Here is this month’s selection of Traders’ Tips, contributed by various developers of technical analysis software to help readers more easily implement some of the strategies presented in this and other issues.

You can copy these formulas and programs for easy use in your spreadsheet or analysis software. Simply select the desired text by highlighting as you would in any word processing program, then use your standard key command for copy or choose copy from the browser menu. The copied text can then be pasted into any open spreadsheet or other software by selecting an insertion point and executing a paste command. By toggling back and forth between an application window and the open Web page, data can be transferred with ease.

AMIBROKER: TIME AND MONEY CHARTS

In Time And Money Charts in this issue, Stuart Belknap presents a new charting technique, called TAM charts, that can be easily reproduced in AmiBroker using its native AFL language.

FIGURE 1: AMIBROKER, TIME AND MONEY CHART. This AmiBroker chart shows a daily time and money (TAM) chart of National Semiconductor (NSM) and replicates the chart presented in Stuart Belknap’s article this issue. The bottom windows show a volatility indicator and the stochastic momentum indicator. —Tomasz Janeczko, AmiBroker.com

www.amibroker.com

AMIBROKER: FRACTAL DIMENSION INDEX

In Making Sense Of Fractals, Erik Long presents an application of the Hurst exponent and fractal dimension statistics to financial markets.

The calculation of the Hurst exponent is not as easy as the author of the article suggests. The Hurst exponent is not so much calculated as estimated. A variety of techniques exist for doing this, and the accuracy of the estimation can be a complicated issue. In our approach, we will use a classic, rescaled, range-estimation method, with 63 different-sized (from eight to 256 bars) regions covering one year’s worth of data.

Listing 1 shows the exploration code that calculates both the Hurst exponent and the fractal dimension estimates for all symbols in the database. Sample output is shown in Figure 2. To use this code, simply copy it to the Automatic Analysis formula field and press the Explore button.

FIGURE 2: AMIBROKER, FRACTAL DIMENSION ESTIMATES. This AmiBroker screenshot shows output of the fractal dimension exploration that was run over Dow Jones Industrials components. As the fractal dimension deviates from 1.5, the opportunity for earning profits increases.

A downloadable version of this formula is available from the AmiBroker website. —Tomasz Janeczko, AmiBroker.com

www.amibroker.com

WEALTH-LAB: TIME AND MONEY CHARTS

The Wealth-Lab script given here reproduces the time and money (TAM) charts described in Stuart Belknap’s article in this issue. The reference price grid (signal) displays volatility bands at various levels around price. When prices hit the outer band, this represents instances where prices are reaching statistically extreme levels.

We coded a simple trading system that goes long when prices touch the lower band and exits the position when prices reach the norm (moving average).

Figure 3 displays a TAM chart of Cisco five-minute bars with this simple trading system applied.

FIGURE 3: WEALTH-LAB, TIME AND MONEY CHARTS. This sample Wealth-Lab chart displays a TAM chart of Cisco five-minute bars with a simple trading system applied. The system goes long when prices touch the lower band and exits the position when prices reach the norm (moving average). The chart also displays the volatility sigma (%) and the stochastic momentum index indicator as described in Belknap’s article. Our chart also displays the volatility sigma (%) and the stochastic momentum index indicator as described in the article.

—Dion Kurczek, Wealth-Lab, Inc.

www.wealth-lab.com

WEALTH-LAB: FRACTAL DIMENSION INDEX

In his article Making Sense Of Fractals, Erik Long uses the Hurst exponent as a basis for his fractal dimension index (FDI) indicator. The Hurst exponent measures the smoothness of a fractal time series based on the asymptotic behavior of its rescaled range. A value of 0.50 indicates that the time series behaves very closely to a random walk. Values higher than 0.50 indicate that the price series covers more distance than a random walk, and values less than 0.50 indicate less distance.

The Wealth-Lab script here calculates the Hurst exponent based on a sliding 200-bar sample window. Figure 4 displays the Hurst exponent for daily corn futures. Figure 5 shows the tabular results. Note how the Hurst exponent moves away from 0.50 as prices start forming a strong trend.

FIGURE 4: WEALTH-LAB, HURST EXPONENT. This sample Wealth-Lab chart displays the Hurst exponent for daily corn futures. Note how the Hurst exponent moves away from 0.50 as prices start forming a strong trend.

FIGURE 5: WEALTH-LAB, HURST EXPONENT. Here are the tabular results for the chart displayed in Figure 4.

