Adaptive, Zero lag Schaff Trend Cycle Backtest (Simple) [Loxx]Simple backtest for "Adaptive, Zero lag Schaff Trend Cycle" found here:
What this backtest includes:
-Customization of inputs for Schaff Trend Cycle calculation
-Take profit 1 (TP1), and Stop-loss (SL), calculated using standard RMA-smoothed true range
-Activation of TP1 after entry candle closes
-Zero-cross entry signal plots
-Longs and shorts
-Continuation longs and shorts
Happy trading!
Schaff
Adaptive, Zero lag Schaff Trend Cycle [Loxx]TASC's March 2008 edition Traders' Tips includes an article by John Ehlers titled "Measuring Cycle Periods," and describes the use of bandpass filters to estimate the length, in bars, of the currently dominant price cycle.
What are Dominant Cycles and Why should we use them?
Even the most casual chart reader will be able to spot times when the market is cycling and other times when longer-term trends are in play. Cycling markets are ideal for swing trading however attempting to “trade the swing” in a trending market can be a recipe for disaster. Similarly, applying trend trading techniques during a cycling market can equally wreak havoc in your account. Cycle or trend modes can readily be identified in hindsight. But it would be useful to have an objective scientific approach to guide you as to the current market mode.
There are a number of tools already available to differentiate between cycle and trend modes. For example, measuring the trend slope over the cycle period to the amplitude of the cyclic swing is one possibility.
We begin by thinking of cycle mode in terms of frequency or its inverse, periodicity. Since the markets are fractal ; daily, weekly, and intraday charts are pretty much indistinguishable when time scales are removed. Thus it is useful to think of the cycle period in terms of its bar count. For example, a 20 bar cycle using daily data corresponds to a cycle period of approximately one month.
When viewed as a waveform, slow-varying price trends constitute the waveform's low frequency components and day-to-day fluctuations (noise) constitute the high frequency components. The objective in cycle mode is to filter out the unwanted components--both low frequency trends and the high frequency noise--and retain only the range of frequencies over the desired swing period. A filter for doing this is called a bandpass filter and the range of frequencies passed is the filter's bandwidth.
Indicator Features
-Zero lag or Regular Schaff Trend Cycle calculation
- Fixed or Band-pass Dominant Cycle for Schaff Trend Cycle MA period inputs
-10 different moving average options for Zero lag calculations
-Separate Band-pass Dominant Cycle calculations for both Schaff Trend Cycle and MA calculations
- Slow-to-Fast Band-pass Dominant Cycle input to tweak the ratio of Schaff Trend Cycle MA input periods as they relate to each other
Strategy - Uber STC - Schaff Trend Cycle [UTS]Backtesting of Uber STC - Schaff Trend Cycle
Backtest with focus win/loss profitability.
Formula: profitability = win / (win+loss)
Default equity 100k USD
Default 2% Risk per trade
Default currency USD
Define backtest interval precisely by month, year, day
LONG and SHORT positions
Visualize SL and TP on chart
ATR (len: 14, smooth: SMA)
ATR based Stop-Loss, if hit trade will be closed and considered as loss
ATR based Take-Profit, if hit trade will be closed and considered as win
On TP or SL hit the trade is closed and marked as win/loss
Uber STC - Schaff Trend Cycle [UTS]Desc:
The Schaff Trend Cycle (STC) is a charting indicator that is commonly used to identify market trends and provide
buy and sell signals to traders.
Developed in 1999 by noted currency trader Doug Schaff, STC is a type of oscillator and is based on the assumption that,
regardless of time frame, currency trends accelerate and decelerate in cyclical patterns.
This indicators source code is based on Releasing the Code to the Schaff Trend Cycle.pdf
Executive Summary
Schaff Trend Cycle is a charting indicator used to help spot buy and sell points in the markets.
Compared to the popular MACD indicator, STC will react faster to changing market conditions.
A drawback to STC is that it can stay in overbought or oversold territory for long stretches of time.
General Usage
There are two lines indicating overbought and oversold conditions, default at 75 and 25 which is customizable of course.
Signals are created on line crosses. They that can be used to enter LONG/SHORT or EXIT a trade.
If the STC crosses the lower line upwards a LONG signal is triggered and if it crosses the upper line a SHORT signal is triggered.
Line crosses in the other direction than the current trade also work as EXIT signal.
Alerts
Traders can easily use the reversal signal to trigger alerts from:
Cross Up
Cross Down
Those values are > zero if a condition is triggered.
