Miha Kralj
5.3 KiB
TTM_TREND: TTM Trend
The simplest trend indicator is the one you actually follow.
| Property | Value |
|---|---|
| Category | Dynamic |
| Inputs | OHLCV bar (TBar) |
| Parameters | period (default DefaultPeriod) |
| Outputs | Single series (TTM_TREND) |
| Output range | Varies (see docs) |
| Warmup | > 2 bars |
| PineScript | TtmTrend.pine |
- John Carter's TTM Trend uses a fast EMA (default period 6) applied to typical price (HLC/3) to determine short-term trend direction via slope sign.
- Similar: Impulse, AMAT | Complementary: TTM Squeeze for timing | Trading note: John Carter's trend indicator; colors bars based on close vs midpoint of prior 5-bar range.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
John Carter's TTM Trend uses a fast EMA (default period 6) applied to typical price (HLC/3) to determine short-term trend direction via slope sign. Output is a ternary trend state: +1 (bullish, EMA rising), -1 (bearish, EMA falling), or 0 (neutral, EMA unchanged). The indicator requires only 2 bars warmup, runs at O(1) per bar with O(1) space, and produces zero allocations in the hot path.
Historical Context
John Carter developed the TTM (Trade the Markets) Trend indicator as a clean visual tool for identifying short-term trend direction, popularized through Mastering the Trade and the thinkorswim platform. Unlike complex multi-component trend systems, TTM Trend reduces trend detection to its minimum viable form: the slope of a fast exponential moving average. The very short default period (6) makes it responsive to recent price action, positioning it as a "first responder" trend filter meant to be combined with Carter's other TTM tools (Squeeze, Wave, LRC). The color-coded output (green/red/gray) provides at-a-glance trend assessment.
Architecture & Physics
1. Typical Price
\text{TP}_t = \frac{H_t + L_t + C_t}{3}
Using typical price rather than close reduces susceptibility to closing-tick noise.
2. EMA Recursion
\alpha = \frac{2}{N + 1}
\text{EMA}_t = \alpha \cdot \text{TP}_t + (1 - \alpha) \cdot \text{EMA}_{t-1}
Or equivalently via FMA:
\text{EMA}_t = \text{FMA}(\alpha,\ \text{TP}_t - \text{EMA}_{t-1},\ \text{EMA}_{t-1})
3. Trend Classification
\text{Trend}_t = \text{sign}(\text{EMA}_t - \text{EMA}_{t-1})
| Value | State | Color |
|---|---|---|
| +1 | Bullish | Green |
| -1 | Bearish | Red |
| 0 | Neutral | Gray |
4. Strength Measurement
\text{Strength}_t = \frac{|\text{EMA}_t - \text{EMA}_{t-1}|}{\text{EMA}_{t-1}} \times 100\%
This percentage rate-of-change quantifies how aggressively the trend is moving. High strength values indicate strong conviction; near-zero values suggest potential reversal.
5. Complexity
| Metric | Value |
|---|---|
| Time | O(1) per bar |
| Space | O(1) (one EMA state + one previous value) |
| Warmup | 2 bars |
| Allocations | Zero in hot path |
Mathematical Foundation
Parameters
| Parameter | Type | Default | Constraint | Description |
|---|---|---|---|---|
| period | int | 6 | > 0 | EMA lookback period (very fast by default) |
Period Selection
The default period of 6 makes TTM Trend extremely fast-reacting. The EMA half-life is approximately \ln(2) / \ln(1 + 2/N) \approx 2.4 bars for N = 6. This means the indicator responds within 2-3 bars of a price shift. Longer periods (12, 20) reduce whipsaws but delay detection. Carter's design intent was maximum responsiveness, with noise filtering delegated to companion indicators (Squeeze, Wave).
Performance Profile
Operation Count (Streaming Mode)
TTM Trend colors bars based on whether close is above/below a short SMA, with momentum confirmation from a histogram.
Post-warmup steady state (per bar):
| Operation | Count | Cost (cycles) | Subtotal |
|---|---|---|---|
| RingBuffer add + oldest sub (running sum) | 2 | 1 | 2 |
| MUL × 1/N (SMA) | 1 | 3 | 3 |
| CMP (close vs SMA) | 1 | 1 | 1 |
| Histogram momentum (FMA EMA update) | 1 | 4 | 4 |
| Color encoding (ternary +1/0/−1) | 1 | 1 | 1 |
| Total | 6 | — | ~11 cycles |
Very cheap: ~11 cycles per bar at steady state.
Batch Mode (SIMD Analysis)
| Operation | Vectorizable? | Notes |
|---|---|---|
| SMA (rolling sum) | Yes | VADDPD + prefix-sum subtract-lag |
| EMA histogram | No | Recursive IIR |
| Bar color comparison | Yes | VCMPPD |
The EMA histogram is the only sequential step. SMA and comparison are fully vectorizable.
Quality Metrics
| Metric | Score | Notes |
|---|---|---|
| Accuracy | 10/10 | SMA exact arithmetic; EMA FMA-precise |
| Timeliness | 8/10 | Short SMA period dominates; near-instantaneous response |
| Smoothness | 10/10 | Ternary output — maximally smooth |
| Noise Rejection | 6/10 | Short SMA period makes it sensitive to noise in choppy markets |
Resources
- Carter, J. (2005). Mastering the Trade. McGraw-Hill.