6/7/2015 DVindicators:DV_indicatorsGlossary

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DV_indicatorsGlossary
TheDV_indicatorssuiteiscomprisedofsixtyfourindicators,systemsandenvironmentalfilters,as
summarizedbelow.Clickheretojumpaheadtothe2011Version2.0Updates!AlsoaddedtotheXL
Addinfor2011areVaradisNormalizedLap/Gapstudies,andenhancedReports,whichallowyouto
quicklycompareperformanceamongalltheindicatorsintheDV_indissuite.[DVindis2011Functions
ListinMSExcel]

DVBounded(DVB)TheDVBoundedisalsoknownotherwiseastheDV2andwascreated
byDavidVaraditocapturethenormalizedrelativeclose.TheDV2versionoftheDVBounded
representsthe2periodaverageoftherelativeclosetothehightolowrange.Thebounded
portionrepresentsthenormalizationusingapercentilerankfunctiontorescaletheindicatoronthe
basisofthehistoricaldistributionofvalues.

DVUnbounded(DVU)ThisistheunboundedvariantoftheDV2thatwasoriginallyintroduced
byMichaelStokesatMarketSci.UnliketheoriginalDV2whichisboundedbyusingapercentile
rankfunctiontheunboundedDV2issimplyarawconversionoftheaverageoftherelativeclose
tothehightolowrange.

DVOscillator(DVO)ThisisthemotheroscillatorframeworkfromwhichthesimplerDV
Boundedvariantwasoriginallyderived.Itwasconceivedinitsfirstformasaflexibleblueprintfor
theselectionoftheoptimaloscillatorcalculation.TheDVOispartiallyadaptiveandmore
accurate/reliablethantheoriginalversion.Asaconsequenceitrequiresmorehistoricaldata,and
theindicatorvaluesmakesmoothertransitionstochangingvolatility.Asofthecurrentwriting,no
otherpublicindicatorthatweareawareofshowsrawperformanceasstrongastheDVOonthe
majorindices.

DVSuperChargedBounded(DVSC)Thisisthesmoothedandslightlyalteredversionofthe
DVBoundedthatdeliverssuperiorperformance.Thenatureofthecalculationisverysimilar,but
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thedifferencesmakeitmoreresponsivewithlesswhipsawsthantheoriginal.

DVIntermediateOscillator(DVI)Thisisthesmoothedintermediateoscillatorframework
designedtocomplementtheDVO.Itwasalsodesignedtobeflexibleforuseinadaptivesystems.
ThecurrentDVIisacombinationoftwodifferentindicators:1)DVIMDVIMagnitudewhich
measuresthedistancepricehastravelledovermultipleintermediatetimeframesand2)DVI
Stretchwhichmeasuresthenetupordowndaysovermultipletimeframes.Bothindicatorsare
complementaryandcombinetoproduceasuperiorcompositetheDVIinmostcases.TheDVI
lineisverysmoothandisdesignedtohelpidentifyareasofhigherorlowervalueratherthanpeaks
orvalleysasitstaysinoversoldoroverboughtterritoryforlongerperiods.Thismakesitidealfor
combinationwithintermediatetrendsystems,orforfilteringDV2,DVSCorDVOtrades.

DVMeanMedianDivergence(DVMM)ThisistheDVequivalentoftheMACD,substituting
themedianfortheaveragetomakeitmoreresponsivetopickingupaccelerationinthetrend.Itis
oneofthefewindicatorsthataresuccessfulonnoisyintradaydata.Itisoneofthebest
intermediatetermtrendindicatorswehavetested,andcanbeusednumerousways:1)asatrend
filter2)asatrendindicator3)anoscillator4)itcanberescaledtocreateavolatilitymeasure.

RollingExponentialMovingAverage(REMA)Thisisanexponentialmovingaveragethat
createsarollingmemoryasnewpricedataisaddedtomakeitslightlylessweightedthana
standardEMA.Itcanbeusedtosmoothindicatorsorasareplacementforamovingaverageina
trendstrategy.OurpreferreduseistoapplytheREMAtoamomentumorROCseriestoenhance
responsivenessforrelativestrengthapplications.TheDVSTusestheREMAinthisformatandcan
beappliedalsoasatrendindicator.

