Integrated Trend Analysis Triple Trend Oscillator
1TRIPLE TREND OSCILLATOR – Technical InsightsIntegrated Trend AnalysiswithTriple Trend OscillatorTechnical InsightsElectronic copy available at: http://ssrn.com/abstract 2581352
2TRIPLE TREND OSCILLATOR – Technical InsightsCONTENTSSe c tion 1Page No.1Introduction42Components of TTO43TTO Calculations74Interpretation85Bullish & Bearish Alignment96Anatomy of a Trend117Trading Futures & Options using TTO128Predicting Directional Breakout139How TTO Differs1410Other Chart Examples1511Elliott Wave & TTO1612Fibonacci Levels & TTO1713Synchronized Bullish Alignment Super Profits1914The Financial Crises : 20082215Medium and Long Term Investing2316Advantages of TTO2417TTO - A Complete Trading System2518Conclusion25Electronic copy available at: http://ssrn.com/abstract 2581352
TRIPLE TREND OSCILLATOR – Technical InsightsSe c tion 23Page No.1Back Test Results : Summary262DOW - Monthly Charts, Ten Years ( 2005-2014)273GOLD - Monthly Charts, Ten Years ( 2005-2014)294Google - Weekly Charts, Eight Years ( 2007-2014)315CNX Nifty - Weekly Charts, Eight Years ( 2007-2014)336Gold - Daily Charts, Ten Years ( 2005-2014)357Dow - Daily Charts, Ten Years ( 2005-2014)368Facebook - Hourly Charts, One Year (2014)379IBM - Hourly Charts, One Year (2014)3910CNX Nifty - Hourly Charts, One Year (2014)41Electronic copy available at: http://ssrn.com/abstract 2581352
4TRIPLE TREND OSCILLATOR – Technical InsightsSection 11. IntroductionThe Triple Trend Oscillator (TTO) is a trend following oscillator devised to identifythe exact technical strength of a stock or indices over multiple timeframes and canalso be used as a trend and momentum indicator. The sole purpose of this indicatoris to keep positions on the right side of trend and at the same time indicate trendquality.Like many other technical indicators, TTO oscillates around a zero line but with adifference. It incorporates trend oscillators which mimic the trend momentumacross three timeframes, plotting them simultaneously, thus giving an overall viewof the trend position. Thus it provides a better indication of trend strength which isnot possible when trends are viewed in isolation.Just like visual interpretation is better with two eyes than one, the TripleTrend Oscillator provides a three dimensional view for betterunderstanding of trends.2. Components of TTOThe main components of TTO are the three trend oscillators, which plot the threetrends : Major, Intermediate and Minor trend. As indicated by TTO, a stock wouldbe extreme bullish when all the three trend lines are above zero and extremebearish when they are below zero. Between the extreme bullish/bearish phases,TTO exhibits varying degree of trend quality depending on the position of the threetrend oscillators.Each sub-trendoscillates around its main trend, denoting theperiod of uptrend/downtrend in the main trend. Thus if the sub-trend rises abovethe main trend and remain there for an extended period, it has the effect of pullingup the main trend upward and vice-versa.
