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Trendiness Measure

by Brian Brown, 1835 days ago
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This indicator measures the tendency of a security to trend. It does so by calculating a moving average then counting the number of times that moving average crosses the close price in the previous N-bars. The fewer crossovers the more evidence that the stock or security is trending. A high number of crossovers mean that the stock is in a congestion phase.

This trading indicator can be very useful in a trend following system to detect potential candidates.

Example of a trend following system:

sm = sma(100);
rule1 = close > sm;
rule2 = trending(100) == 0;
buy = rule1 and rule2;


The above system simply checks for stocks that were trending during the previous 100 bar (not a single crossover between the security and the simple moving average in the past 100 bars) and enters them long if the price is above the 100-bar moving average.

This function can also be used to detect congestion phases (high value returned by the trending function).
You can for example rank securities by the number of crossovers and then buy the ones that are making a new high.

Example:
rule1 = close == hhv(close, 100);
SetSimLongRank(trending(100));
buy = rule1;


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Type: Trading Indicator

Object ID: 1540


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