[blackcat] L1 Richard Poster Trend Persistence

2022년 4월 28일

Level 1

Background

In Traders’ Tips of February 2021, the focus is Richard Poster’s article in the February 2021 issue, “Trend Strength: Measuring The Duration Of A Trend”.

Function
In his article in this issue, Richard Poster outlines several common ways to evaluate the strength and duration of trends. Then he evaluates their sensitivity to volatility. Next, he steps up our game a bit by proposing an indicator that seeks to measure a trend’s persistence rate, or TPR for short. TPR turns out to be relatively insensitive to the influence of volatility.

Financial markets are not stationary; price curves can swing all the time between trending, mean-reverting, or entire randomness. Without a filter for detecting trend regime, any trend-following strategy will bite the dust sooner or later. In his article in this issue, Richard Poster offers a trend persistence indicator (TPR) for helping to avoid unprofitable market periods.The TPR indicator measures the steepness of a SMA (simple moving average) slope and counts the bars where the slope exceeds a threshold. The more steep bars, the more trending the market. Threshold, TPR period, and SMA period are the parameters of the TPR indicator.


Remarks

This is a Level 1 free and open source indicator.

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