TRIPLE TREND OSCILLATOR – Technical Insights5Chart 1 : Multiple Trends on Daily ChartChart 2 : Multiple Intraday TrendsWithin the major and intermediate trends, TTO shows trend swings which areindicated by the trigger line, which acts as a leading indicator. Trading position canbe taken in the direction of the larger trend based on the zero crossover of thetrigger line. When trigger line crosses zero from bottom, a buy signal is generatedand vice versa. An increasing value of the trigger line would depict increasingmomentum and topping or reversal when it starts approaching zero line. One
6TRIPLE TREND OSCILLATOR – Technical Insightsshould be prepared to exit his position on zero crossover. Also, divergencesbetween price and trigger line may indicate a reversal of trend.Unlike other oscillators, TTO does not have an overbought or oversold zone asthese zones tend to over-extend and may remain in overbought or oversoldterritory for a long period till the trend is reversed. TTO relies on the trend reversalwhich is indicated by crossover of the shorter term trend lines. What it means is ifthe shorter term trend line crosses the longer term trend, a reversal is indicated. Inthe absence of such a crossover, the trend is assumed to continue. This logicapplies to all the three time frames included in the TTO. If a lower degree trend linefalls below or moves above a higher degree trend line, either the trend is weakeningand reversal is impending.What TTO effectively does is, it plots the trend transition, as it flows from a lowertimeframe to a higher timeframe i.e. 5 min-15min-hourly-daily-weekly-monthly. Atany time three time frames can be plotted simultaneously, depending on its usefor- day trading, positional trade, short term trade or investment. A look at thetable will explain this :CHARTSTRENDS DISPLAYED15 klyWeeklyDailyWeeklyMonthlyTTO uses exponential, double exponential and triple exponential moving averagesof the momentum in each trend cycle to eliminate the leg effect. This makes thethree trend cycles more responsive to price change which when viewed togethergives a much clearer trend position and early indication of trend reversal.As momentum precedes the price, TTO acts as a leading indicator because itcalculates the difference between exponentially smoothed momentum in differenttimeframes and plotting the same as a single indicator. In a single window it showsthe major trend along with its intermediate, minor and sub-minor trend.
TRIPLE TREND OSCILLATOR – Technical Insights73. TTO CalculationsThe TTO is an indicator based on the momentum. As momentum precedes price,any changes in momentum are reflected in the TTO.TTO uses EMA, DEMA and TEMA of the momentum and their differential to calculatethe change in trend across the multiple timeframes.The position of the trend oscillators (TO) across different timeframes indicate therelative strength or weakness in a trend. As momentum originates in the lowesttimeframes and moves into the higher timeframe (trend transition) the trend flowand direction can be easily viewed when all the TO are displayed simultaneously.
TRIPLE TREND OSCILLATOR – Technical Insights84. InterpretationOn the CNX Nifty hourly chart the following three trends are plotted :1. Red and Green thick lines – Daily trend2. Pink and Dark Green thick lines – Hourly trend3. Pink and Blue parallel lines – 15 minute trendAlong with the above the indicator also shows the black dotted lines (trigger line)which mimics the minor trend and its crossover is used as entry and exit signal.Notice how the daily trend carries with it the various sub trends which can be usedto make precise entries/exits. The hourly trends tries to keep itself above the dailytrend, showing continuous trend strength. The 15 minute trend whipsaws aroundthe hourly trend giving an early indication of trend change. The trigger line(smoothed) shows the relative strength/ weakness of the 15 minute trend.The indicator also shows divergences across the various trend cycles whichindicates that a change in the trend direction is just around the corner. So apartfrom the daily and hourly trend, one can see the developments happening in the 15minute and even 5 minute time frame which is crucial for a trader and result inbetter risk management.Chart 3 : Nifty Hourly – Understanding TTO
TRIPLE TREND OSCILLATOR – Technical Insights9On the daily chart of CNX Nifty below, which shows the weekly, daily and hourlytrends, one can spot the trend change taking place on the pink and blue twinparallel line, much before the daily signal comes on, virtually giving the best entrysignal one can have forthe trade. This is possible because the lower timeframetrend is being monitored and used for entry/exit on zero crossover.The chart gives information about not only weekly and daily trends, but also hourlytrend, which can be used to make an informed trading decision, without waiting forthe daily signals, which could be significantly delayed due to the leg effect. This canincrease the profitability of the trading position considerably.Chart 4 : Nifty Daily – TTO Explained5. Bullish & Bearish AlignmentTTO creates patterns which can help identify trend strength in a security. Thesepatterns can be used to initiate directional trade with a very high probability ofsuccess with the trending moves in the security. The further the trend oscillatorsare place from the zero line, the more impulsive the move is likely to be. Theimpulsive price action witnessed is the result of alignment of longer term oscillators.In such a scenario, the trigger lines crossover results in rapid price movement inthe direction of the larger trend.
