Kase Peak Oscillator, Kase CD and Kase Permission
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I managed to translate the MT5 code of Cynthia Kase Dev Stop, seems that we have the good version this time! I added it directly into the Library: Kase Dev Stop v3
Hi,
Would anyone like to take a look at coding the following from the top of this post/thread:?
The combination of using both the Kase Peak Oscillator (already coded on this forum in the indicators section) and the Kase Convergence/Divergence indicator have solid statistical evidence in predicting market turns.
2) Kase CD (Convergence/Divergence)
3) Kase Permission Screen
The Permissions Screener provides an easy visual on when to enter the market.
The statistical reasons for using these indicators — apart from the fact the Kase Convergence/Divergence indicator actually draws lines showing when these occur, pls see green lines screenshot and the comparison of Kase indicators with the Stochastic and MACD indicator showing divergences — are well explained in this presentation by the founder and designer of the indicators, the award winning market technician Cynthia Kase CMT.
https://www.youtube.com/watch?time_continue=1&v=2h6zldXeTW0
Kase was an energy trader and worked for Aramco consulting as a Director of Technical Analysis and Director of Risk Management.
The screenshots shows the probabilities for an indicator signal predicting a market turn and preceding a turn using traditional indicators like the RSI and MACD and Kase’s indicators: The Peak Oscillator and the Kase CD indicator. The stats for the market moving to Kase Dev Stop 1 and 3 are also provided.
“If there is a signal, there is a 71% chance that you will hit Dev Stop 1 using traditional indicators and a 75% chance if you use Kase indicators… for the big turns, so if you have a signal with a traditional indicator like the RSI and MACD there’s only a 28% chance you’re predicting an excursion to the third level stop (Dev Stop 3)… where with the Kase indicators there’s a 43.5% chance that you’re predicting a move to the third level stop (Dev Stop 3).” (Explained around the 25 min mark in the presentation link above).
She then explains the probabilities of how often indicators precede turns. “Rather than looking at a signal and do I get a turn after it, I’m looking at turns then looking back to see how often I got a signal. Here the difference is much more dramatic.. (second stats screenshot), 55% (traditional indicators) versus 82% (Kase PO and Kase CD). What this mean is that you can rely on the Kase indicators to tell you there’s going to be a turn.”
Bel thanked this postThanks, but what made Kase’s Peak Osc and Con/Divergence indicators more accurate was their ability to adapt to changing cycle lengths, being logarithmic and be able to use a Serial Dependancy index.
As an example from the code I posted at the top of this thread, I believe it’s this part of the code that covers the cycle length Nicolas:
Ps// The code writer had been in touch with Kase)extern string TimeFrame = “Current time frame”; extern double kcdDeviations = 2.0; extern int kcdShortCycle = 8; extern int kcdLongCycle = 65; extern double kcdSensitivity = 40; extern bool allPeaksMode = false; extern bool drawDivergences = true; extern bool drawIndicatorTrendLines = true; extern bool drawPriceTrendLines = true; extern string drawLinesIdentificator = “kaseCD1″; extern bool Interpolate = true;And this:
double max1 = 0; double maxs = 0; for (int k=kcdShortCycle; k<kcdLongCycle; k++) { max1 = MathMax(MathLog(High[i]/Low[i+k])/MathSqrt(k),max1); maxs = MathMax(MathLog(High[i+k]/Low[i])/MathSqrt(k),maxs);Here’s a slide from her presentation where she writes out the features: (the scribble is Log P/P(n))
Cheers
BardCoding the Kase Convergence/Divergence indicator?
Is there anyone that would like to convert Cynthia Kase’s Convergence/Divergence indicator?
Kase has already statistically proven the validity of using her Kase Peak Oscillator (KPO) combined with the Convergence/Divergence (KCD) indicator and it out performs conventional indicators like RSI and MACD for picking out market turning points:
http://www.kaseco.com/support/articles/Proof_That_Technical_Analysis_Really_Works.pdfUsing the KPO and Kase’s Dev Stops have produced more profitable results — on many different currency pairs and also Brent Crude, the Dow and DAX, (just change which Dev Stop to use due to individual markets having their own volatility profile) — than any other system/indicators I’ve used on PRT including the stunning John Ehlers indicators.
As @nicolas pointed out to me, the danger with mean reverting systems is that they can also potentially get you in on the wrong side of the trade resulting in wider movement against your position before the Dev Stop closes the position.