—Dion Kurczek, Wealth-Lab, Inc.

www.wealth-lab.com

NEUROSHELL TRADER: TIME AND MONEY CHARTS

In this issue, Stuart Belknap describes several indicators that are either already built into NeuroShell Trader Professional or can be recreated by combining a few of the 800-plus technical indicators already in NeuroShell.

We’ve combined all the relevant indicators to recreate Belknap’s indicators. These indicators are in a chart that can be downloaded from the NeuroShell Trader free technical support website.

To insert Belknap’s channel lines: 1. Select New Indicator. from the Insert menu

2. Select the Simple Moving Average category

3. Select the simple moving average, simple moving average envelope high, and simple moving average envelope low

4. Select the simple moving average envelope high parameter envelope fraction

5. Press the Set Parameter button and set the parameter to 0.03,0.02,0.01

6. Select the simple moving average envelope low parameter envelope fraction

7. Press the Set Parameter button and set the parameter to 0.03,0.02,0.01

8. Select the Finished button To add the other custom indicators to your chart: 1. Select New Indicator. from the Insert menu

2. Select the Custom Indicator category

3. Select the TAM—volatility, TAM—reference price grid, and TAM—stochastic momentum indicators

4. Select the TAM. reference price grid parameter envelope fraction

5. Press the Set Parameter button and set the parameter to -0.03,-0.02,-0.01,0.0.01,0.02,0.03 (this will provide you with the entire grid as Belknap suggests)

6. Select the Finished button. To insert Belknap’s average bar price: 1. Select New Indicator. from the Insert menu.

2. Select the Arithmetic category.

3. Select the Average2.

4. Set the Operand #1 and Operand #2 parameters to High and Low, respectively.

5. Select the Finished button. You can easily insert any of these indicators into a prediction or trading strategy (however, do not trade with Belknap’s TAM volatility or Tam reference grid indicators, since they look ahead in time). The coefficients can be optimized by the genetic algorithm built into NeuroShell Trader Professional or DayTrader Professional. This can provide you with custom versions of Belknap’s indicators that perform best with your favorite issues.

Users of NeuroShell Trader can go to the STOCKS & COMMODITIES section of the NeuroShell Trader free technical support website to download a sample chart (Figure 6 ) implementing this tip.

FIGURE 6: NEUROSHELL TRADER,TIME AND MONEY CHART. Here’s a sample NeuroShell Trader chart demonstrating Belknap’s indicators.

For more information on NeuroShell Trader, visit www.NeuroShell.com. —Marge Sherald, Ward Systems Group, Inc.

301 662-7950, sales@wardsystems.com

www.neuroshell.com

NEUROSHELL TRADER: FRACTAL DIMENSION INDEX

Erik Long’s fractal dimension index (FDI) can be easily implemented in NeuroShell Trader Professional by using the Hurst exponent indicator. This indicator is available from the NeuroShell Advanced Indicator Set 1 extra-cost add-on, in addition to using standard indicators included with NeuroShell Trader software.

First, insert the standard subtract indicator by doing the following: 1. Select New Indicator. from the Insert menu.

2. Select the Arithmetic category.

3. Select the Subtract indicator.

4. Set Operand #1 equal to 2.

5. Set Operand #2 to the Hurst exponent indicator in the Advanced Indicator Set 1 category.

6. Select the Finished button.

7. Right-click on the completed indicator and rename it to FDI (fractal dimension index). Note that for additional study, we also added to our chart the Hurst significance and fractal dimension indicators from the Advanced Indicator Set 1 add-on (Figure 7 ).

FIGURE 7: NEUROSHELL TRADER, FRACTAL DIMENSION INDEX. Here’s a sample NeuroShell Trader chart demonstrating the fractal dimension index with related indicators. If you decide to use your indicator in a trading strategy, the coefficients may be optimized by the Genetic Algorithm built into the NeuroShell Trader Professional. This can provide you with the parameters that maximize profitability.

Users of NeuroShell Trader can go to the STOCKS & COMMODITIES section of the NeuroShell Trader free technical support website to download a sample NeuroShell chart implementing this tip.

For more information on NeuroShell Trader, visit www.NeuroShell.com.

—Marge Sherald, Ward Systems Group, Inc.

301 662-7950, sales@wardsystems.com

www.neuroshell.com

NEOTICKER: TIME AND MONEY CHARTS

To construct the TAM charts presented in Time And Money Charts by Stuart Belknap in NeoTicker, first construct four indicators: Channel Lines (Listing 1), Volatility (Listing 2), Reference Price Grid (Listing 3) and Stochastic Momentum Index (Listing 4). Then apply those indicators to the different time frame charts.