RollingRelativeStrengthIndex(RRSI)TheRRSIusestheREMAintheplaceofthe
conventionalaverageintheRSIcalculation.Thismakesitamoreresponsivepriceoscillatorand
superiortotheRSIinmanyrespects.AllotherfeaturesareidenticaltotheRSI.Userscanselect
theirpreferredtimeperiod,suchasa2period.

DVFractalRSI(DVFR)TheFractalRSIisaLevel1adaptiveindicatorthatdynamically
shiftsweightintheRRSIbetween2and30daysbydefault.Thisshiftingisdonetoaccommodate
changesinvolatilityandfracticalityinthemarketpricedata.Howeverusersmayselectanytwo
periodsinbetweenthesebounds.Thelongertermbound(30daysbydefault)isalwayssettohave
atrendinfluenceontheshortertermbound.Somegoodparameterchoicesyoumaywishto
exploreinclude2/30,2/15,3/30,3/20,10/30,14/30.

DVAdaptiveRSI(DVAR)TheAdaptiveRSIisaLevel2adaptiveindicatorusesthesame
boundsastheFractalRSI,butdeterminesweightbasedonrelativeprofitabilitywithinthebound
spectruminsteadofoptimization.TheAdaptiveRSIperformswellacrossabroadarrayof
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instrumentsanddoesaverygoodjobofadaptingconsideringitslimitedinput.Itrequiresalotof
datatocalculateandassuchisonlyavailableintheExcelPlugIn.

DVAggregateM(DVAM)TheDVAggregateMisacompositetrend/meanreversionindicator
thatisbasedonintegratingtheshorttermandlongtermpricedistributions.TheAggMassumes
thatpricesarenoisierandtendtomeanrevertintheshorttointermediateterm,buttendtotrend
overlongertimeperiods.Ithasbeenshowntobeeffectiveacrossawidearrayofmarketsand
stocksandisoneofthemoregeneral/robustDVIndicators.NewforVersion2.0istheabilityto
optimizeperiodicitiesbasedonthesubjectsecuritiesparticularcharacteristics.

DVAdaptiveAggM(DVAA)TheAdaptiveAggregateMisaLevel2adaptiveindicatorlike
theAdaptiveRSIthatdeterminesweightbasedonrelativeprofitabilitywithintheboundspectrum
butconstrainsthelongtermsettingtoavoidchangingthenatureoftheoriginalindicator.Itcanbe
combinedwiththeoriginalAggregateMtogivemoreaccuratesignals.

DVIntermediateStretch(DVIS)ThisisonecomponentoftheDVIthatisolatesthestretchin
termsofnetdaysupordownoveraseriesofperiodsandisrescaledtocreateanaccurateand
consistentmeasure.ThestretchisnotlikeRSIbecauseitdoesnotconsiderthemagnitudeofupor
downdaysbutratherthenetdifference.Italsolooksattheshort,intermediateandlongtime
frameswithanetweightingontheintermediate.Thisisaveryaccurateandusefulindicatorfor
identifymeanreversionareasofvalueratherthanactualturningpoints.Itcanalsobeusedasa
trendmeasurementinconjunctionwiththeADX(AverageDirectionalMovement).

DVIntermediateMagnitude(DVIM)ThisistheothercomponentoftheDVIthatlooksatthe
magnitudeofupanddownmovementsandissmoothedtoreducenoiseandalsorescaledtocreate
anoscillatorthatappearstomoveinawaveformat.TheDVIMisagreatcomplementtothe
DVISbecauseitmeasuresthenetpercentagemoveoveravarietyoflookbacksweightedprimarily
ontheintermediatetimeframe.LiketheDVIM,itdoesnotattempttoidentifyturningpoints,and
isinsteadameasureofrelativevaluethatdoesnotchangeasfrequentlyasotheroscillators.The
wavemovementoftheindicatorisidealforhooktypemeanreversionstrategiesthatbuyor
sellfollowingatransitionfromoverboughtoroversoldlevels.Itcanalsobelengthenedtocreate
anexcellenttrendorrelativestrengthindicator.

