TD Sequential - DeMark Indicators

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adamant
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TD Sequential - DeMark Indicators

Post by adamant » Thu Jun 03, 2010 8:46 am

I am looking for a platform which offers DeMark Indicators, or one for which TD sequential code exists. So far, I have not been able to find it! Esignal does not offer this add-on, Metastock doesn't, and Bloomberg and CQS is too expensive for now. Anyone know about a platform that offers this? AmiBroker is out since there is no reliable compatible datavendor for AmiBroker in Norway, as far as I can tell. Your help is appreciated.

A

LeviF
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Post by LeviF » Thu Jun 03, 2010 9:44 am

I checked out DeMarks New Science... book from my library a few weeks ago and I tried programming Sequential in Blox. I feel it is 80% complete. The last 10% is a bit vague and i'll reserve another 10% for errors. It seems to me to be not much more than a overly complex and arbitrary setup/entry and I felt like a doofus believing that this had any value. I'd code up a paragraph or two and then DeMark would add something like, "but now that setup is only valid if xxx occurs and not yyy and it resets if zzz..."

And there is minimal discussion about stops and exits.

adamant
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Post by adamant » Tue Jun 08, 2010 4:00 am

I agree it is certainly not a complete system by any means. only an indicator. It is interesting mostly because it is"different" in a sense to the other technical indicators I use. I have this thought that perhaps it could be useful as a countertrend tool. I work as a money manager now(probably the world's smallest portfolio :)) and I am trying to sort of build a portfolio of tools for different market environments, for discretionary trading, it should be noted.

Sadly, not nearly enough time to work on my blox skills, which would probabaly be time well (or better) spent. I am to lazy/busy to fully exploit this wonderful platform. Thankfully I share my office with a very succesful stat arb systematic trader (with mad programming skills) and I am constantly trying to pick up little bits of wisdom w/ reg to systematic trading from him (although he is exclusively countertrend, he shares many of the same sound principles regarding money management for example with the good people of this forum). Would be interested in seeing your DeMark code if you are willing to share it (totally understand if you are not) at some point.

Moto moto
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Post by Moto moto » Wed Jun 09, 2010 5:44 am

I had a brief stint on Bloomberg and found the DeMark info very interesting. I also think his work is fantastic in thought and detail and dont wish to take anything away from him and the work.... however......

I once asked if you could get the data on just one of the systems in order that I could run some stats on it - in order to backtest (not in a system - but more as a general idea to see if it could actually help in certain contexts). This request was done in the chat room they offer on bloomberg IM.

Well lets just say I was burnt at the stake by his followers for being a heretic and daring to question that the work needed to be tested and validated. (I even received emails from others saying that they thought the response from some on the chat was excessive, so it was not just me being paranoid)

To Mr Demarks credit his response was that his work is valuable and it would cost me much muchos to purchase and was being used by some large firms that would not appreciate it being given away. Additionally - and this is the part of his work I found most interesting - even he stated that his work should be used in conjunction of the context and is not designed to be used as standalone indicators.

A few of his indicators I do use from a discretionary point of view, probably more from a focus of context and for counter trend profit taking areas. If they work I dont know, but they can help keep a level head when I think something is never going down again in our lifetime!

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Post by sluggo » Wed Jun 09, 2010 9:32 am

On page 140 of [i]The New Science of Technical Analysis[/i], Tom DeMark wrote:To generate a sequential buy signal, the market environment must first be predisposed to rally. My research determined that a prerequisite to buy is a particular relationship amont closing prices over a period of nine consecutive days. Specifically, once a period of at least nine consecutive trading closes less than the close four trading days earlier is recorded, then the buy setup is complete. .... The prerequisite for a sell setup is exactly the opposite of the prerequisite for a buy signal. A buy setup requires a series of nine consecutive days' closes less than the close four trading days earlier; a sell setup requires a series of nine consecutive trading days' closes greater than the close four trading days earlier.
I notice that he makes the comparison C[today] < C[4 days ago]. This is equivalent to the comparison (C[today] - C[4 days ago]) < 0.

Tradestation has a built-in indicator which calculates (C[today] - C[4 days ago]). They call it "the 4 day momentum", written Momentum(4). Using this nomenclature, the DeMark sequential buy setup becomes
  • When Momentum(4) is negative for at least nine consecutive days, buy
Tradestation also has a built-in function called Highest(X, n) which looks at data series "X" and finds the highest value of X over the past n bars. Tradestation programmers can use this Highest function (and its companion, Lowest), to simplify the calculation of DeMark sequential setups:
  • If (Highest(Momentum(4), 9) < 0) then SeqBuy = True else SeqBuy = False
  • If (Lowest(Momentum(4), 9) > 0) then SeqSell = True else SeqSell = False

LeviF
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Post by LeviF » Wed Jun 09, 2010 9:35 am

There are a LOT more rules than that. I will post what I have in the marketplace.

adamant
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Post by adamant » Wed Jun 09, 2010 10:43 am

Thx guys! This forum rocks.

I've been in touch with the customer reps at DeMark Prime, which is a technical analysis platform offered by DeMark & Co. Will test it and post my thoughts on a suitable thread. Supposedly it has backtesting capability. (It costs 500 usd per month to lease so it had better be good.)

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Post by catalytic » Thu Sep 23, 2010 12:32 am

Hello Levif, just joined the forum and seeing your DeMark post...you mentioned you would post what you have done in the "marketplace".
Have you been able to do this and, if so, where could I find it. I'm a newbie to Trading Blox etc. Appreciate your help.

Thanks

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