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brakkar
Posted : Wednesday, October 19, 2011 5:20:44 AM
Registered User
Joined: 1/25/2005
Posts: 39
Hi Bruce,

can you tell me if such indicator already exists for stockfinder please ? It's a bit similar to what I asked about volume comparison, but with current day range:

We calculate current intraday day range (NOT atr) up to that time of day: H-L.So for example, le'ts say at 11:15 Goog has a H-L range of $1 we call this number A.

Then we calculate full daily range (H-L) average for goog over latest XX days. We call it B.

We then calculate how much A is percent of B.
So for example a reading of 0.25 on intraday chart at 11:15 am, means that from 9:30 to 11:15, goog range is 25% of its average full day range over latest xx days.

Cordially,Brak
Bruce_L
Posted : Wednesday, October 19, 2011 9:29:03 AM


Worden Trainer

Joined: 10/7/2004
Posts: 64,759
I am not aware of any similar indicator being created previously. You should be able to replace everything below the Inherits line in the Class tab of a RealCode Indicator with the following to create the RealCode Indicator:

    '# Period = UserInput.Integer = 30
    Sub New
        AutoLoop = False
    End Sub
    Public Overrides Function Plot() As System.Single
        If TimeFrame.TotalDays < 1 AndAlso Period >= 2 Then
            Dim Start(Period-1) As Integer
            Dim DayCount As Integer = -1
            Dim BarCount As Single = 0
            Dim DayHigh As Single = Single.MinValue
            Dim DayLow As Single = Single.MaxValue
            Dim SMA As New System.Collections.Generic.List(Of Single)
            For i As Integer = 1 To Price.Bar.Count - 1
                If Price.Bar.DateValue(i).DayOfYear <> Price.Bar.DateValue(i - 1).DayOfYear Then
                    DayCount += 1
                    BarCount = 0
                    If DayCount >= Period Then
                        Dim j As Integer = 0
                        DayHigh = Single.MinValue
                        DayLow = Single.MaxValue
                        For k As Integer = Start(DayCount Mod Period) To Start((DayCount + 1) Mod Period) - 1
                            DayHigh = System.Math.Max(DayHigh, Price.Bar.HighValue(k ))
                            DayLow = System.Math.Min(DayLow, Price.Bar.HighValue(k ))
                            SMA(j) -= DayHigh - DayLow
                            j += 1
                        Next
                    End If
                    DayHigh = Single.MinValue
                    DayLow = Single.MaxValue
                    Start(DayCount Mod Period) = i
                End If
                DayHigh = System.Math.Max(DayHigh, Price.Bar.HighValue(i))
                DayLow = System.Math.Min(DayLow, Price.Bar.HighValue(i))
                If DayCount >= 0 Then
                    If BarCount >= SMA.Count Then
                        SMA.Add(DayHigh - DayLow)
                    Else
                        SMA(BarCount) += DayHigh - DayLow
                    End If
                End If
                If DayCount >= Period - 1 Then
                    If SMA(BarCount) > 0 Then
                        AddToOutput(Price.Bar.DateValue(i), (DayHigh - DayLow) / _
                            (SMA(BarCount) / Period))
                    End If
                End If
                BarCount += 1
            Next
        End If
    End Function
End Class

-Bruce
Personal Criteria Formulas
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brakkar
Posted : Wednesday, October 19, 2011 9:41:41 AM
Registered User
Joined: 1/25/2005
Posts: 39
Thanks a lot Bruce, but i think it doesn't behave properly:

Normaly value must never go down: H-L of today can only increase, yet it seems indicator is following current bar, instead of comparing H-L of today, to H-L average of XX days ago...
Bruce_L
Posted : Wednesday, October 19, 2011 9:45:57 AM


Worden Trainer

Joined: 10/7/2004
Posts: 64,759
Unless you are misdescribing the indicator or I am misunderstanding your explanation of the indicator, your analysis would appear to be incorrect.

