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Markos Katsanos’ article, “The Stiffness Indicator,” introduces an indicator of the same name. He also included an exploration and an optimized system test using the indicator. The formulas to put these into MetaStock are shown below:
Stiffness IndicatorCode:tp:= Input("Stiffness Period", 2, 1000, 60);
MAB:= Input("Moving Average Period", 2, 1000, 100);
SM:= Input("Smooth Coeff.",1,20,3);
STIFFCRIT:= Input("STIFFCritical",70,100,90);
NSTD:= Input("Min SD",0,2,.2);
MA2:= Mov(C,MAB,S)-NSTD*Stdev(C,MAB);
PENS:= Sum(C>MA2, tp);
STIF:= PENS*100/ tp;
Mov(STIF,SM, E);
STIFFCRIT
Stiffness Strategy
SYSTEM TEST NOTES
21 day inactivity stop suggested
4 optimization variables are used. Suggested values are:
Opt1 - Moving Average periods - suggested range: 50-120 with a step of 10
Opt2 - STIFF periods - suggested range of 40-80 with a step of 10
Opt3 - STIFFCRIT - suggested range of 90-95 with a step of 5
Opt4 - STIFFSELL - suggested range of 50-60 with a step of 10
Buy Order Code:MAB:= Opt1; {MA days: suggested range of 50-120 with a step of 10}
tp:= Opt2; {STIFF PERIOD: suggested range of 40-80 with a step of 10}
STIFFCRIT:= Opt3; {STIFFCRIT: suggested value of 90 or 95}
s1:= Security("ONLINE:SPY", C);
MA2:= Mov(C,MAB,S) - (0.2*StDev(C,MAB));
PENS:= Sum(C>MA2, tp);
STIF:= PENS*100/ tp;
STIFFNESS:= Mov(STIF,3, E);
Mov(s1,100,E)>=Ref(Mov(s1,100,E),-2) AND Cross(STIFFNESS,STIFFCRIT)
Sell Order Code:MAB:= Opt1; {MA days: suggested range of 50-120 with a step of 10}
tp:= Opt2; {STIFF PERIOD: suggested range of 40-80 with a step of 10}
STIFFSELL:= Opt4; {STIFFSELL: suggested value of 50 or 60}
MA2:= Mov(C,MAB,S) - (0.2*StDev(C,MAB));
PENS:= Sum(C>MA2, tp);
STIF:= PENS*100/ tp;
STIFFNESS:= Mov(STIF,3, E);
Cross(STIFFSELL,STIFFNESS)
STOPS
Inactivity Minimum Change:
Positions: Longs
Method: Percent
Minimum Change: 100
Periods: 21
OPTIMIZATIONS
OPT1
Description: MA Periods
Minimum: 50
Maximum: 120
Step: 10
OPT2
Description: STIFF Periods
Minimum: 40
Maximum: 80
Step: 10
OPT3
Description: STIFF crit
Minimum: 90
Maximum: 95
Step: 5
OPT4
Description: STIFF sell
Minimum: 50
Maximum: 60
Step: 10
Stiffness Exploration
EXPLORATION NOTES
Columns reported are:
1- Current Price
2- Current Volume
3- Volume divided by Average Volume
4- RSI
5- Stiffness
6- Profit Target
COLUMN FORMULAS
Column A
Column Name: Price
Formula:
Column B
Column Name: Volume
Formula:
Column C
Column Name: V / AvgV
Formula: Code:ma1:= Mov(V,2,S);
ma2:= Mov(V,50,S);
denom:= If(ma2=0, -1, ma2);
If(denom=-1, 0, Mov(V,2,S)/denom)
Column D
Column Name: RSI
Formula:
Column E
Column Name: Stiffnes
Formula: Code:MAB:= 100; {Moving Average periods}
tp:= 60; {STIFFNESS PERIOD}
STIFFCRIT:= 90; {STIFFNESS CRITICAL}
MA2:= Mov(C,MAB,S) - (0.2*Stdev(C,MAB));
PENS:= Sum(C>MA2, tp);
STIF:= PENS*100/ tp;
Mov(STIF,3, E)
Column F
Column Name: target
Formula:
EXPLORATION FILTER
Formula: Code:MAB:= 100; {Moving Average periods}
tp:= 60; {STIFFNESS PERIOD}
STIFFCRIT:= 90; {STIFFNESS CRITICAL}
s1:= Security("ONLINE:SPY", C);
MA2:= Mov(C,MAB,S) - (0.2*Stdev(C,MAB));
PENS:= Sum(C>MA2, tp);
STIF:= PENS*100/ tp;
STIFFNESS:= Mov(STIF,3, E);
Mov(s1,100,E)>=Ref(Mov(s1,100,E),-2) AND Cross(STIFFNESS,STIFFCRIT)
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