get to pick what X is for each Net. This is just like our neural nets in the NeuroShell Trader. Furthermore, you can even optimize the value of X in a Trading Strategy. There is another big difference between our Adaptive Nets and the neural nets in the NeuroShell Trader. The contribution factors for each input are also inputs. Thats right, instead of the net telling you the contribution of each input variable, you get to tell the Net what the contribution should be. The higher the contribution, the more heavily the Net will weigh that input when it does pattern matching. Of course, if youd rather have the contribution factors figured out for you, the NeuroShell Trader Professional can optimize them. There are two kinds of Adaptive Nets, depending on the type of output they produce. There are Prediction Nets whose outputs are predicted values (like price change, percent change in price, predicted indicator values, etc.). There are also Classifier Nets whose output is a probability of the pattern being of one type or another. Types might be Buy and Hold, for example. Other types can be Good and Bad, or Up and Down, etc. The Classifier Nets dont actually read or produce the strings like Buy and Hold. You use positive numbers in the Actual for one category like Buy, and zero or negative numbers for the other category like Sell. The predicted output will be a number between -1 (strong probability of sell) and 1 (strong probability of buy). Numbers close to zero could be considered Hold (YOU would decide how close to zero a prediction should be to be considered a Hold) One of the interesting things you can do with Adaptive Net Indicators is build adaptive moving averages. You can adjust how tight or how loose the adaptive moving average is. The chart below shows an adaptive net indicator configured as an adaptive moving average. Configurations There are a total of 18 Adaptive Nets, nine Predictor Nets and nine Classifier Nets. There are 9 of each because each of the nine takes a different number of inputs as follows: Predict2 - Prediction Net which takes 2 inputs Predict3 - Prediction Net which takes 3 inputs Predict4 - Prediction Net which takes 4 inputs Predict5 - Prediction Net which takes 5 inputs Predict6 - Prediction Net which takes 6 inputs LagPredict1 - Prediction Net which takes many inputs: 1 primary input and any number of lags of that primary input. LagPredict2 - Prediction Net which takes many inputs: 2 primary inputs and any number of lags of those primary inputs. LagPredict3 - Prediction Net which takes many inputs: 3 primary inputs and any number of lags of those primary inputs. LagPredict4 - Prediction Net which takes many inputs: 4 primary inputs and any number of lags of those primary inputs. Classify2 - Classifier Net which takes 2 inputs Classify3 - Classifier Net which takes 3 inputs Classify4 - Classifier Net which takes 4 inputs Classify5 - Classifier Net which takes 5 inputs Classify6 - Classifier Net which takes 6 inputs LagClassify1 - Classifier Net which takes many inputs: 1 primary input and any number of lags of that primary input. LagClassify2 - Classifier Net which takes many inputs: 2 primary inputs and any number of lags of those primary inputs. LagClassify3 - Classifier Net which takes many inputs: 3 primary inputs and any number of lags of those primary inputs. LagClassify4 - Classifier Net which takes many inputs: 4 primary inputs and any number of lags of those primary inputs. Adaptive TurboProp2 Many of our customers have asked for a version of our famous TurboProp2 that retrains itself as often as every bar. Well here it is, formulated as an indicator Just insert it into your chart or trading strategy just like any other indicator. Never has a neural net been easier to use, yet so powerful Adaptive TurboProp2 (AT2) is the same basic neural network algorithm that is used in the NeuroShell Trader, Trader Professional, and NeuroShell DayTrader Professional Prediction Wizard. However, AT2 can retrain itself as frequently as every new bar or after a number of bars which you can specify. The training set is always the most recent bars. AT2 does not make predictions on the training set bars, and its predictions are always out of sample (exception: when you specify that you are predicting zero bars ahead). Therefore, there are no walk forward periods to worry about, since the net is essentially walking forward each day (or each bar in the case of the NeuroShell DayTrader Pro). An AT2 net may be used as an indicator, as an input to a regular TurboProp2 net in the Prediction Wizard, or it may be used directly in a Trading Strategy. The output is a signal, meaning that the prediction is shown on the current bar, even if it is a prediction for 10 bars from now. AT2 doesnt require the optimizer in the Professional versions of the Trader because the parameters are so easy to set. However, when used with the NeuroShell Trader Professional or NeuroShell DayTrader Professional, you can optimize the following parameters: 1. trainbars - the training set size (number of recent bars on which to build the model), up to a maximum of 10,000. 