T-Valuation

No more worries about an indicator or strategy becoming obsolete over time. A built in routine gives you a new indicator every day or even a second without affecting performance. Adjustments are made to the indicator/strategy parameters automatically based on current market conditions.

Code is available on all TradeStation Strategy Network and Ninja Trader Products

This indicator is made of two components, the Fibonacci Stream Line and a doubly smoothed exponential time independent average of the stream. When the Stream Average Line is above the Fibonacci Stream Line we are in a bull market , if below we are in a bear market .Pattern Recognition bars are created in real time and help identify market direction.It is a remarkable trading tool. The indicators are fully time frame independent.

Code is available in Trade Station's Easy Language , Ninja Trader's C# , Java , and Python.

All rights reserved T-Valuation 2012

The PBXPE multiple has been used in the past to judge whether a stock is over or under valued. Most analysts will look at an absolute value of the multiple as a decision guide. For example a stock with a multiple of less then 25 qualifies as a candidate buy to a value investor. Growth oriented managers would be looking at large multiple values, say more than 100. In my opinion, it is better to compare the multiple’s absolute value against its average over a significant amount of time. The Netflix monthly chart above is a good illustration of this idea.

The Exponential Coefficient Indicator was developed with the idea of capturing the start of a significant uptrend/downtrend early after the break of a trading range. By significant ,I mean a movement that is almost exponential in nature. Such a thing will be represented by a simple relation

Price = E^t where,

E=2.7, and t is the coefficient in question.

A higher coefficient value signals a strong trend while a lower value would indicate flat market.

It is widely known that a price series does not follow a normal or Gaussian probability distribution. Yet in finance the normal distribution assumption is automatically made to derive price models and other theories. The objective of the Fisher Transform is to make prices around the high and low boundaries to follow a normal distribution. This transformation by itself can be used as a trading tool and is provided as a standard indicator in many trading platforms. More interesting, however, is the use of the Inverse Fisher Transform (see the code below with calculation).

Traditionally the Price/Earnings ratio has been used in valuation for comparison among companies within the same industry or sector. A low P/E ratio as compared to the industry average would mean that the company stock is undervalued . In my view, this approach could be misleading and complex to use in practice. It would be simpler to concentrate in a single company earnings history and derive any conclusions from there.

The Fibonacci Stream is a trend following indicator designed as an alternative to the traditional moving average indicators. The great advantage over the traditional moving average is that the stream indicator is time frame independent. A 200 day period moving average on a daily chart, for example, is probably of little use on a monthly chart. This indicator is in fact time frame independent; there is no need to make adjustments based on interval. The calculation to plot the

The Dynamic Expected Return indicator was developed with the objective of capturing the actual expectation of the market as opposed to the traditional static return calculation based on averaging over a number of years. It uses a simple single step Binomial Tree Model for the calculation where,

Expected Return = p uk + (1 - p) dk

p ----> the probability that the return will be positive by an amount uk
uk----> expected positive return
dk----->expected negative return