TRIPLE TREND OSCILLATOR – Technical Insights10A Bullish Alignment, occurs when all the three trend oscillator are in positive zonewhich results in quick up move in the price of the security. The trigger (blackdotted) line can be used to initiate the long/ buy trade.Chart 5 : Gold – Bullish AlignmentConversely, in a Bearish Alignment, the three trend oscillators are placed belowzero line to initiate a short/sell trade on trigger crossover.Chart 6 : Brent Oil – Bearish Alignment
TRIPLE TREND OSCILLATOR – Technical Insights116. Anatomy of a TrendEvery trend carries within itself several sub-trends of various lower degree, thoughhidden, but play an important role in shaping the trend quality. The need is toidentify these sub-trends and view them in conjunction with the main trend, so asto get an overall technical position of the security.Integrated Trend Analysis is an attempt to study and analysis these diverseforces which affect the price of a security. What Triple Trend Oscillator does is, itputs the multiple trend on the screen simultaneously, to present an overall picture.The position of the trend oscillators, play an important role in determining the trendstrength. In case, all the trend oscillator remain above the major trend andcontinue to oscillate above it, the security would exhibit highly bullish impulse andrise rapidly. Reverse is true for a highly bearish security, when all the trendoscillators fall below the major trend and continue to oscillate below it.A trader intending to take a long position in a security would be cautioned by theheadwind, in the form of a short term weakness in security, and would wait till theshort term momentum has again turned positive to minimize his risk and a possiblestop loss trigger.The following hourly chart of ICICI Bank shows a fairly long bullish daily trend,along with the sub trends. A trader can, by avoiding the short term down tends,perfectly time his entry and ride the uptrend with minimum risk.Chart 7 : ICICI Bank -Trend within Trend
TRIPLE TREND OSCILLATOR – Technical Insights127. Trading Futures & Options using TTOHigh leveraged trades in Futures & Options can be tricky. Stop losses can be usedfor risk management but a few stop loss triggers can take away a substantial partof your capital. What is important is the entries are timed precisely and once anentry is made, ride on the position till exit.Equally important is the stock selection which can give the best trending position.Using TTO one can analyze the long term trend and take position in a shorter timeframe with a precision entry using a minor trend, all this information available onthe same indicator.An advanced option trader has highly sophisticated tools to trade in options whereeach of the factors affecting option pricing is analyzed. However, for a trader itboils down to managing the intrinsic and time value of an option. Hence it isimportant for an option trader to know the trend force and direction before tradingin options. A strong trending move can negate the effect of theta (time valueerosion), keeping the option trader in profit, even when close to expiry.Trading naked options, if timed correctly, can become a relatively risk free, simpleand high profit strategy . An option trader using the Triple Trend Oscillator will bein a position to judge the tend quality. The position of trend oscillators close to zeroindicates sideways moves which can kill an option trader.The besttrendstructures would be when the trends are placed away from the zero line indicatingstrong trending move in either direction. Again the position of the intermediate andminor trend would indicate the trend strength and the trigger line could be used totake position in the direction of the major trend.Notice in the following chart, how the thin black line zero crossover can be used tomake precise entry in the direction of a larger trend. Even if you miss the first entryor are not confident, one can always use the second crossover for a good directionaltrade.
TRIPLE TREND OSCILLATOR – Technical Insights13Chart 8: Google - Short Trade8. Predicting Directional BreakoutBollinger Band squeeze indicates an impending breakout move but the directionremains uncertain. Sometimes there are false breakouts, to be followed by areversal and a powerful move in the opposite direction.With TTO it maybe possible to anticipate the direction of the breakout move as canbe see in the weekly chart of USDJPY below. The placement of medium and shortterm oscillator above the long term oscillator during December 2012 and October2013 and a trigger crossover indicated an up word breakout. However, during July2014 breakout all the three oscillators are placed above zero indicating positivebreakout on trigger crossover.