2. aheadbars - the lookahead period (the number of bars into the future the prediction is to be made), i. e. the number of bars ahead that the actual signal is predicted. Be careful not to allow 0 in the range, because then you are predicting the current bar, not the future. 3. actual - the parameters of any indicator used as an output. 4. hiddens - the number of hidden neurons to use when making a network (Turboprop2 in the prediction wizard automatically decides how many to use, but AT2 lets you or the optimizer decide). You can use up to a maximum of 20 hidden neurons, more than enough for this adaptive version. 5. retrain - this parameter specifies in bars how often the net is trained. If retrain 1, a new net is created for each new bar encountered. If retrain 10, the net is retrained every 10 bars. 6. input1, input2, etc. - these parameters are the network inputs. You can optimize all parameters of indicators used as these inputs. Available Configurations AT2 nets allow 2 to 14 inputs. The names of the indicators are correspondingly Tprop2, Tprop3, , Tprop14. Adaptive TurboProp2 requires release 3.2 or better of the NeuroShell Trader, NeuroShell Trader Professional, or NeuroShell DayTrader Professional. Advanced Indicator Set 1 The NeuroShell Traderreg Professional has around 800 technical indicators. However, that didnt stop our users from wanting more They sent us requests for more indicators, some of which were simple to build, and some of which required a great deal of research. So we built another add-on called the Advanced Indicator Set 1 with these requested indicators. These are not part of the NeuroShell Traderreg, NeuroShell Traderreg Professional, or NeuroShellreg DayTrader Professional, but you can buy them as an optional add-on if you want them. They require release 3.0 or above of the NeuroShell Traderreg, NeuroShell Traderreg Professional, or NeuroShellreg DayTrader Professional. Aroon Down Aroon Up Aroon Oscillator Chaikin AccumulationDistribution Oscillator Hodrick-Prescott Filter (untradable) Hodrick-Prescott Window Keltner Channels True Range Vidya Volume Adjusted Moving Average (VAMA) (untradable) ZigZag (untradable) CHAOS AND FRACTAL INDICATORS Choppiness Index Polarized Fractal Efficiency Hurst Exponent Hurst Significance Fractal Dimension Polynomial Regression Polynomial Predict Moons Illuminated Fraction New Moon Moons First Quarter Full Moon Moons Last Quarter First Monday of the Month Flag First business day of the Month Flag Last business day of the Month Flag Number of days since High occurred Number of days since Low occurred Week of the Month Week of the Year Advanced Indicator Set 2 The NeuroShell Traderreg Professional has around 800 technical indicators. However, that didnt stop our users from wanting more They sent us requests for more indicators, some of which were simple to build, and some of which required a great deal of research. So we built another add-on called the Advanced Indicator Set 1 with these requested indicators. These are not part of the NeuroShell Traderreg, NeuroShell Traderreg Professional, or NeuroShellreg DayTrader Professional, but you can buy them as an optional add-on if you want them. They require release 3.0 or above of the NeuroShell Traderreg, NeuroShell Traderreg Professional, or NeuroShellreg DayTrader Professional. J. Welles Wilders Indicators Accumulation Swing Index Directional Movement Index MinusDI MinusDM Parabolic SAR signal Parabolic SAR value PlusDI PlusDM Swing Index Redundant Haar Wavelets Redundant Haar Wavelet Coefficient Redundant Haar Wavelet Smoothed Curve Center Of Gravity Index Center Of Gravity Oscillator Median Price Median Value Random Walk Index of Highs Random Walk Index of Lows RAVI Retrace Buy Retrace Sell Stochastic RSI Oscillator Variable Length Moving Average Volatility Breakout High Volatility Breakout Low Marc Chaikins Indicators AccumulationDistribution Oscillator Chaikin Money Flow Persistency Chaikin Volume Accumulation Percent Flag2 Flag3 Flag4 Flag5 Flag1 toggle with reset condition Flag2 toggle with reset condition Flag3 toggle with reset condition Flag4 toggle with reset condition Flag2 with reset condition Flag3 with reset condition Flag4 with reset condition Flag5 with reset condition BarCondition Count Indicators Bar Count Since Condition Bar Count Of Time S eries Condition