To create the daily TAM charts, open a daily chart, expand the numbers of days to load to 100, then add the volatility sigma, stochastic momentum, and price reference on the chart to get the daily TAM chart (Figure 8 ).

FIGURE 8: NEOTICKER, DAILY TIME AND MONEY CHART. Add the volatility sigma, stochastic momentum, and price reference on the NeoTicker chart to get the daily TAM chart.

For intraday TAM charts, change the days to load to 5 and change the bar type to minute and size to 5, to make the chart into a five-minute chart (Figure 9 ).

FIGURE 9: NEOTICKER,FIVE-MINUTE TIME AND MONEY CHART. For intraday TAM charts, change the days to load to 5 and change the bar type to minute and size to 5 to make the chart into a five-minute chart. Use the price channels lines indicator to create the candlestick chart that demonstrates price action using the moving average and its offset channels (Figure 10 ), as described in Long’s article.

FIGURE 10: NEOTICKER,CANDLESTICK TIME AND MONEY CHART. Use the price channels lines indicator to create the candlestick chart that demonstrates price action using the moving average and its offset channels, as described in Long’s article.

groups.yahoo.com/group/neoticker/. —Kenneth Yuen, TickQuest Inc.

www.tickquest.com

NEOTICKER: FRACTAL DIMENSION INDEX

The fractal dimension index (FDI) presented in Making Sense Of Fractals by Erik Long in this issue can be implemented in NeoTicker using VBScript.

Start by creating a new indicator and name it FDI (Listing 1) with one integer parameter Period. Input the following code:

The FDI indicator, when added to a chart, will return the fractal dimension index of the underlying instruments (Figure 11 ).

groups.yahoo.com/group/neoticker/.

FIGURE 11: NEOTICKER, FRACTAL DIMENSION INDEX. Here’s a sample NeoTicker chart of the FDI (bottom pane) with the underlying instrument (top pane). —Kenneth Yuen, TickQuest Inc.

www.tickquest.com

ASPEN GRAPHICS: TIME AND MONEY CHARTS

Here is an easy-to-use time and money chart so that the user can, with just one formula (instead of six), create a display (chart/band) that makes it easy to adjust parameter settings on the fly and directly from within the display. We have also improved the channels by pulling the lines closer together.

In Stuart Belknap’s article, the formulas that are used for the channel lines: _tam-arm-ch, it appears that this formula is designed to draw six lines on a chart, three above and three below. With Aspen, we currently do not have the capability to have a formula output six lines at once from one formula, but what we have created will allow a user to change the parameters from the chart and allow the six lines to be drawn. (Keep in mind that the formula names have been changed to protect the innocent.)

These formulas can be overlaid onto the chart and by using the Parameters menu, the user can adjust the band so that multiple lines can be drawn from a single formula (Figure 12 ).

FIGURE 12: ASPEN GRAPHICS, TIME AND MONEY CHART. upper and lower channels. The upper and lower channels can be overlaid on the time and money chart. By using the parameters menu, you can adjust the band so that multiple lines can be drawn from a single formula. FIGURE 13: ASPEN GRAPHICS, TIME AND MONEY CHART, VOLATILITY STUDY. The TAM SigoM Volatility formula could be implemented using the multiline formula format to produce one single plot line.

This formula could be done using the multiline formula format to produce the one single line.

The study for the reference price grid, _tam-arm-chd, uses the study called TamSigoM as part of the calculations. (See Figure 14 .) These were written to act like the TamChannelUpper and TamChannelLower formulas so the user can make adjustments as needed:

FIGURE 14: ASPEN GRAPHICS, REFERENCE PRICE GRID, UPPER AND LOWER ARMS. The reference price grid study (called _tam-arm-chd) uses the TamSigoM study as part of the calculations and plots the upper and lower arms. These were written to act like the TamChannelUpper and TamChannelLower formulas so that the user can make adjustments as needed.

FIGURE 15: ASPEN GRAPHICS, STOCHASTIC MOMENTUM INDEX. Here is a sample plot of the study for the stochastic momentum index. _tam-stom-m. —Andy Sewell

Aspen Research

asewell@aspenres.com

www.aspenres.com

Here is a StockWiz ranking formula that applies the fractal dimension index (FDI). We added that index to our formula language and it is listed under the name FDI. Therefore, the FDI can be used in screening, ranking, or backtesting.