TrendStochastic(DVTS)TheTrendStochasticisasupersmoothed10periodstochasticthat
movesgraduallyrelativetothestandardindicatordevelopedbyGeorgeLane.Itborrowsfrom
conceptsusedtosmoothnoisydatasuchasmomentum.Asaconsequenceitcanbeusedasatrend
indicatororafilterformeanreversiontrades.Itisanumberscaledbetween0and1,where.5is
notnecessarilythemedianpoint.Itcanbetradedlonganywhereabove.4to.6,andshortbelow.
Oritcanbetradedbyobservingwhetherthestochasticisrisingorfalling,andpotentiallya
combinationofboththedirectionofmovementandrelativeposition.

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DVTrendMinusCycle(DVTO)TheTrendMinusCycleoscillatorisatransformthatnetsthe
differencebetweenthetrendstochasticandacalculationrelatedtotheDVDSorsupersmoothed
doublestochastic.TheDVTOisusefulformarketswhereanintermediatetrendsignalishiddenor
obscuredbyacycliccomponent.ThistrendmayoccuratmediumfrequenciessuchastheS&P500
oratextremessuchasthecasewithOil.IftheDVTOishighlyunprofitableonagivenmarketthat
isusuallybecauseitismeanrevertingattheintermediatelevelthisoccursinmarketssuchas
naturalgasorgoldstocks.ThebenefitoftheDVTOisthatyoucanuseittofilterintermediate
trendsignalssuchasintheMACDorDVMM,oryoucanuseittocombinewithlongertermtrend
indicatorstocreateamoreaccuratemultipletimeframesystem.

DVSuperSmoothedDoubleStochastic(DVDS)Thesupersmootheddoublestochasticisthe
preferredmeanreversionvarianttotheconventionalstochasticbyGeorgeLane.TheDVDS
normalizesthe10periodstochasticpositionwithinthechanneltoincreasepeak/valley
classificationaccuracyandissmoothedtwicetomakeitlesspronetowhipsaws.Itdoesnotusea
percentilerankclassificationwhichtendstoincreasemedianaccuracyversusextremeaccuracy.
AsaconsequenceisagoodcomplimenttoshortertermoscillatorsliketheDV2,DVStochastic,
orRSI2,orevenintermediateoscillatorsliketheDVIasithelpstoincreasetheoddsoffindinga
temporarybottomortop.DVDSlevelsbelow10andabove90oftencoincidewithpeaks/valleys
withinafewdays.Withthebroadertrend,levelsbelow20andabove80tendtobetheappropriate
signallevels.

DVStochastic(DVS)ThisistheshorttermcousinoftheDVDSandresemblesastochastic
versionofthedv2.Likeaconventionalstochasticitpermitshighlyprofitableentriesfrom
oversold/overboughtlevelswhentheindicatorisrising/falling,andthisisamuchlowerriskentry
thanclassicrsi2anddv2variants.Itisntdesignedasmuchforbinaryuse,althoughthebinary
versionrespondsbettertoadaptationthanDV2orRSI2variantsbecauseitismorepredictablein
itsoscillation.Itdoesusethepercentileranktopermitaconsistentnumberofentries.

DVBands(DVBU/DVBL/DVBM)TheDVLowerBand(DVBL)priceissimilartothelower
bandofastandardBollingerbandbutisrescaledtotheannuallowerbandlevelfrequency.The
DVMiddleBand(DVBM)priceissimilartothemiddlebandofastandardBollingerbandbutis
nottheaveragepricebutrathertherescaledaverageprice.TheDVUpperBand(DVBU)priceis
similartotheupperbandofastandardBollingerbandbutisrescaledtotheannualupperband
levelfrequency.