Count Advanced Indicator Set 3 Advanced Indicator Set 3 is an eclectic set of indicators that expand NeuroShell Traders ability to find a value between two separate conditions or since the occurrence of a single condition. The Find and Count indicators are designed to answer traders questions about data such as what is the max value of the close in the time between a Bollinger Band High Breakout and a Bollinger Band Low Breakout or count the number of times the percent change in close was greater than x percent from February 1 to May 31. In addition, Set 3 adds the power to remember or toggle values off and on based on conditions. The Remember and Toggle indicators may be used to create complex Predictions and Trading Strategies. These functions complement the NeuroShell Traders emphasis on building indicators with a wizard rather than requiring the user to be a programmer. The result is a significant speed increase in building and testing trading systems. Advanced Indicator Set 3 also includes indicators specifically designed for pair trading. The PairEntry and PairExit set lets you build traditional market neutral systems that simultaneously buy and sell a pair of instruments that follow one another and frequently cross prices. When those pairs are hard to find, the ProxyEntry and ProxyExit indicators expand possibilities for pair trading by using the NeuroShell Traders neural nets to create cointegrated pairs. Rounding out this diverse mix are two indicators that compute the correct sun time and distance to the moon. Overview of Indicators The following descriptions of the Advanced Indicator Set 3 indicators are abbreviated. There are more comprehensive descriptions in the help file. Conditional Indicators The task oriented indicators in Set 3 such as Find, Count, Remember, and Toggle require the use of conditional indicators. The NeuroShell Trader includes many conditional indicators such as rules, Boolean, relational, crossovers, candlesticks, etc. Advanced Indicator Set 3 expands those choices with the following indicators: FollowedBy - returns a 1 for true when a Condition1 is followed by a Condition2. Other times it returns a zero. TimeIs - specifies a time as a condition for another indicator. DateIs - specifies a date as a condition. Peak - specifies the highest value within a certain number of bars. Valley - looks for the lowest value within a certain number of bars. BarNumber - returns a 1 when the specified bar number appears in a chart. The first bar in the chart is numbered 1, the second bar is numbered 2, etc. Find Indicators Find - calculates values such as count, point change, percent point change, max, min, sum, average, standard deviation, variance, median, regression slope, number of advancing bars, number of declining bars, max advance, and max decline based on two conditions occurring in a data stream. FindInclusive does the same as the Find indicator but includes the bars on which the conditions are true. FindSince and FindSinceInclusive - find similar values from the time Condition1 occurs until the end of the chart. Count Indicators Count - calculates a running total of the number of times a specified condition occurs in between a start condition and an end condition. CountInclusive same as the Count indicator but includes the bars on which the conditions are true. CountSince and CountSinceInclusive - these indicators begin their running total with the occurrence of Condition1, but Condition2 is replaced by the current bar. Remember - outputs a time series value based on a condition you specify. For example, the Remember indicator would output the value of the high (the time series) when the 9 period moving average crosses above the 13 period moving average (the condition). The output value would remain the same until the condition is met once again, at which time the current high would become the output. Remember2, Remember3, and Remember4 - output a different value depending upon which of several conditions is activated. The Remember indicators may be used as variable inputs to other indicators, Predictions or Trading Strategies. The conditions are truefalse indicators or any indicator that produces a value of either 0 or a non-zero value. Toggle - signifies the presence or absence of conditions you specify. The Toggle indicators may also be used to remove certain data when training a neural net, e. g. only train a net on bars between 1 p. m. E 4 p. m. The Toggle indicators output 0, 1, or a missing value based on the settings for the What parameter. ToggleInclusive same as Toggle but includes but includes the bars on which the conditions are true. ToggleSince and ToggleSinceInclusive - these indicators begin their running total with the