Indicator & Trading Strategy – The Stiffness Indicator

Mags67 · 2018-11-18T09:15:00+00:00

As quoted in Stocks&Commodities November issue, I’d like us all to be able to use the Stiffness Indicator in PRT-language as well. Here is the code for the indicator and the strategy in TradeStation-language and hopefully you are able to translate it to PRT. Thanks in advance! Indicator: Stiffness Indicator// The Stiffness Indicator // Markos Katsanos // TASC Nov 2018 inputs: MALength( 100 ), StiffnessLength( 60 ), Threshold( 90 ) ; variables: MAValue( 0 ), MACorValue( 0 ), NumAboveMA( 0 ), Stiffness( 0 ), StiffnessEMA( 0 ) ; MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 * StdDev( Close, MALength ) ; NumAboveMA = CountIf( Close > MACorValue, StiffnessLength ) ; Stiffness = NumAboveMA * MALength / StiffnessLength ; StiffnessEMA = XAverage( Stiffness, 3 ) ; Plot1( Threshold, “Threshold” ) ; Plot2( StiffnessEMA, “Stiffness” ) ; Indicator: Corrected Moving Average// The Stiffness Indicator // Markos Katsanos // TASC Nov 2018 inputs: MALength( 100 ), StiffnessLength( 60 ), Threshold( 90 ) ; variables: MAValue( 0 ), MACorValue( 0 ), NumAboveMA( 0 ), Stiffness( 0 ), StiffnessEMA( 0 ) ; MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 * StdDev( Close, MALength ) ; Plot1( MACorValue, “MA COR” ) ; Plot2( MAValue, “MA” ) ; Strategy: Stiffness Strategy// The Stiffness Indicator // Markos Katsanos // TASC Nov 2018 // Requires Data2 Symbol for Market // inputs: MALength( 100 ), StiffnessLength( 60 ), BuyThreshold( 90 ), SellThreshold( 50 ), ExitAfterBars( 84 ), MarketTrendEMALength( 100 ) ; variables: MAValue( 0 ), MACorValue( 0 ), NumAboveMA( 0 ), Stiffness( 0 ), StiffnessEMA( 0 ), MarketTrendAvg( 0, Data2 ), MarketTrendOK( false, Data2 ) ; MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 * StdDev( Close, MALength ) ; NumAboveMA = CountIf( Close > MACorValue, StiffnessLength ) ; Stiffness = NumAboveMA * MALength / StiffnessLength ; StiffnessEMA = XAverage( Stiffness, 3 ) ; MarketTrendAvg = XAverage( Close of Data2, MarketTrendEMALength ) of Data2 ; MarketTrendOK = MarketTrendAvg >= MarketTrendAvg[2] ; if StiffnessEMA crosses over BuyThreshold and MarketTrendOK then Buy ( “X Over LE” ) next bar at Market ; if StiffnessEMA crosses under SellThreshold then Sell ( “X Under LX” ) next bar at Market ; if BarsSinceEntry >= ExitAfterBars then Sell ( “Num Days LX” ) next bar at Market ;

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11/18/2018 at 10:15 AM #85128 quote

Mags67
Participant

Average

As quoted in Stocks&Commodities November issue, I’d like us all to be able to use the Stiffness Indicator in PRT-language as well. Here is the code for the indicator and the strategy in TradeStation-language and hopefully you are able to translate it to PRT. Thanks in advance!

Indicator: Stiffness Indicator// The Stiffness Indicator
// Markos Katsanos
// TASC Nov 2018

inputs:
MALength( 100 ), StiffnessLength( 60 ),

Threshold( 90 ) ;

variables:
MAValue( 0 ), MACorValue( 0 ), NumAboveMA( 0 ), Stiffness( 0 ), StiffnessEMA( 0 ) ;

MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 *

StdDev( Close, MALength ) ; NumAboveMA = CountIf( Close >

MACorValue, StiffnessLength ) ; Stiffness = NumAboveMA *

MALength / StiffnessLength ; StiffnessEMA = XAverage( Stiffness, 3 ) ;

Plot1( Threshold, “Threshold” ) ; Plot2( StiffnessEMA, “Stiffness” ) ;

Indicator: Corrected Moving Average// The Stiffness Indicator
// Markos Katsanos
// TASC Nov 2018

inputs:
MALength( 100 ), StiffnessLength( 60 ), Threshold( 90 ) ;

variables:
MAValue( 0 ), MACorValue( 0 ), NumAboveMA( 0 ), Stiffness( 0 ), StiffnessEMA( 0 ) ;

MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 *

StdDev( Close, MALength ) ;

Plot1( MACorValue, “MA COR” ) ; Plot2( MAValue, “MA” ) ;

Strategy: Stiffness Strategy// The Stiffness Indicator

// Markos Katsanos
// TASC Nov 2018
// Requires Data2 Symbol for Market //
inputs:

MALength( 100 ), StiffnessLength( 60 ), BuyThreshold( 90 ), SellThreshold( 50 ), ExitAfterBars( 84 ), MarketTrendEMALength( 100 ) ;

variables:
MAValue( 0 ),
MACorValue( 0 ), NumAboveMA( 0 ),
Stiffness( 0 ),
StiffnessEMA( 0 ), MarketTrendAvg( 0, Data2 ), MarketTrendOK( false, Data2 ) ;

MAValue = Average( Close, MALength ) ; MACorValue = MAValue – .2 *

StdDev( Close, MALength ) ; NumAboveMA = CountIf( Close >

MACorValue, StiffnessLength ) ; Stiffness = NumAboveMA *

MALength / StiffnessLength ; StiffnessEMA = XAverage( Stiffness, 3 ) ;

MarketTrendAvg = XAverage( Close of Data2, MarketTrendEMALength ) of Data2 ;

MarketTrendOK = MarketTrendAvg >= MarketTrendAvg[2] ;

if StiffnessEMA crosses over BuyThreshold and MarketTrendOK then
Buy ( “X Over LE” ) next bar at Market ;

if StiffnessEMA crosses under SellThreshold then Sell ( “X Under LX” ) next bar at Market ;

if BarsSinceEntry >= ExitAfterBars then
Sell ( “Num Days LX” ) next bar at Market ;

11/18/2018 at 10:52 AM #85129 quote

Vonasi
Moderator

Master

Not sure if this is the same ‘Stiffness Filter’ but it is something I coded a while back.

Average Penetration Indicator

11/18/2018 at 11:10 AM #85132 quote

Mags67
Participant

Average

Hi Vonasi!

Seems strange that S&C should have an article about the same code twice within the same year? Could be based on the same idea though! I’ll have a look at your code and see if it helps my question without further de-coding. Thanks!

/Mags

11/20/2018 at 9:29 AM #85273 quote

Nicolas
Keymaster

Legend

When I read the S&C issue this month, I immediately thought of the indicator Vonasi has made some weeks ago.. 😆

10/29/2021 at 9:13 PM #180576 quote

robertogozzi
Moderator

Legend

There you go https://www.prorealcode.com/prorealtime-indicators/stiffness-indicator/

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