DVBandIndicatorandDVBandPercentile(DVBI/DVBP)ThisistheDVBandIndicatorfor
DVBands.FortheExcelPlugInthisisthepercentilerankoftheH,L,Cversionofthezscore.
TheDVBPreturnsthepriceassociatedwithauserdefinedpercentileandH,L,Crange.Thusifyou
wantedtoknowwhatthepriceoftheS&P500wouldbeatthe95thpercentilebasedonthelast30
daysofpricesyouwouldhighlighttheH,L,Crangeoverthepastndaysandtypein95%.In
thecase,withpricedatainaspreadsheetindescendingorder,youwouldtypeinasfollows:
=DVBP(C3:E32,95%)=$119.13.BoththeDVBPandDVBIcanbeusedasprobabilitybased
indicators,wherethelikelihoodofexceedingtheabsoluteextremesthenextdayisverylow.In
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ourtestingtheupperandlowerDVBandscontainedupto95%ofclosesoutofsamplethatis,
thechancesofexceedingtheupperorlowerbandor97.5thand2.5thpercentileswereroughly
equivalenttotheirpromisedprobability(2.5+10097.5=5%ofvaluesoutsidetherange).This
makesDVBandsagoodtoolformeanreversionstrategiesand/orfilteringforabnormalmarket
conditions.

DVZones(forExcelAddinonly)Thisisonemethodofidentifyingregimes,inthiscaseDV
ZonesareconstructedusingDVRACatrendfilterthatusesmultiplesmoothedregressionslopes
thataresmoothedwitha30daymeasurementperiods,andDVPVwhichisthepercentilerankof
30dayhistoricalvolatility.Thefollowingtableshowsthecorrespondingnumbercodesand
indicatorvaluesusedtodelineatethezones.DVZonesareexcellentfordevelopingcomprehensive
tradingsystems.Theyarestaticregimesthatcaptureabroadspectrumofmarketconditions.You
alsomaywishtoshiftaportfolioallocationtovarioussystemsdynamicallybasedonthecurrent
zoneposition.Themostcommonuseofzonesistounderstandtheperformanceofagiven
indicatorwithineachzone,sincetheywillbeverydifferent.Itisinstructiveinsomecasesto
considerlongsseparatelyfromshorts.Forexample,inuptrendswithlowvolatility,shortingusing
ashorttermindicatorliketheRSI2orDV2mightnotbedesirable.Thesamemayapplywith
goinglongindowntrendswithlowvolatility.Asalwaystakingasmallerpositionsizeistheleast
riskyalternativeifyouhaveagoodsystemtoavoidmissingout.Thezoneconceptcanbeapplied
usingotherindicatorsaswellsuchasthe200daymovingaverage.

DVSuperChargedPercentExposure(DVSE)ThisistheDVSuperChargedDV2percent
exposuremodelthatvariesbetween150%and150%basedonasimplealgorithm.TheDVSE
increasesexposureonboththelongandshortsideatextremes,andnormalizesitsexposure
positioningtokeepsizeproportionate.

DVBoundedPercentExposure(DVBE)ThisistheDV2percentexposuremodelthatvaries
between150%and150%basedonasimplealgorithm.TheDVSEincreasesexposureonboththe
longandshortsideatextremes,andnormalizesitsexposurepositioningtokeepsizeproportionate.

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DVHistoricalVolatility(DVHV)Thisisthestandardhistoricalvolatilitycalculationwitha
useddefinedmeasurementperiod.Thedefaultsettingis30days.Thecalculationisthestandard
deviationofthenaturallogarithmofpricechangesovertheperiodselectedscaledto1yearas
definedby252tradingdaysusingthesquarerootrule.Ithasbeenmultipliedby100tomakeit
comparabletotheVIX.WhentheVIXistradingabovethisnumberitisbullishforthemarketand
viceversabasedonourhistoricalresearch.

DVPercentileRankVolatility(DVPV)ThisisthepercentilerankofDVHVwitha30day
defaultsettinganda252daylookbackforthenormalization.TheDVPVisanexcellenttoolfor
systemfilteringandtestingaswellaspositionsizingandportfolioallocation.Primarilyitshould
beconsideredasakeymeasuretowatchwhendecidingbetweenmeanreversionandtrend
strategies.Itisalsoakeycomponentofzonesanalysis(seeDVZN).

DVCompositeVolatility(DVCV)Thisisacompositevolatilitymeasurethatincludesratio
volatility,longertermhistoricalvolatility,andameasureofdailyvariation.Itcanbeusedas
meanreversionfilteronitsownorcombinedwithDVPV.ArisingDVCVoverthepastweekor5
daysandareadingabovethelowestquartileor.25ismorefavorableforshorttermmean
reversiononanabsoluteandriskadjustedbasis.Daytradersmayalsowanttopayattentiontothe
DVCV.