occurrence of Condition1, but Condition2 is replaced by the current bar. Pair Trading PairEntry - compares the value of the close, which is different for each of the two chart pages, to the value of Price1 (the first stock) and Price2 (the second stock) and determines which stock goes long and which stock goes short. The values of Price1 and Price2 are also used to compute the spread between stocks in order to determine an entry point for the trade. PairExit - determines the exit conditions for trades entered with the PairEntry indicator. The PairExit indicator includes the StopSpread parameter that can be set as an emergency exit for both stocks. ProxyEntry similar to PairEntry but uses a neural net prediction to create proxy pairs by using one stock to predict the price of another. Uses the spread between the actual and predicted prices to pair trade the predicted stock and the one used as an input to the net. ProxyExit - determines the exit conditions for trades entered with the ProxyEntry indicator. The ProxyExit indicator includes the StopSpread parameter that can be set as an emergency exit for both stocks. Sun and Moon EquationofTime - returns the difference between solar time (as measured by a sundial) and mean clock time. MoonDistance - outputs the distance between the center of the Earth and the center of the Moon expressed in kilometers. Cluster Indicators The Cluster Indicators, like some of the other add-ons from Ward Systems Group, are based on how the human brain might classify the market. However, this NeuroShell Traderreg add-on isnt even a neural network (although neural net enthusiasts will see this as a Kohonen Self Organizing Map, trained by genetic algorithm) Think about this. Suppose you have two good inputs. Now suppose you made a scatter plot of a bunch of recent bars worth of these inputs. (For the math minded, all recent bars are plotted with one input on the Y axis and the other on the X axis.) Now suppose the inputs are good, as defined by the fact that their patterns foretell an uptrend or a downtrend in the price. Then wouldnt the bars that precede an uptrend look somewhat similar, at least after they were normalized Wouldnt those that precede a downtrend look similar too In other words, wouldnt the buy bars cluster together and the sell bars cluster together The graph displays long entry and short entry clusters for a Cluster Indicator based on the MACD and CCI indicators as inputs. Our new Cluster Indicators tell you how far the current bar is from the cluster center of the recent buy bars or sell bars. You can use a Cluster indicator as a buy rule, buying when the current bar is close to the cluster center of recent buy bars. Sell when the current bar is close to the sell cluster center. The genetic algorithm optimizer in the Trader Pro or DayTrader Pro finds the cluster centers that optimize the profit. The Cluster indicators also make dynamite inputs to a neural network. (For the neural net enthusiasts, this creates a paradigm much like the popular classic Radial Basis Function neural nets, except in the Trader Pro, your clusters dont have to all be based on the same inputs, and in fact can be optimized There was also a paradigm called Counter-propagation that was similar to feeding our Cluster indicators into a neural net.) Now expand the concept to as many as 16 inputs. Those cant be plotted because youd need a 16 dimensional scatter plot. But you can still measure how close the current bar is to a 16 dimensional cluster center There are 16 Cluster Indicators. Lets carry the concept a little further. Suppose some of the inputs are less effective than others in determining whether there is a buy or sell situation. You wouldnt want to consider these inputs as much when determining clusters and closeness. No problem, we have 8 Cluster contribution indicators, each of which has contribution factors which reduce or increase the impact of an indicator. You can set these contribution factors yourself or you can let the genetic algorithm do it for you. Either way, you now have a more powerful clustering indicator. Cluster Indicators require release 3.2 or better of the NeuroShell Trader Professional or NeuroShell DayTrader Professional. Fuzzy Pattern Recognizer How many times have you wished you could just let your software scan a price series and let you know when it has found a particular pattern that you like You have in your mind a special pattern of moves that you believe could precede a strong change in the market, but youd like the software to just monitor the incoming bars looking for your pattern. Well now you can do just that with the Fuzzy Pattern Recognizer add-on for the NeuroShell Trader series And you can do it using fuzzy