Trend Strength Index [TSI]

Background

TSI is an indicator designed to identify true trend strength. A high TSI value indicates that short-term trend continuation (=follow through)  is more likely than short-term trend reversal (=mean reversion), e.g. NASDAQ100 stocks with a value of greater than 1.65 indicate a healthy trend environment.

The creator of TSI is Frank Hassler from Engineering Returns in cooperation with David Varadi from CSS Analytics.

Formula

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Related posts

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Technical implementation

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Publication

  • Trader’s September 2009 (link)

Trackbacks

  1. AAPL: Using TSI to decide when to buy into strength « Engineering Returns says:
    June 28, 2010 at 08:14

    [...] TSI [...]

  2. TSI formular public « Engineering Returns says:
    June 30, 2010 at 11:25

    [...] TSI [...]

  3. TSI: TradeSignal implementation « Engineering Returns says:
    July 8, 2010 at 10:19

    [...] TSI [...]

  4. Combining TSI and RSI into a winning swing trading system [Part I.] « Engineering Returns says:
    July 13, 2010 at 12:44

    [...] TSI [...]

  5. SPY in historical sweet spot: extreme follow through action « Engineering Returns says:
    July 14, 2010 at 22:07

    [...] TSI [...]

  6. Rotational Trading: A simple but powerful system [II./II.] « Engineering Returns says:
    July 26, 2010 at 11:04

    [...] TSI [...]

  7. The impact of survivorship free backtesting « Engineering Returns says:
    September 2, 2010 at 15:13

    [...] TSI [...]

  8. TSI: First publication in Traders’ journal September 2010 « Engineering Returns says:
    September 2, 2010 at 15:14

    [...] TSI [...]

  9. » WHEN DO I TRADE MOMENTUM? WHEN DO I TRADE MEAN-REVERSION? says:
    September 15, 2010 at 01:35

    [...] Finally, Frank Hassler at Engineering Returns has posted an indicator he made called the TSI. [...]

  10. Rotational Trading: Stay with the best « Engineering Returns says:
    September 20, 2010 at 09:43

    [...] TSI [...]

  11. Rotation System à la Quantum Financier « Quantum Financier says:
    November 11, 2010 at 15:51

    [...] difference between prices of different time frames or a rate-of-change indicator. The RSI , DVO or TSI indicators are also good candidates. Alternatively you could fit a least square model and evaluate [...]

  12. What do you want me to write about? « Engineering Returns says:
    December 23, 2010 at 07:47

    [...] TSI [...]

  13. Strategy Review: Rotational Trading « Engineering Returns says:
    February 15, 2011 at 20:49

    [...] TSI [...]

  14. SPY: The impact of a market environment filter | Engineering Returns says:
    March 16, 2011 at 14:24

    [...] TSI [...]

  15. DVB & TSI Ranking Methods says:
    May 14, 2011 at 23:42

    [...] useful trend filter is Frank Hassler’s Trend Strength Index which can be used in a number of ways to rank markets for their [...]

  16. SPY: Is the time about right for mean reversion? – Engineering Returns says:
    November 17, 2011 at 17:51

    [...] |     TSI [...]

  17. ETF Prophet | Time Right (again) for Mean Reversion? says:
    November 20, 2011 at 00:04

    [...] With this post I want to share an observation I’ve made by tracking my Trend Strength Indicator (TSI). TSI is a non-directional trend strength indicator. A lower TSI is indicating a tendency to mean-reversion while a higher TSI is indicating follow-through action. Read more about TSI [here]. [...]

  18. Best of 2011 – Engineering Returns says:
    December 30, 2011 at 08:07

    [...] |     TSI [...]

  19. ETF Prophet | Best of 2011 says:
    January 1, 2012 at 03:08

    [...] Trend Strength Indicator [...]

  20. Weekly 360° view – 01 / 2012 – Engineering Returns says:
    January 3, 2012 at 13:28

    [...] |     TSI [...]

  21. ETF Prophet | Weekly 360° view ~ 01 / 2012 says:
    January 3, 2012 at 19:23

    [...] C: same criteria as B incl. market trend strength filter (TSI) [...]

  22. Weekly 360° view – 10 / 2012 – Engineering Returns says:
    March 5, 2012 at 11:44

    [...] |     TSI [...]

  23. TSI – Engineering Returns says:
    March 11, 2012 at 15:35

    [...] |     TSI [...]

  24. Weekly 360° view – 11 / 2012 – Engineering Returns says:
    March 11, 2012 at 15:50

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions have weakened for twice over the last two [...]

  25. ETF Prophet | Weekly 360° view ~ 11 / 2012 says:
    March 11, 2012 at 19:45

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions have weakened for twice over the last two [...]

  26. Weekly 360° view – 12 / 2012 – Engineering Returns says:
    March 18, 2012 at 15:36

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions have weakened for twice over the last two [...]

  27. ETF Prophet | Weekly 360° View ~ 12 / 2012 says:
    March 19, 2012 at 18:14

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions have weakened for twice over the last two [...]

  28. Weekly 360° view – 13 / 2012 – Engineering Returns says:
    March 24, 2012 at 18:17

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are [...]

  29. ETF Prophet | Weekly 360° view ~ 13 / 2012 says:
    March 25, 2012 at 19:52

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are [...]

  30. Weekly 360° view – 14 / 2012 – Engineering Returns says:
    April 1, 2012 at 15:51

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are high, but lower than 5 days [...]

  31. ETF Prophet | Weekly 360° View ~ 14 / 2012 says:
    April 1, 2012 at 17:50

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are high, but lower than 5 days [...]

  32. Weekly 360° view – 15 / 2012 – Engineering Returns says:
    April 9, 2012 at 11:15

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are very low and lower than 5 days [...]

  33. ETF Prophet | Weekly 360° View ~ 15/2012 says:
    April 9, 2012 at 17:23

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are very low and lower than 5 days [...]

  34. Weekly 360° view – 16 / 2012 – Engineering Returns says:
    April 14, 2012 at 17:00

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are above 25 and bellow [...]

  35. ETF Prophet | Weekly 360° View ~ 16 / 2012 says:
    April 14, 2012 at 18:13

    [...] long-term trending environment (TSI >1.65) and intermediate trend conditions are above 25 and bellow [...]

  36. Mean-Reversion within Regimes | Adaptive Trader says:
    December 16, 2012 at 22:32

    [...] Hassler from Engineering Returns and David Varadi from CSS Analytics. The formula can be found here. The classification for Trend Vs MR with the [...]

  37. DV2 Indicator | Adaptive Trader says:
    December 16, 2012 at 22:38

    [...] Hassler from Engineering Returns and David Varadi from CSS Analytics. The formula can be found here. and The classification for Trend Vs MR with the [...]

  38. My take on Quantstrat: a Simple Swing Strategy | Järjestelmällinen sijoittaja says:
    February 23, 2013 at 17:47

    [...] The second task was to re-create the TSI indicator that is used in the strategy. It is described in (http://engineering-returns.com/tsi/) [...]

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