DVBreakout,CompositeVolatilityPlus,CompositeVolatilityMinus(DVBR/DVCP/
DVCM)AlloftheseindicatorsarerelatedtheDVCPandDVCMarethecomponentsofthe
DVBRwhichisabreakoutindicator.BoththeDVCPandDVCMmeasureshorttermrange
expansions,withtheDVCP(compositeplus)makingapositiverangeexpansionfromlower
volatilityandtheDVCM(compositeminus)makingadownsideornegativerangeexpansionfrom
lowervolatility.TheDVBRisabreakoutindicatorthatisbydefaultthe8dayexponentialmoving
averageofthedifferencebetweenDVCPandDVCM.TheDVBRwashighlyprofitableinthepre
meanreversiondaysontheS&P500andrecentlymadearesurgenceduringtherally.Itistheanti
thesistoDV2andmanyothers,andtendstoperformwellontrendystocksthathavehighLTR
ratingssuchasintheLivermoreindex.Itcanalsobeusedtoscreen/filterDV2tradesoranyother
meanreversiontradesorscreenfortrendentriesalongwithDVRAC.

DVRSquaredAutocorrelation(DVRAC)Thisisthepremiertrendfilterusedwithinthe6
differentregimeZonesthatreflecteddifferentcombinationsoftrendandvolatility.TheDVRAC
utilizesaslopebasedRsquaredcorrelationofpricesthatcapturestheHighs,LowsandCloses.
Smoothingisappliedtotheindicatorwhichminimizesfalsesignalsbutalsohasthedisadvantage
ofproducinglaggedDVRAClevelsabove.2showastatisticallysignificantpositivetrendwhich
helpstoprovideaminimumcriteriaforplacingbuystoavoidfalseentries.Levelsbetween.2and
.2areindicativeoftemporaryuncertaintyinthetrendcondition,andthisareaisoftencalledthe
NoTrendzone.LevelsoftheDVRACbelow.2showastatisticallysignificantintermediate
downtrend.Thismustbeanalyzedwithinthecontextofthelongtermtrendtoconsidergoing
short.

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DVDifferentialAutocorrelation(DVDA)Thedifferentialautocorrelationindicatorisafilter
thatdetectsshiftsinthedifferenceinautocorrelationbetweenclosingpricesandhighversuslow
prices.Thisissignificantasatrend/meanreversionfiltersinceastrongtrendwilltendtohave
persistentlyhigherclosesbutvariationinhighsandlows.LevelsofDVDAwellbelow.25
characterizeshorttermrandomdriftinthemarketandindicatorsignalsarelessvaluableinthis
area.Ingeneral,afallingDVDAover15daysisameanreversionenvironmentalsignal.Arising
DVDAsignalsfavorableconditionsfortheprevailingtrend.

DVCompositeFractalEfficiency(DVFE)Thisisacompositemeanreversionandtrend
indicatorthatmeasuresfractalefficiencyattwodifferenttimeframes.TheDVFEassumesthat
meanreversionresidesintheshorttermandtrendsexistinthelongtermsimilartotheAggregate
Mindicator.ThesignalsarenothighlycorrelatedtotheAggMeventhoughthedefaultperiods
arenearlythesame.ThisisbecausetheDVFEisbesttradedatextremesof>.75forlongsand<.25
forshorts.ThebinaryDVFEisnotnearlyasimpressiveastheAggM,whichnaturallyintroduces
thepossibilityoftakingextremeDVFEsignalsandusingbinaryAggMtotakelowerlevelsignals.

DVSmoothedTrend(DVST)TheDVSmoothedTrendisamomentummeasurethatis
smoothedtwiceusingREMAortherollingexponentialmovingaverage.Theuseof
momentum/velocityassuresthatlagisminimized,andtheuseofdoublesmoothingreducesthe
noisecomponent.TheDVSTcanbeusedaseitherarelativestrengthindicator,oratrend
indicator.