logic Fuzzy logic was invented by Lofti Zadeh, and written about extensively in books by Bart Kosko. Fuzzy logic has been used successfully in machines and software around the world, even in smart household appliances. Now you can add this smart control to your trading, and it is easy to use because weve done the hard work for you The Fuzzy Pattern Recognizer is a fuzzy logic engine which lets you describe your pattern in fuzzy rules (approximate rules of thumb). It is really a series of indicators that show you, on a scale of 0 to 1, how closely the current price series matches your pattern. Turn on an alert in the DayTrader Professional and the Fuzzy Pattern Recognizer will scan your incoming bars looking for all of your favorite patterns. The alert will sound when the match is above .6. 8, or any value you select. Fuzzy rules are rules that are general in nature, not exactly specified. We describe price or indicator curves with the following fuzzy (verb) rules: Here are some example rules written in English which can be specified in the Fuzzy Pattern Recognizer add-on: The close rises sharply, then stays steady, then rises sharply again. The RSI rises, then drops, then rises, then rises sharply. The high remains steady, then drops, then rises, then remains steady, then drops, then drops sharply, then remains steady. The close drops sharply. Here are some additional highlights of the Fuzzy Pattern Recognizer: If you dont have any favorite patterns, you can let the genetic algorithm find them for you if you own the NeuroShell Trader Professional, or DayTrader Professional. You can specify that you want to look for two or more patterns, and then use the Fuzzy OR indicator to specify that any of your patterns are acceptable. You can specify that you want to look for two or more patterns, and then use the Fuzzy AND indicator to specify that all of your patterns must be present. Fuzzy OR and Fuzzy AND indicators can be combined for complex searches. As you can see from the example rules, patterns can be found not only in a price stream, but in most indicators such as stochastics, moving averages, etc. as well. You specify the number of bars in which a fuzzy verb such as rises applies. In other words, you determine that rises means over a duration of, say 10 minutes or ten days. You can also set the maximum expected variation, i. e. what you consider the maximum sharp rise to be. In that way, you can specify fuzzy rules, and then later apply those same rules to less or more volatile issues without recoding the indicator. All you have to do is reset the maximum expected variation. Although one use for Fuzzy Pattern Recognizer indicators is in Trading Strategy rules (conditions), you can also feed them into neural nets or other indicators. There are 8 fuzzy (verb) rule indicators in the add-on, Fuzzy1, Fuzzy2. Fuzzy8. Fuzzy1 handles 1 segment rules such as close rises or open drops sharply. Fuzzy2 handles 2 segment rules such as close rises, then drops sharply. Fuzzy3 is for 3 segment rules such as open rises, then drops, then remains steady, etc. Example of the Fuzzy2 indicator output (bar chart at the bottom). The search rule is Close rises, then drops, Segment Size8 bars, and Max Change7. There are 3 FuzzyOR rules and 3 FuzzyAND rules: FuzzyOR2, FuzzyOR3, FuzzyOR4, FuzzyAND2, FuzzyAND3, FuzzyAND4. As previously mentioned, these combine rules. For example, suppose you are looking for either a pattern that rises sharply then drops sharply, or a pattern that rises sharply, then remains steady, and then drops sharply. Then you would use a FuzzyOR2 indicator which takes as arguments a Fuzzy2 indicator and a Fuzzy3 indicator, each specifying their respective rules. FuzzyOR and FuzzyAND indicators may take other FuzzyOR and FuzzyAND indicators as arguments, as long as the lowest level indicators are rule indicators such as Fuzzy2. There are also 8 FuzzyGA indicators, which allow the genetic optimizer to tune the fuzzy logic engine better. We believe that Fuzzy Pattern Recognizer indicators open a whole new world of possibilities in trading with artificial intelligence. We think it will be our most popular add-on yet The Fuzzy Pattern Recognizer add-on requires release 3.2 or better of the NeuroShell Trader, NeuroShell Trader Professional, or NeuroShell DayTrader Professional. If you do not own one of the Pro versions, you can still use the Fuzzy Pattern Recognizer add-on to find patterns, but you will not be able to optimize the Fuzzy indicators. Fuzzy Sets Youve asked for it, and now it is here: the Fuzzy Sets add-on for NeuroShell Trader Professional and DayTrader Professional. Fuzzy logic was invented by L. A. Zadeh and further popularized by Bart Kosko. Fuzzy logic is