Indicator & Trading Strategy – The Stiffness Indicator

• 11/18/2018 at 10:15 AM #85128
  Mags67

  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 ;

  

  Mags67

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

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

  https://www.prorealcode.com/prorealtime-indicators/average-penetration-indicator/

  

  Vonasi

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  11/18/2018 at 11:10 AM #85132
  Mags67

  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

  

  Mags67

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

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

  

  Nicolas

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

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

   

  1 user thanked author for this post.

  GraHal

  

  robertogozzi

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