I have covered this method in my previous posting. I am repeating it here for readers that have missed out on this simple indicator that can be used for trading index ETF like STI ETF.
If today’s close is greater than close x days ago, score = 1
If today’s close is less than the close x+1 days ago, score = -1
Tuschar Chande suggested comparing the close to the closes from 11 to 20 days ago.
Therefore,
Trendscore = 10 day sum of the scores from days 11 to 20.
The trend score for this case will oscillate between +10 to -10.
The metastock formula is given below:
If(C>=Ref(C,-11),1,-1)+
If(C>=Ref(C,-12),1,-1)+
If(C>=Ref(C,-13),1,-1)+
If(C>=Ref(C,-14),1,-1)+
If(C>=Ref(C,-15),1,-1)+
If(C>=Ref(C,-16),1,-1)+
If(C>=Ref(C,-17),1,-1)+
If(C>=Ref(C,-18),1,-1)+
If(C>=Ref(C,-19),1,-1)+
If(C>=Ref(C,-20),1,-1)
Let’s say that we buy 1 lot of Straits Times Index (STI) when the Trendscore reaches +10 and exit the trade when Trendscore becomes negative.
The trade record is given below:
| Position | Entry Date | Entry Price | Exit Date | Exit Price | % Change |
|---|---|---|---|---|---|
| Long | 12-Jan-07 | 2995.35 | 1-Mar-07 | 3133.88 | 4.62 |
| Long | 15-Feb-07 | 3222.98 | 1-Mar-07 | 3133.88 | -2.76 |
| Long | 28-Mar-07 | 3224.55 | 11-Jun-07 | 3530.38 | 9.48 |
| Long | 4-May-07 | 3477.9 | 11-Jun-07 | 3530.38 | 1.51 |
| Long | 13-Jun-07 | 3530.12 | 27-Jun-07 | 3513.5 | -0.47 |
| Long | 15-Jun-07 | 3601.05 | 27-Jun-07 | 3513.5 | -2.43 |
| Long | 16-Jul-07 | 3679.97 | 30-Jul-07 | 3467.36 | -5.78 |
| Long | 23-Jul-07 | 3627.97 | 30-Jul-07 | 3467.36 | -4.43 |
| Long | 6-Sep-07 | 3374.01 | 23-Oct-07 | 3670.21 | 8.78 |
| Long | 11-Dec-07 | 3583.32 | 18-Dec-07 | 3301.42 | -7.87 |
| Long | 2-Apr-08 | 3046.54 | 23-May-08 | 3160.86 | 3.75 |
| Long | 23-Apr-08 | 3187.23 | 23-May-08 | 3160.86 | -0.83 |
| Long | 28-Apr-08 | 3189.2 | 23-May-08 | 3160.86 | -0.89 |
| Long | 5-May-08 | 3236.1 | 23-May-08 | 3160.86 | -2.33 |
| Long | 14-May-08 | 3203.42 | 23-May-08 | 3160.86 | -1.33 |
| Long | 16-May-08 | 3207.43 | 23-May-08 | 3160.86 | -1.45 |
| Long | 11-Dec-08 | 1821.7 | 13-Jan-09 | 1776.25 | -2.49 |
| Long | 17-Dec-08 | 1782.09 | 13-Jan-09 | 1776.25 | -0.33 |
| Long | 26-Dec-08 | 1736.99 | 13-Jan-09 | 1776.25 | 2.26 |
| Long | 5-Jan-09 | 1829.71 | 13-Jan-09 | 1776.25 | -2.92 |
| Long | 24-Mar-09 | 1664.08 | 19-Jun-09 | 2237.2 | 34.44 |
| Long | 24-Apr-09 | 1859.98 | 19-Jun-09 | 2237.2 | 20.28 |
| Long | 1-May-09 | 1920.28 | 19-Jun-09 | 2237.2 | 16.5 |
| Long | 28-May-09 | 2306.08 | 19-Jun-09 | 2237.2 | -2.99 |
| Long | 16-Jul-09 | 2389.42 | 19-Aug-09 | 2567.72 | 7.46 |
| Long | 9-Sep-09 | 2660.91 | 5-Oct-09 | 2604.53 | -2.12 |
| Long | 17-Sep-09 | 2674.42 | 5-Oct-09 | 2604.53 | -2.61 |
| Long | 15-Oct-09 | 2708.48 | 29-Oct-09 | 2648.98 | -2.2 |
| Long | 12-Nov-09 | 2740.43 | 22-Jan-10 | 2850.98 | 4.03 |
| Long | 3-Dec-09 | 2796.34 | 22-Jan-10 | 2850.98 | 1.95 |
| Long | 14-Dec-09 | 2800.75 | 22-Jan-10 | 2850.98 | 1.79 |
| Long | 23-Dec-09 | 2823.82 | 22-Jan-10 | 2850.98 | 0.96 |
| Long | 24-Feb-10 | 2782.55 | 29-Apr-10 | 2932.04 | 5.37 |
| Long | 2-Mar-10 | 2774.06 | 29-Apr-10 | 2932.04 | 5.69 |
| Long | 9-Mar-10 | 2834.57 | 29-Apr-10 | 2932.04 | 3.44 |
| Long | 5-Apr-10 | 2943.02 | 29-Apr-10 | 2932.04 | -0.37 |
| Long | 26-Apr-10 | 2988.49 | 29-Apr-10 | 2932.04 | -1.89 |
| Long | 17-Jun-10 | 2846.94 | 13-Aug-10 | 2927.04 | 2.81 |
| Long | 9-Jul-10 | 2897.15 | 13-Aug-10 | 2927.04 | 1.03 |
| Long | 6-Sep-10 | 3011.03 | 28-Oct-10 | 3124.38 | 3.76 |
| Long | 3-Nov-10 | 3205.28 | 24-Nov-10 | 3126.3 | -2.46 |
The net gain from 2007 to 2010 is around 88% (excluding transaction costs).