Alert condition example: "Cross Up" - "Greater Than" - "0"
Moving Averages
16 different Moving Averages are available:
ALMA (Arnaud Legoux Moving Average)
DEMA (Double Exponential Moving Average)
EMA (Exponential Moving Average)
FRAMA (Fractal Adaptive Moving Average)
HMA (Hull Moving Average)
JURIK (Jurik Moving Average)
KAMA (Kaufman Adaptive Moving Average)
Kijun (Kijun-sen / Tenkan-sen of Ichimoku)
LSMA (Least Square Moving Average)
RMA (Running Moving Average)
SMA (Simple Moving Average)
SuperSmoothed (Super Smoothed Moving Average)
TEMA (Triple Exponential Moving Average)
VWMA (Volume Weighted Moving Average)
WMA (Weighted Moving Average)
ZLEMA (Zero Lag Moving Average)
A freely determinable length allows for sensitivity adjustments that fits your own requirements.
STC w/ Zero Lag MACDSTC + Zero Lag MACD (includes regular MACD also)
What I added here was two other variables
The Schaff Trend Cycle working with Zero Lag Macd to give you double confirmation on your Higher Time Frame entries such as 4H, 6H, and Daily.
You may also turn on regular MACD instead of Zero Lag, if you'd like.
***Red Dot for Bear
***Green Dot for Bull
***Higher Confirmation is:
Red Dot + Red MACD for Bear
Green Dot + Green MACD for Bull
More confirmation to come!
CHEERS
If you would like to get in contact with me, please reach out to me via DM here, or Twitter. It's the best way to get in touch with me in regards to indicators, and market analysis. Enjoy!
-RingoKid
Schaff Trend CycleWhat is STC?
This is an open source indicator but I added a few improvements to its code and a more friendly UI.
The STC indicator is a forward-looking, leading indicator, that generates faster, more accurate signals than earlier indicators, such as the MACD because it considers both time (cycles) and moving averages. Like any chart indicator, the tool is best used with other forms of analysis and its performance will surely vary as market conditions change.
Know more about STC here: Investopedia .
How to Read STC :
1. Main use
--look if momentum is bullish or bearish
--Bullish = Above 75
--Bearish = Below 25
--Neutral = negligible movement inside here
2. If flat at extremes (100 and 0), it means that the momentum is strong
3. Pivots
--To show if there’s a shift of momentum
Access and Documentation:
Message or PM me to know how to get access.
Schaff Trend Cycle [ChuckBanger]The Schaff Trend Cycle is a method, developed by Doug Schaff and based on the concept that trends also have repeating high and low patterns, or cycles. This is a modified MACD line, run through a modified stochastic algorithm and smoothed with Wilders’ smoothing in order to estimate the final Schaff Trend Cycle (STC) indicator. Its purpose is to identify the direction, in which a trend cycle is moving and possible peaks and bottoms within this cycle.
If this is interesting you should also take a look at MACD Leader:
For more info about Schaff Trend Cycle Indicator:
www.investopedia.com
MTF Improved Schaff Trend Cycle IndicatorThis is my cutting edge "Improved Schaff Trend Cycle Indicator" that I radically modified for all assets, not just Forex. Just when you may have thought it was the end of the evolutionary line for Schaff trend cycle indicators, it's not! It's actually two different modified Schaff trend cycle tandem algorithms combined making this a very versatile multicator. Members obtaining Invite-Only access, I might suggest using two of these for increased situational awareness. The creator of "Schaff Trend Cycle", Doug Schaff, a pioneer in Forex analytic trading tools, was really on the right track decades ago when he created the original indicator. At the time of this release, my original free to use formulation shown on the very bottom above is highly popular with members on TV, and in my opinion, one of my most favored indicators I have published so far. Well, this is the NEW and IMPROVED version with reduced lag...
Modifications included are rescaling the range from 0/100 to +/-1.0, employing reversion to the mean principles Dr. John Ehlers elaborates about. The thresholds are set to +/-0.8, nothing significant about those numbers at all, be forewarned! One characteristic about these formulations is that I was able to reduce the lag in many cases. While both are more reactive than the original Schaff trend cycle indicator, often in downward trends, one has the ability to hug the -1.0 line more having an occasional propensity to anticipate false bottoms when significant divergences between the two occur. This is one capability in an indicator I have for so long tried to achieve without any success until now. Also in positive trends, these formulations are more effective when encountering detected peaks/tops without the inherent lag the original formulation had. Both are typically in agreement when an opportune selling exit point is commencing. These characteristics are displayed above on top of the original formulation shown on the bottom.