not some theoretical idea that has yet to catch on. By 1990 the Japanese had over 100 real fuzzy control applications and products. The city of Sendai in Japan has controlled its subway with fuzzy logic since 1988. General Motors highly successful Saturn applies fuzzy logic for automatic transmission shift control. Duke University engineers have shown that intentionally imprecise rules of thinking can help hotel computers sell the right room to the right customer at the right time, thus boosting income. Ward Systems Group introduced what we believe was the first commercial trading software to allow users to describe price movements with fuzzy logic statements (the Fuzzy Pattern Recognizer add-on). A user could essentially give NeuroShell instructions such as: Find patterns where the price rose, then dropped, then dropped sharply, then rose sharply. The new Fuzzy Sets add-on is somewhat different in that it allows users to describe a combination of values of traditional indicators with fuzzy logic. With Fuzzy Sets the user can instruct NeuroShell with functions equivalent to fuzzy statements like: Buy when the Stochastic K indicator is very high, and the Commodity Channel Index is high, and the spread between two moving averages is low. Contrast that with the typical trading utilization of an indicator is to make decisions based upon rules like whether that indicator (lets say the Stochastic K) is above or below some threshold. For example: Buy when the STOCHK 70 and sell when the STOCHK 0) or dont buy ( B indicator. Generalization These nets generalize very well, meaning they do not have a strong tendency to overfit or curvefit like backpropagation neural nets do. Neural Indicators require the NeuroShell Trader Professional or NeuroShell DayTrader Professional, release 3.2 or better. Pattern Matcher The Pattern Matcher add-on grew out of many requests by users who wanted to know if patterns in their data streams had occurred before in history, and if so, what type of activity followed those historical patterns. Some users also wanted to identify a pattern in history and be alerted when a similar pattern occurs in the future. The Pattern Matcher add-on meets both needs by providing indicators that match patterns and revealing the subsequent activity. Pattern Matcher indicators work on any data stream in the NeuroShell Trader, Trader Professional, or DayTrader Professional. The Pattern Matcher can find patter ns in raw price data streams or indicators made from raw data streams. It is often advantageous to match patterns in indicators applied to prices rather than to the prices themselves, as you will see in a subsequent section of this document. The Pattern Matcher is unlike any of our other add-ons in that it is not designed for use in either a neural network or a trading strategy to make buysell decisions. It is intended that the user treat the Pattern Matcher as an intellectual tool to provide input to ones own biological neural networks for discretionary trading, or as confirmation of other signals you may be obtaining in other ways. So what does this mean It means that the Pattern Matcher is designed to provide answers to the questions that have plagued technical analysts since long before computers were born: Has the current pattern that we see in the most recent bars occurred in the past If so how many times, and how closely do those past patterns match the current one If there were a number of closely matching patterns in the past, what type of market moves did they precede on average You will be making your own subjective decisions about whether or how to trade based on the information the Pattern Matcher is showing you. These subjective judgments will be based on your own study and experience watching similar patterns, and based upon your decisions about what data streams in which to watch for patterns. Price streams (like open, high, low, close, and volume) may not be the proper data streams to be monitoring for patterns. Indicator data streams, in our experience, seem to provide a more reproducible pattern source. At Ward Systems, we have used the Pattern Matcher in the way just described. We have found that there is less value in trying to feed Pattern Matcher input into either neural nets or rules. We believe the tool is a powerful resource which will help you even the playing field, so to speak, as you compete with professional traders who have years of experience recognizing and reacting to patterns in the markets. They rely on their memories and intuition - you now have an analytic tool to bring to odds of success more in your favor. Furthermore, you should not assume that past patterns are an indicator of future performance. The pattern matcher may