TRIPLE TREND OSCILLATOR – Technical Insights14Chart 9 : Predicting Directional Breakout9. How TTO DiffersThere are other well known indicators using multiple timeframes in its calculations.This study does not get into the details to analyze the difference between theindicators, but notice that usually weights are assigned to ROC for differenttimeframes. Whereas in TTO, there are no weights assigned to the trend oscillatorsof different time frames and each of them is plotted independently andsimultaneously. The idea being, one should be able to keep a watch the trendprevailing under different timeframes so as to monitor the strength or weakness ofthe trends as it originate from the lower time frame and flows into the larger timeframe.Once the confirmation of trend change is established, the lower timeframe can beused to get a precise entry point into a well established trend. TTO can foresee theapproaching strength/ weakness and thus give an edge to the trader. Thus thevisual interpretation skill can help and make TTO more responsive the trendchange.
TRIPLE TREND OSCILLATOR – Technical Insights1510.Other Chart ExamplesAPPLEIn the following hourly chart of APPLE Inc. (APPL-NYSE) subsequent to Appletrading at 500 levels, the 15 min trend starts to rise above the hourly trend andcrosses over the zero line. It maintained itself above the hourly trend till about 535540 levels, where it starts falling below the hourly trend, thereby giving an earlysignal of the trend weakening. It also started developing divergence and the pricebroke the trend line and EMA(20). One could safely join this uptrend at severalpoints as indicated by the zero crossover of the trigger line.Chart 10 : Apple HourlyINFOSYSThe daily chart of Infosys Ltd. (INFY-NSE) suggested sell as indicated by the triggerline crossover. The buy was indicated at 3580. Once the stock touched 3760, theindicator was showing continuous loss of momentum.
TRIPLE TREND OSCILLATOR – Technical Insights16Chart 11 : Infy11. Elliott Wave & TTOThe principles of Integrated Trend Analysis when used with the other wellrenowned technical theories like Elliott Wave, which can enrich the tradingexperience. There are numerous possibilities of using TTO alongside and inconjunction with the Elliott Wave theory. For example, the blow off rally in wavethree ed Trend Analysis using multiple timeframes. The above observations are part of the studyduring the research carried out by the author, with the objective to develop an instrument which can aidand enhance technical trading/investment.
26TRIPLE TREND OSCILLATOR – Technical InsightsSection 21.Back Test Results : SummaryThe following are the back test results for both long and short trades for varyingtime periods which show reasonably high number of successful trades. The test wasperformed using TTO crossover signals based on the closing prices of the currentbar. These test results were achieved during back test and under optimumparameters, but may vary during normal trading. However, it would be safe toassume that TTO shows high reliability as a trend following system.The simulations incorporated trading 100 shares/index/units on both long and shorttrades. The trade profits have been calculated at gross levels without taking intoaccount commission, brokerage and interest. The profit net profit % has beencalculated on an initial investment of 100,000 currency units.Across all timeframes and asset classes, where the back test simulations wereperformed, results showed the successful trades accounted for a minimum of 73%to maximum of 97% of the total trades. The ratio of successful trade tounsuccessful trades was much higher when tested in hourly and daily timeframes ascompared to 15 minutes timeframes. Based on the visual trade selection by thetrader, the quality of trade can be improved, thereby giving higher average profitper trade.Table 1.1SUCCESSFUL TRADES % (on daily 1.91%78.13%79.17%79.41%74.19%96.30%89.29%CNX 78%73.53%76.92%
