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How to get the average and standard deviation of 60 bars of High/Close of up days? Rate this Topic:
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SDRODIMER
Posted : Tuesday, January 31, 2017 12:47:46 PM
Platinum Customer Platinum Customer

Joined: 2/14/2005
Posts: 169

HIgh,

 

I'm trying to write a Realcode indicator that will calculate

100*((price.high/price.close)-1) but only for up days and then get n bar simple average or standard deviation as a user choice of output options with n also a user choice.

I have not found a way to do this either with a plotted indicator or inside a Realcode indicator because of the requirement to use only up days.

Waddya tink?  Is there a way to do this?

 

Steve

Bruce_L
Posted : Tuesday, January 31, 2017 12:54:47 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

So do you want to use the most recent n up days over however many days it takes or just the up days over an n period span?

One is not any more difficult than the other, but the using the most recent n up days over however many days it takes does avoid the possibility of not having any up days at all during an n period span.



-Bruce
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SDRODIMER
Posted : Tuesday, January 31, 2017 3:20:29 PM
Platinum Customer Platinum Customer

Joined: 2/14/2005
Posts: 169

 

I see what you mean.  Let the period be a variable until sufficient bars (User specified)  that are up days have been found to get the stix results.

 

Need to get experience trying this before I can provide a more educated choice.

Bruce_L
Posted : Tuesday, January 31, 2017 4:15:41 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

Please try the following RealCode Indicator.

'|******************************************************************
'|*** StockFinder RealCode Indicator - Version 5.0 www.worden.com 
'|*** Copy and paste this header and code into StockFinder *********
'|*** Indicator:Up Bars SMA or SD
'|******************************************************************
'# Period = UserInput.Integer = 60
'# SMAorSD = UserInput.String = "SD"
Static UpDays As New List(Of Integer)
Static Sum As Single
Static SumSq As Single
Static Output As Single
If isFirstBar Then
	UpDays.Clear
	Sum = 0
	SumSq = 0
	Output = Single.NaN
Else If Price.Last > Price.Last(1) Then
	UpDays.Add(CurrentIndex)
	Dim Perc As Single = 100 * (Price.High / Price.Last - 1)
	Sum += Perc
	SumSq += Perc ^ 2
End If
If UpDays.Count >= Period Then
	If SMAorSD = "SD" Then
		Output = Math.Abs((SumSq - Sum ^ 2 / Period) / Period) ^ .5
	Else
		Output = Sum / Period
	End If
	Dim Offset As Integer = CurrentIndex - UpDays(0)
	UpDays.RemoveAt(0)
	Dim Perc As Single = 100 * (Price.High(Offset) / Price.Last(Offset) - 1)
	Sum -= Perc
	SumSq -= Perc ^ 2
End If
Plot = Output
If isLastBar Then
	UpDays.Clear
	Sum = 0
	SumSq = 0
	Output = Single.NaN
End If


-Bruce
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SDRODIMER
Posted : Wednesday, February 1, 2017 1:02:49 AM
Platinum Customer Platinum Customer

Joined: 2/14/2005
Posts: 169

Bruce,

OK  That worked!

I can see that using the defined LIST named UpDays created an indexed array that you referenced to select the values to keep in the sum and sumSq varibles after the period number of up days had been reached, in essence removing the first and adding the last values to the running values of sum and sumSq.

I had seen the LIST method when checking on-line how to handle the array nature of this programming request but was unable to see exactly how to use it from examples I found.  The use of commands such as Updays.clear, Updays.add ... were new to me.

Well, nicely done -- I not only got the indicator that I wanted to use but also learned some more about programmming this kind of problem.

Thx,

Steve

Bruce_L
Posted : Wednesday, February 1, 2017 7:15:27 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

You're welcome.



-Bruce
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