Another most notable feature I have been including recently is the multiple time frame (MTF) features in the indicator "Settings". The indicator accommodates selectable second-based time frames. This is my third PSv4.0 script to accommodate seconds in MTF adequately. Be forewarned, second-based time frames are currently for Premium subscribers only, until such time in the future when the prerogative of TV might change. I will continue adding second-based time frames to my other indicators where I feel it is beneficial to the indicator.
I.P.O.C.S.: "Initial Public Offering Clean Start" proprietary technology. I figured it's time to more accurately describe this tech starting with this novel indicator. Many of my other indicators already possess this capability. It allows suitable plotting from day one, minute one of IPO, remedying visually delayed signal analysis. It's basically accurate plotting from the very first bar (bar_index==0) on Tradingview. If you don't know what this is, most people don't, go back to the VERY beginning of any stock on the "All" chart and compare it to other similar indicators. What's so special about this? It is extremely difficult to get a healthy plot from bar_index==0 on any platform. However, I have become exceedingly talented performing this feat in most cases but not all depending on the algorithm. This indicator is a successful accomplishment implementing IPOCS. It's inherent value is predominantly for IPO traders who in the past have had to wait 20, 50, and 150 bars before they obtain a precise indicator measurement for the simplest of algorithms in order to make a properly informed decision to potentially invest in an asset. How is this achieved? It's a highly protected secret of mine... but I will say I rarely use Pine built-in functions at all. When I do, I use them scarcely due to currently existing Pine language limitations.
Anyhow, this supersedes my "Enhanced Schaff Trend Cycle Indicator" by far. For those of you who obtain this indicator, enjoy the POWER of Schaff renewed!
Features List Includes:
I.P.O.C.S.(Initial Public Offering Clean Start) Technology
Enable/disable dark background for enhanced visibility
MTF adjustments/selections
Typical Schaff adjustments
"Display Trends" selection to show both trends or each one independently
"Line Width" adjustment for increased line visibility
Ranges and thresholds are enable/disable capable
Upper threshold adjustment
Lower threshold adjustment
Adjustable centered medial zone
This is not a freely available indicator, FYI. To witness my Pine poetry in action, properly negotiated requests for unlimited access, per indicator, may ONLY be obtained by direct contact with me using TV's "Private Chats" or by "Message" hidden in my member name above. The comments section below is solely just for commenting and other remarks, ideas, compliments, etc... regarding only this indicator, not others. If you do have any questions or comments regarding this indicator, I will consider your inquiries, thoughts, and concepts presented below in the comments section, when time provides it. When my indicators achieve more prevalent use by TV members, I will implement more ideas when they present themselves as worthy additions. As always, "Like" it if you simply just like it with a proper thumbs up, and also return to my scripts list occasionally for additional postings. Have a profitable future everyone!
Russ Renko STCTraders,
This indicator is a Renko version of the Schaff Trend Cycle (STC). It is not meant to be used alone but as confirmation tool. Buy when green arrow appears, short when red arrow appears if your other indicators agree.
It works equally well on all time frames using ATR Renko brick sizes as well as when using custom brick sizes on a 1 min Renko chart. This is a version 3 script with no repainting.
russrenko.com
Thank you,
Russ Renko
Schaff Trend CycleThis indicator was originally developed by Doug Schaff in the 1990s (published in 2008).
CCI Cycle (Modified Schaff Trend Cycle)This is a modified Schaff Trend Cycle (STC), which is designed to provide quicker entries and exits.
I've been a huge fan of the STC for a long time, but being based on the MACD means its signals often lag by a bar or two (especially in fast moving markets). All I've done here is take the base STC script (all credit to user @LazyBear), and change the source to a modified CCI.
The CCI Cycle provides more timely entries and exits, often by 1-2 bars. The flip side of the increased responsiveness is a prevalence for more false signals (a perfect example is the 17th August on the above chart). It's the nature of the beast! Still, I've been using this for a few months now and it's (in my opinion) an upgrade on the standard STC.
As always, you will need to pair this with another indicator or method of technical analysis to provide a trade bias, as the CCI Cycle (and STC) aren't designed to trade every signal. In my experience, either divergence identification, or using one or more moving averages works particularly well.
The indicator is also MTF capable, so you can get some interesting results from that.
Any queries let me know.
DD