DVSelfAdaptiveSlow(DVAS)/DVSelfAdaptiveFast(DVAF)BothDVASandDVAFare
Level1classselfadaptersthatresampletheprevailingdistributionoftheunderlyingtomatchwith
indicatorsignalstodeterminewhetherthebestdirectiontotradeanindicatorismeanreversion
MRortrendTR.Theycanbeappliedwithanindicatorchosenbytheuser,butarebestsuited
toshortertermorintermediatetermindicators.Theselfadapteralsodeterminesthebestlevelsto
buyandsellusingagivenindicatorbyquicklyadaptingtothenewdistributionofreturnsforthe
underlying.TheDVASislesssensitiveandtendstochangemoreslowlywhiletheDVAFrapidly
adjuststocurrentconditionsandpotentiallynoise.Thereisatradeofftousingbothandthebest
wayistouseoneinconjunctionwiththeother.

CSSAnalyticsAdaptorOne(CSSA)ThisisthefirstinstitutionalclassentrantoftheDV
IndicatorsitisaLevel1Adaptiveshorttermmeanreversionindicatorthatlooksatmultipletime
framesanddifferentmeasuresofvolatilityandfracticality.Itdynamicallyselfadjuststoaccount
forthesefactorstoavoidmakingcostlyerrorsinbuy/selldecisions.CSSAismorerobustthanthe
standardDVIndicatorsandworksonawiderrangeofmarketsandstocksespeciallyenteringat
moreextremelevels.ItisasmallpreviewofthefuturewhichwillincludeLevel3andLevel4
classthatwillhavemultiplelayersofadaptationandselfadjustment.CSSAistheframeofanew
classofindicatorsthatwillrepresentcompactartificialintelligencemachines.

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DistributionSkewv.Range(DVSR)Thisisanintermediate/shorttermnormalizedindicator
thatcapturesthedegreeofskewnessrelativetovolatility.Theindicatorvariesbetween0and1and
valuesabove.5indicatethepresenceofastrongskewinprices.Theskewcanbeusedasafilter
fortrendstrategiesorformeanrevertingstrategiesdependingonthenatureofthemarketchosen
foranalysis.Forexample,theDVSRperformsverywellasatrendindicatoronitsownforthe
S&P500,butforothermarketsitmayindicateoverbought/oversoldconditions.

MultiSupportResistance(DMSR)Thisisanintermediate/shorttermtrendindicatorthat
capturesthenormalizeddistancefromresistancelevels.Itrangesfrom0to1,wherevalues>.4or
.5areindicativeofahealthyuptrend,andvaluesbelowindicateaweakeninguptrendorpossibly
evenadowntrend.Thisindicatorisrobustacrossmarkets.

ChannelFilter(DVCF)Thisisameanreversion/trendfilterthatmeasuresthenormalized
channelwidththatcontainsprices.Theindicatorvariesbetween0and1,andvaluesabove.5
indicateawidepricerange,whichismoreconducivetomeanreversion,whilevaluesbelow.5
indicateamorenarrowpricerangewhichismoreconducivetotrendstrategies.Itisadifferent
typeofvolatilitymeasurethatbettercapturestheconceptofrangeinpricemoveswhichis
generallymoreimportantformosttimeseriesthandailyreturns.

AverageTrueRange(ATR)TheaveragetruerangewasdevelopedbyJ.WellesWilderasa
measureofvolatilityasexpressedbydailyrangerelativetoprice.

TrendStrengthIndicator(TSI)TSIisanindicatordesignedasacollaborationbetweenDavid
VaradiandFrankHasslertoidentifytruetrendstrength.AhighTSIvalueindicatesthatshortterm
trendcontinuation(followthrough)ismorelikelythanshorttermtrendreversal(meanreversion),
e.g.NASDAQ100stockswithavalueofgreaterthan1.65indicateahealthytrendenvironment.

StochasticHLC(SHLC)Thisisashorttermstochasticindicatorthatissimilartothe
DVB/DV2becauseithasameanreversionbias,andemphasizestheHLCrange.Itishighly
accurateatextremesbutnotasusefulasabinaryindicator(thesearedesignedtofadebelowand
abovethemedianor50thpercentile).TheSHLCistheunboundedversionoftheindicatorwhichis
mostaccurateatextremessinceitisabsolute.