very well be a powerful tool for the contrarian trader too. The markets are quite capable of reversing what usually happens after recurring patterns. If this were not true, it would be easy to predict and make money in the markets, and we all know that it isnt easy. Overview of Indicators The following descriptions of Pattern Matcher Indicators are abbreviated. There are more comprehensive descriptions in the help file. Match - The Match indicator takes a very recent pattern on the chart and displays the probability that other patterns in history on the chart match that current pattern. MatchPast - The MatchPast indicator takes a designated pattern on the chart and displays the probability that other patterns in both history and future on the chart match that designated pattern. ProjectAvg - The Project Average indicator returns the average of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectMin - The Project Average indicator returns the minimum of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectMax - The Project Average indicator returns the maximum of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectStndDev - The Project Standard Deviation indicator returns the standard deviation of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectRange - The Project Range indicator returns the range of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectUpperB - The Project Upper Band indicator returns the upper envelope of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectLowerB - The Project Lower Band indicator returns the lower envelope of all projections (leads) of the projection series for all pattern matches that are greater than the indicated projection threshold. ProjectCount - Given a projection threshold, the Project Count indicator returns the total number of matches between the current pattern and patterns in history. ProjectPercent - Given a projection threshold, the Project Percent indicator returns the percentage of total number of matches between the current pattern and patterns in history. Turning Points The Turning Points add-on for the NeuroShell Trader series is based on the concept of finding local peaks and valleys in a price series. A turning point (TP) peak is defined as the point where the high is higher than or equal to any other highs in the neighborhood of the point. A turning point valley is defined as the point where the low is lower than or equal to any other lows in the neighborhood of the point. The above definitions are illustrated by an example graph below. The add-on contains indicators that do all of the following with respect to these turning points: Plot straight lines from one turning point to the next Plot support and resistance lines horizontally from the peaks and valleys Compute an oscillator which shows how the current close compares to a number of previous support or resistance levels Plot horizontal Fibonacci retracement lines calculated from peak to valley or valley to peak segments Compute statistical measures (mean, median, and standard deviation) of the price differences, time differences, and slope differences between turning points in a user-defined window Provide the probability that the current price level is at a new turning point based upon either of two of the computed statistical measures We are especially fond of the probability indicators above, because many issues exhibit repeating cyclic tendencies which can be captured with this technique. Of course, news and other factors can affect normal cyclic tendencies, and not every signal generated will be correct. However, there is plenty of capability in this add-on to build trading strategies that even we havent thought of yet. Following is a complete list of the indicators in the Turning Points add-on: Turning Point Plot Indicator Tpplot Individual Turning Point Measure Indicators TPbars TPchange TPpercent TPslope Turning Point Probability Indicators Peak probability ( change) Valley probability ( change) Peak probability (bars) Valley probability (bars) Mean Indicators PVmeanbars VPmeanbars PVmeanchange VPmeanchange PVmeanpercent VPmeanpercent PVmeanslope VPmeanslope Standard Deviation Indicators PVsdbars VPsdbars PVsdchange VPsdchange PVsdpercent VPsdpercent PVsdslope Vpsdslope Median Indicators PVmedianbars VPmedianbars PVmedianchange VPmedianchange Pvmedianpercent VPmedianpercent PVmedianslope Vpmedianslope Support and ResistanceSupport Level Support Level Resistance Level Support Oscillator Resistance Oscillator Fibonacci Retracements The Turning Points add-on requires the NeuroShell Trader, NeuroShell Trader Professional, or NeuroShell DayTrader Professional, release 3.8 or better.
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