When testing, look at the Maximum Adverse Excursion column figures in the Detailed Report to gauge validity. I have taken out the ADX > 25 part of the entry code to minimise complexity and help future results being less robust than back tests. The simpler the system with the less parameters the more robust it will be in the future.
Please see screen shot for results on the (stable) Swissy (USD/CHF) usingi different time frames and Dev Stops:
The code for the KPO is on this forum as is the code for the Kase’s Dev Stops is below (check out KRev (Reversal) Amounts too to calculate your monetary risk per trade per Dev Stop stop line).
If anyone would like to add to this code below, maybe try different financial instruments or maybe add a trend filter or perhaps a Choppiness Index/Kaufman Efficiency Ratio – I haven’t had time yet – please feel free and post your results here.
When adding a Trailing Stop results were sometimes better, sometimes worse.
Thanks a lot,
Bard// Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions ignored, ignored, ignored, ignored, indicator2 = CALL "Kase Peak Oscillator" c1 = (indicator2 < 0) //Kase Pink Bar Peak Out Entry IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to exit long positions ignored,ignored,ignored,ignored,indicator3, ignored = CALL "Kase Dev Stop Lisse +SAR+4.5/6" c2 = (close CROSSES UNDER indicator3) // Kase Dev Stop 4.5 IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions ignored, ignored, ignored, ignored, indicator5 = CALL "Kase Peak Oscillator" c3 = (indicator5 > 0) IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to exit short positions ignored,ignored,ignored, ignored,indicator6, ignored = CALL "Kase Dev Stop Lisse +SAR+4.5/6" c4 = (close CROSSES OVER indicator6) IF c4 THEN EXITSHORT AT MARKET ENDIF//KASE DEV STOP + 4.5 + 6.0 //Settings n=30 p1=1.0 p2=2.2 p3=3.6 p4=4.5 p5=6.0 difference=0 Hg=highest[2](high) Lw=lowest[2](low) DTR=max(max(Hg-Lw,abs(Hg-close[2])),abs(Lw-close[2])) aDTR=average[n](DTR) for i=0 to n-1 do difference=difference+square(DTR[i]-aDTR) next difference=difference/n sdev=sqrt(difference) dev0=close-aDTR dev1=close-aDTR-p1*sdev dev2=close-aDTR-p2*sdev dev3=close-aDTR-p3*sdev dev4=close-aDTR-p4*sdev dev5=close-aDTR-p5*sdev if dev0<dev0[1] and close>dev5[1] then dev0=dev0[1] endif if dev1<dev1[1] and close>dev5[1] then dev1=dev1[1] endif if dev2<dev2[1] and close>dev5[1] then dev2=dev2[1] endif if dev3<dev3[1] and close>dev5[1] then dev3=dev3[1] endif if dev4<dev4[1] and close>dev5[1] then dev4=dev4[1] endif if dev5<dev5[1] and close>dev5[1] then dev5=dev5[1] endif dev6=close+aDTR dev7=close+aDTR+p1*sdev dev8=close+aDTR+p2*sdev dev9=close+aDTR+p3*sdev dev10=close+aDTR+p4*sdev dev11=close+aDTR+p5*sdev if dev6>dev6[1] and close<dev11[1] then dev6=dev6[1] endif if dev7>dev7[1] and close<dev11[1] then dev7=dev7[1] endif if dev8>dev8[1] and close<dev11[1] then dev8=dev8[1] endif if dev9>dev9[1] and close<dev11[1] then dev9=dev9[1] endif if dev10>dev10[1] and close<dev11[1] then dev10=dev10[1] endif if dev11>dev11[1] and close<dev11[1] then dev11=dev11[1] endif if close>dev11[1] then flag=-1 else if close<dev5[1] then flag=1 endif endif if flag=-1 then ind0=dev0 ind1=dev1 ind2=dev2 ind3=dev3 ind4=dev4 ind5=dev5 //k=1 r=0 g=191 b=255 else ind0=dev6 ind1=dev7 ind2=dev8 ind3=dev9 ind4=dev10 ind5=dev11 //k=-1 r=255 g=128 b=0 endif //ORANGE AND LIGHT BLUE return ind0 coloured(r,g,b) style(dottedline,2) as "Warning Line", ind1 coloured(r,g,b) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(r,g,b) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(r,g,b) style(line,2) as "Dev Stop 3.6", ind4 coloured(r,g,b) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(r,g,b) style(line,2) as "Dev Stop 6.0"
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Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 07/05/2017 |
| Status: | Active |
| Attachments: | 32 files |