27TRIPLE TREND OSCILLATOR – Technical InsightsThe maximum systems drawdown varied as per the volatility as shown in the tablebelow.Table 1.2MAXIMUM SYSTEM DRAWDOWN % (on daily .78%2013-3.76%-10.43%2014-1.89%-12.62%2.CNX %-8.76%-7.79%-6.52%DOW - Monthly Charts, Ten Years ( 2005-2014)Table 2.1 : Dow- Backtest Result
TRIPLE TREND OSCILLATOR – Technical InsightsTable 2.2 : Dow - Portfolio Equity & DrawdownTable 2.3 : Dow - Profit Table28
TRIPLE TREND OSCILLATOR – Technical Insights3.GOLD - Monthly Charts, Ten Years ( 2005-2014)Table 3.1 : Gold Backtest ResultTable 3.2 : Gold - Portfolio Equity29
TRIPLE TREND OSCILLATOR – Technical InsightsTable 3.3 : Gold - Drawdown & Profit Table30
TRIPLE TREND OSCILLATOR – Technical Insights4.Google - Weekly Charts, Eight Years ( 2007-2014)Table 4.1 : Google Backtest ResultTable 4.2 : Google Portfolio Equity31
TRIPLE TREND OSCILLATOR – Technical InsightsTable 4.3 : Google Drawdown & Profit Table32
TRIPLE TREND OSCILLATOR – Technical Insights5.CNX Nifty - Weekly Charts, Eight Years ( 2007-2014)Table 5.1 : CNX Nifty Backtest ResultTable 5.2 : CNX Nifty- Portfolio Equity33
TRIPLE TREND OSCILLATOR – Technical InsightsTable 5.3 : CNX Nifty - Drawdown & Profit Table34
35TRIPLE TREND OSCILLATOR – Technical Insights6.Gold - Daily Charts, Ten Years ( 2005-2014)An analysis of long and short gold trade during the 10 year period 2005-2014 :Table 6 : Gold Backtest 3433*On an investment of 150,000YearLosersWinners %Losers %Total Profit*Profit 6.902.94 22,810 60,240 46,550 101,280 96,290 74,170 164,645 113,290 128,265 5164.31Max SystemDrawdown- 1,480- 4,050- 4,090- 9,020- 3,920 7,210- 8,410- 7,269- 8,570- 4,57040 180,00035 76-1.89 140,00030 120,00025 100,000201510Losers 80,000Winners 60,000Total Profit 40,0005 20,0000TradesDrawdown % 02005200620072008200920102011201220132014Backtest Results : GOLD
36TRIPLE TREND OSCILLATOR – Technical Insights7.Dow - Daily Charts, Ten Years ( 2005-2014)An analysis of long and short trade in DJIA during the 10 year period 2005-2014 :Table 7 : Dow Backtest 13272620142825*On an investment of 150,0002653757813Winners % Losers % Total .71 493,489 412,610 703,289 1,014,481 734,068 619,952 810,126 479,079 769,941 720,76240Profit %Max SystemDrawdown 331.39513.29480.51- 23,419- 33,740- 52,070- 93,642- 61,713- 54,280- 83,954- 38,136- 36,493- .78-10.43-12.62 1,200,00035 1,000,00030 800,0002520 600,000LosersWinners15 400,000Total Profit*10 200,0005Trades0 02005200620072008200920102011201220132014Backtest Results : DOW
TRIPLE TREND OSCILLATOR – Technical Insights8.Facebook - Hourly Charts, One Year (2014)Table 8.1 : Facebook Backtest ResultTable 8.2: Facebook Portfolio Equity37
TRIPLE TREND OSCILLATOR – Technical InsightsTable 8.3 : Facebook - Drawdown & Profit Table38
TRIPLE TREND OSCILLATOR – Technical Insights9.IBM - Hourly Charts, One Year (2014)Table 9.1 : IBM Backtest ResultTable 10 : IBM- Portfolio Equity39
TRIPLE TREND OSCILLATOR – Technical InsightsTable 9.3 : IBM - Drawdown & Profit Table40
TRIPLE TREND OSCILLATOR – Technical Insights10. CNX Nifty - Hourly Charts, One Year (2014)Table 11.1 : CNX Nifty Backtest ResultTable 12: CNX Nifty - Portfolio Equity41
TRIPLE TREND OSCILLATO
falls below or moves above a higher degree trend line, either the trend is weakening . one can spot the trend change taking place on the pink and blue twin parallel line, much before the daily signal comes on, virtually giving the best entry . i
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All Crashes - 10 Years There is a downward trend for all crashes over the last ten years. Trend line R² -0.89 The strength of the trend is expressed through the R2 value. The closer the R2 value is to 1 or -1 the stronger the trend. Positive R 2values indicate an upward trend, negative Rvalues indicate a downward trend, and zero indicates a flat trend.
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