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BoundedStochasticHLC(SHLB)TheSHLBisabounded/normalizedstochasticandismore
usefulforconventionalmeanreversionsystemsthatbuyoversoldconditionsandsellinto
overboughtconditions.TheSHLBcanalsoapplydetrending,whichmakesitmorerobustto
changinglongtermtrendsthantheSHLC.TheSHLBalsoshinesinamultimarketportfolio
systemcontextbecauseitwillproduceaconsistentnumberoftradesregardlessofmarket
conditionsandtendstoimprovetheCAGRandriskadjustedreturnsofsuchstrategies.

ReverseMovingAverage(RVMA)Thissystemfeaturedsince2009intheETFRewindPro
dashboardtakesincrementalpositionsagainstthetrendusingaseriesofmovingaverages.Itworks
bestonsecuritieswithhighmeanreversioncomponentstotheirpricebehavior.

DonchianChannels(DONC)RichardDonchianstrailinghighesthigh/lowestlowsystemcan
beusedfortrendidentificationandchanneltradingalike.

ParabolicSwitch&Reverse(PSAR)ThebasicPSARdesignedbyJ.WellesWilderisatime
andpricebasedtrendidentifierandmovingstoplossindicator

ParabolicTimeUp/Down(PTOU/D)UsethispercentrankedanalysisofthePSARasan
additiontoanoverbought/oversoldindicatorsuchasRSIorDV2.Youcanalsousethisasatrend
followerortrendtradertouseasaguidetoliquidatepositions.Presumablyasamovebecomes
verystretchedintime,theprobabilityoffurtherprofitbeforeapullbackdeclinesasthePTO
reachesextremelevels.However,onceapullbackoccursfromhighPTOlevels,itislikelyasign
ofveryhighprobabilityentrieswiththetrend.

NormalizedGap/LapUp/Down(DVGU)GapsandLapsrepresentameansofidentifyinga
typeofmarketpatternthatisntexplicitlycapturedbyotherindicators.Thenormalizedgap/lap
indicatorsareidealforuseinidentifyinghowtotradefordifferenttypesofgapsetups.Itis
recommendedthatyoulookatextremessuchas>80thpercentile,orattheveryleast>50th
percentile/mediantoconductyouranalysis.Donthaveanypreconceivednotionsabouthowgaps
orlapsshouldbehave.Researchindicatesthatthiscanbeverymuchstockspecific,andalso
categoryspecific.Onbalance,thereshouldbeameanreversioneffect,butthiswillvary
dependingonwhetheryouarelookingatupordowngaps/lapsandalsothemagnitudeofthe
gap/lapandthelongertermtrendetc.

GapTypeDetector(DVGT)DoyoutradeGapsandLaps?Thisusefulindicatorsimplyreturns
thetypeofgapyouarefacedwithfortheday(gapup,gapdown,lapup,lapdown).

OptimizedMACZScore(MACZ)TheMACZcombinesthecountertrendcomponentofaZ
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scoretoimprovethetrendcomponentoftheMACD.TheMACZisthusamoreaccurateand
assumptionfreeindicatorthatcanmoreaccuratelydescribehowamarketorstockactually
worksinagiventimeframe.NewinVersion2.0,youcanchoosetooptimizetheMACZover
multipletimeframestofindthebestapplicationtimeframes.

OptimizedMovingAverageX(MACX)Oneoftheoldesttechnicalmethodsintradingis
movingaveragecrossovers.However,forallbutthemosttrendingsecurities,thebesttradeis
oftentofadethecross.Thisindicatoractuallyoptimizesthetwomovingaveragelengthsto
determinetheoptimumperiodicities.

HistoricVolatility3/10Offset(HVOS)RobHannas3/10HistoricVolatilityOffsetmeasures
3dayvolatilityinrelationtothe10dayvolatility3daysprior.Effectivelyitisameasureofshort
termvolatilityexpansion/contractionrelativetoamoreintermediatevolatilitymeasurethatisnon
overlapping.Thepurposeofthefilteristoidentifyconditionsfavorableforbreakouts,especially
thosethatoccurintradayorattheopen.InthisDVTwist,wehavepercentrankedtheindicator.

