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New Indicators To Be Released

November 18, 2009

There is no fixed schedule for the new DV Indicators to be released. However there are currently 27 indicators coded for Tradestation and about 50 that I have developed. I would appreciate some feedback in the comments section as to which type of indicators you would like to see the most. As a side note, many of the indicators have already started to be coded for Amibroker and some of them will be release in the coming weeks. Here are some new ones that I am planning on releasing soon and will be introduced on the blog first with a description and some results.

1) DVPV and HV: these are volatility-based indicators, useful for developing trading systems as a filter

2) non-adaptive DVO and DVI: this DVO is the one displayed currently on the website, the adaptive will be ready in a few weeks (coding is complicated for this one). The DVI  is an intermediate oscillator that comes with three indicators: DVI stretch, DVI magnitude and DVI composite which combines both.

3) DVBR: this is a short-term  “breakout” trend indicator and has performed exceptionally well since the rally began, and on the S&P500 for the last 50 years

4) the DV Stochastics Package: this includes a unique trend stochastic, cycle stochastic, and trend minus cycle  stochastic. All of them perform very well and help provide unique insights into the relative trend or cycle component of the underlying. The final addition is the “Magic Stochastic” which has performed extremely well over the last 50 years as a mean reversion indicator. The Magic Stochastic is the most robust DV mean-reversion indicator and can be used on most stocks and asset classes.

5) DVT: this is a suite of 5 different trend indicators that incorporate volume and r-squared and various measures of trend to create trend signals. The baseline DVT vastly outperforms standard long-term trend indicators.

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20 Comments leave one →
  1. WTP permalink
    November 18, 2009 3:07 pm

    David,

    Fantastic array of indicators.

    Please check your website, I have currently have trouble with some of the links.

    • david varadi permalink*
      November 18, 2009 3:11 pm

      hi, thanks very much we are having problems with the hosting service, this should be resolved shortly.
      are there any in particular that you would deem higher priority than the other?

      best
      dv

  2. November 18, 2009 3:54 pm

    How about a new tab at the top of this site after CSSA linking to DV indicators for a starter! Regards, Jeff

  3. John permalink
    November 18, 2009 4:33 pm

    What about:

    1.) Your best adaptive trend following/break-out system
    2.) Your best adaptive mean reverting system
    3.) Your best indicator to identify what kind of market we are in (trend following or mean reverting). If you can provide us the tools to adapt, then maybe #1 or #2 don’t need to be adaptive.

    In other words, the tools to identify the kind of market we are in and your best indicator(s) to trade that market. A methodology or suggestion for managing the equity curve of each indicator would also be helpful.

    One other item I might suggest. If we have say 10 trend following indicators and all are working, do we trade the top three in an indicator rotational kind of strategy? Is it possible to rotate the indicators in a similar fashion to how a sector rotational strategy rotates to sectors? With all of these indicators, which ones do we trade and why.

    • david varadi permalink*
      November 18, 2009 9:09 pm

      Dear John,
      the entire next gen will be adaptive they will also include curve management as you suggest. As for the mean reversion/trend indicator, that has recently been done and will be available. To me it is a flagship indicator and it is adaptive as well to each stock or asset class.
      As for all of your other suggestions, you are absolutely correct, and I have done a lot of work behind the scenes on that end. Great suggestions!
      cheers
      dv

  4. November 18, 2009 4:44 pm

    i am looking forward to checking out your TradeStaion based BDO indicator (Breadth Divergence Osicillator) (https://cssanalytics.wordpress.com/2009/11/02/breadth-divergence-oscillator-bdo/)

  5. Aristotle permalink
    November 18, 2009 5:56 pm

    Are you still planning to release indicators in Excel format?

    • david varadi permalink*
      November 18, 2009 9:10 pm

      hi aristotle, yes, we have almost completed an excel platform that is interactive with charts etc. This will be released fairly soon. It will also include indicators built in to the package.

      cheers
      dv

  6. Roger permalink
    November 18, 2009 7:16 pm

    Like John’s list. Personally waiting for the Amibroker version of the indicators

  7. Anton permalink
    November 18, 2009 8:01 pm

    I like John’s list, too. Fantastic work, David!

  8. November 18, 2009 8:38 pm

    To me, identifying whether or not we are trending or reverting — and quickly signaling a change from one to the other — has the most value. That affects indicators and strategies used. Probably some combo of DVs? Nice work.

  9. david varadi permalink*
    November 18, 2009 9:12 pm

    to adam, that is currently in the pipe. to roger, anton, and bob, thank you very much for the kind words. Amibroker is due out soon, and the mean-reversion or trend indicator will also be out soon.

    cheers
    dv

  10. AntiHEB permalink
    November 19, 2009 2:42 am

    I agree Johns list sounds great. Because David has already released some fatastic reversion to mean indicators, it would be nice to start with a trend indicator like DVT.

  11. Frank permalink
    November 19, 2009 2:51 am

    Hello David,

    most of your indicators have improved my trading systems – Thank you very much!
    What i would love to see is not just the pure number of new indicators i would like to understand how/why you came up with a certain indicator design. …. Understanding why you have choosen a certain design will improve my confidence and we all know confidence is an important factor in executing a trading system. I know this is additional work for you …. but maybe you can do it for 1 or two indicators (or as part of your indicator packages).

    Anyway, Thank you very much for the tremendous value you’ve added to MY trading.

    Frank

    • November 19, 2009 9:48 am

      I second Frank’s motion that the how/why of these indicators would be very very helpful.

    • david varadi permalink*
      November 19, 2009 12:13 pm

      hi Frank, thanks a lot! For every new indicator that is released, a description/rationale will be provided as well as a turnkey system. This was based on feedback from many people including yourself. I hope this helps!

      cheers
      dv

  12. Peter permalink
    November 19, 2009 4:59 am

    Love your work. Almost have a hard time keeping up.

    • david varadi permalink*
      November 19, 2009 12:14 pm

      thanks Peter…..so do I!

      cheers
      dv

  13. WTP permalink
    November 19, 2009 9:02 am

    David,

    My priorities:

    1)which indicator(s) work best to facilitate a market neutral asset/sector rotation strategy, blending trend following with mean reversion, to guide the best combination to be long vs short each day.

    2) Any work done with options, not as a “leverage” play on the underlying, rather, as a means to capture & arbitrage (delta neutral) the unique depreciating value (theta) vs volatility (gamma).

    Thank you!

    • david varadi permalink*
      November 19, 2009 12:16 pm

      WTP, there will be a lot of research/subscriber applications for rotational strategies. As for options, I am actually working on a big project to create “fair value” options pricing using a nonlinear regression that incorporates both technical and volatility based information. This will be available for institutions in 2010.

      best
      dv

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