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© Andrew Coles       Terms & Conditions | Privacy

MIDAS MARKET ANALYSIS
Modified VWAP Methodologies
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Essay two continued

Further comments on the five generations of MIDAS curve continued

Fourth generation curves - a more detailed overview continued



As mentioned above, I (Andrew Coles) was grateful to Active Trader magazine for allowing the publication of two articles within months of the book’s publication that extended this survey of fourth generation curves to other indicators and time series, including momentum (the RSI and MACD), volatility (the VIX), and various economic indicators such as the Baltic Dry Index. Unbounded momentum indicators such as the MACD work particularly well with fourth generation curves because the latter create excellent support and resistance levels that again aren’t identifiable on price charts.


My Dipper setup referred to above is of particular interest because it consists of a curve on positive and negative divergences, which are well-known features of unbound momentum indicators as well as indicators like the OBV. The problem with positive and negative divergences has always been timing them. Here, because these divergences are bounded by the MIDAS curves, this problem is finally solved.



______________________________________________________________________________________________________________


Fifth generation curves - a more detailed overview



As noted earlier, fifth generation curves were developed by Bob English and are discussed in the second part of Chapter 17. These curves are the MIDAS Average curve and MIDAS Delta curve respectively.


To recap, MIDAS Average curves are created by averaging a standard MIDAS S/R curve while MIDAS Delta curves are plotted equidistant on the other side of the standard M-S/R curve.


English developed the curves to handle more effectively steeper price trends that aren’t moving sufficiently quickly to justify the use of a standard TB-F nor slowly enough for a standard M-S/R curve to be so effective. One solution would of course be to launch several standard M-S/R curves, as one would expect to do as the trend mildly accelerates and decelerates after each pullback. But the advantage in using fifth generation curves is that far fewer of them need to be launched.


English observes that the MIDAS Average curve is particularly effective on longer-term charts, which he illustrates on secular degree stock and index futures charts.


Summary of curves and indicators



The following table summarises the various combinations possible in aggregating curves and indicators from the various generations.










previous page


First generation

(Standard)

Second generation

(Nominal, tick, etc)

Third generation

(Calibrated)

Fourth generation

(OBV, momentum, economic, etc)

Fifth generation (English: MACs & DACs)

First generation

(Standard)






Second generation

(Nominal, tick, etc)



Third generation (Calibrated)

?

Fourth generation

(OBV, momentum, economic, etc)


?


?

Fifth generation

(English: MACs & DACs)

?


TB-F curves


?


Displacement Channel

Standard Deviation curves

?

Detrended curves

?

back to orientation

© Andrew Coles