LivermoreTrendRaw(DLTR)TheLivermoreTrendRankingisdesignedforrelative
comparisonbetweenmarketstodeterminewhichhasthegreatesttrendingcharacteristics,and
whichhavethechoppiestpricehistories.Theindicatortypicallyrangesfrom0.75to1.05,with
highervaluesindicatingsmooth/trendingpricepatternsovertime,andlowvaluesindicatingnoisy
andvolatilepricepatternsovertime.Thisrankingisvaluabletohelpdeterminewhichmarkets
shouldrespondbesttotrendbasedtradingstrategies,andwhichmarkets
shouldbemostvaluableformeanreversionbasedstrategies.

LivermoreTrendIndicator(DLTI)TheDLTIisaboundedindicatorthatmeasurestherelative
trendinessofthemarketinrelationtoitsownhistoricaltendencies.ADLTI>0.25indicatesthat
amarketistrendingsmoothly,and>0.5indicatesaverypersistenttrend.Levelslessthan0.25
indicatethepresenceofchoppyactionandhighvolatilitythatisoftentypicalofadowntrend.Itis
recommendedthatlongsshouldbefavoredastheDLTIishighandastheindicatorgetsabove0.5,
itispreferabletofocusontrendstrategies.Incontrastitisbesttofavorshortsaswellaspure
meanreversionwhentheDLTIgetsbelow0.25.

RankedRSI(DRSI)ThisisaboundedversionoftheclassicRSIthatmakesitmoreusefulfor
binaryandconventionalmeanreversionandalsomoreadaptivetochangingmarketconditions.
TheDRSIcanalsoapplydetrending,whichmakesitmorerobusttochanginglongtermtrends
thantheoriginalRSI.Theindicatorisstillusefulatextremesbutitisrecommendedthatoneuse
theoriginalRSIindicatorforthatpurposebecauseitwillproduceaconsistentnumberoftrades
regardlessofmarketconditionsandtendstoimprovetheCAGRandriskadjustedreturnsofsuch
strategies.

http://dvindicators.cssanalytics.com/product/indicatorglossary/ 10/12
6/7/2015 DVindicators:DV_indicatorsGlossary

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DVINDICATORS,CSSANALYTICS,MAPLEPARKMANAGEMENTLLCAND
CATALLACTICANALYSISARENOTREGISTEREDINVESTMENTADVISORS.ALL
CONTENTISPROVIDEDFORINFORMATIONPURPOSESONLYANDNOTHINGHEREIN
SHOULDBECONSTRUEDASANOFFERTOBUYORSELLSECURITIES,ORTO
PROVIDEINDIVIDUALINVESTMENTADVICE.NOREPRESENTATIONISBEINGMADE
THATANYACCOUNTWILLORISLIKELYTOACHIEVEPROFITSORLOSSESSIMILAR
TOTHOSEDISCUSSEDINTHEINFORMATIONPROVIDED.THEPASTPERFORMANCE
http://dvindicators.cssanalytics.com/product/indicatorglossary/ 11/12
6/7/2015 DVindicators:DV_indicatorsGlossary
OFANYTRADINGSYSTEMORMETHODOLOGYISNOTNECESSARILYINDICATIVEOF
FUTURERESULTS.HYPOTHETICALORSIMULATEDPERFORMANCERESULTSHAVE
CERTAINLIMITATIONS.UNLIKEANACTUALPERFORMANCERECORD,SIMULATED
RESULTSDONOTREPRESENTACTUALTRADING.ALSO,SINCETHETRADESHAVE
NOTBEENEXECUTED,THERESULTSMAYHAVEUNDEROROVERCOMPENSATED
FORTHEIMPACT,IFANY,OFCERTAINMARKETFACTORS,SUCHASLACKOF
LIQUIDITY.SIMULATEDTRADINGPROGRAMSINGENERALAREALSOSUBJECTTO
THEFACTTHATTHEYAREDESIGNEDWITHTHEBENEFITOFHINDSIGHT.NO
REPRESENTATIONISBEINGMADETHATANYACCOUNTWILLORISLIKELYTO
ACHIEVEPROFITORLOSSESSIMILARTOTHOSESHOWN.IFYOUDECIDETOINVEST
REALMONEY,ALLTRADINGDECISIONSSHOULDBEYOUROWN.

http://dvindicators.cssanalytics.com/product/indicatorglossary/ 12/12