The H - L of the Current Day can only go up.

The Average H - L can only go up.

The H - L and Average H - L can go up at different rates.

If the H - L of the Current Day goes up at a faster rate than the Average H - L, then the Indicator will increase.

If the H - L of the Current Day goes up at a slower rate than the Average H - L, then the Indicator will decrease.

-Bruce
Personal Criteria Formulas
TC2000 Support Articles
brakkar
Posted : Wednesday, October 19, 2011 10:04:03 AM
Registered User
Joined: 1/25/2005
Posts: 39

Bruce,
there certainly a misunderstanding, probably my fault:

If at 11:15 stocks made a high, then pulled back, and never made a new high (or low) for the rest of the day, value of indicator must stay the same all day.

if H-L at 11:15 is 25% of average H-L range for last xx days, it should not change unless stocks makes a new high/low.

When I'm talking about previous days range, I mean average of H-L calculated on H-L values of entire days, not at same time of current day.

Am I more clear ?

Tks,
Brak

Bruce_L
Posted : Wednesday, October 19, 2011 10:14:24 AM


Worden Trainer

Joined: 10/7/2004
Posts: 64,759
You should be able to replace everything below the Inherits line in the Class tab of a RealCode Indicator with the following to create the RealCode Indicator:

    '# Period = UserInput.Integer = 30
    Sub New
        AutoLoop = False
    End Sub
    Public Overrides Function Plot() As System.Single
        If TimeFrame.TotalDays < 1 AndAlso Period >= 2 Then
            Dim Start(Period-1) As Integer
            Dim DayCount As Integer = -1
            Dim DayHigh As Single = Single.MinValue
            Dim DayLow As Single = Single.MaxValue
            Dim SMA As Single = 0
            For i As Integer = 1 To Price.Bar.Count - 1
                If Price.Bar.DateValue(i).DayOfYear <> Price.Bar.DateValue(i - 1).DayOfYear Then
                    DayCount += 1
                    If DayCount > 0 Then
                        SMA += DayHigh - DayLow
                    End If
                    If DayCount >= Period Then
                        Dim j As Integer = 0
                        DayHigh = Single.MinValue
                        DayLow = Single.MaxValue
                        For k As Integer = Start(DayCount Mod Period) To Start((DayCount + 1) Mod Period) - 1
                            DayHigh = System.Math.Max(DayHigh, Price.Bar.HighValue(k ))
                            DayLow = System.Math.Min(DayLow, Price.Bar.HighValue(k ))
                            j += 1
                        Next
                        SMA -= DayHigh - DayLow
                    End If
                    DayHigh = Single.MinValue
                    DayLow = Single.MaxValue
                    Start(DayCount Mod Period) = i
                End If
                DayHigh = System.Math.Max(DayHigh, Price.Bar.HighValue(i))
                DayLow = System.Math.Min(DayLow, Price.Bar.HighValue(i))
                If DayCount >= Period - 1 Then
                    If SMA > 0 Then
                        AddToOutput(Price.Bar.DateValue(i), (DayHigh - DayLow) / (SMA / Period))
                    End If
                End If
            Next
        End If
    End Function
End Class

-Bruce
Personal Criteria Formulas
TC2000 Support Articles
brakkar
Posted : Wednesday, October 19, 2011 10:55:25 AM
Registered User
Joined: 1/25/2005
Posts: 39

Thanks Bruce, seems to be the right calculation.
I really appreciate your help.

Brak

brakkar
Posted : Wednesday, October 26, 2011 6:19:18 PM
Registered User
Joined: 1/25/2005
Posts: 39

Bruce,
i'm trying to do the same in Tc2000 12, would you mind giving a hint:

1) H-L
2) Exponetial Average of H-L over latest 30 bars

then we calculate how much % is H-L of (Exponetial Average of H-L over latest 30 bars)
So for example, if H-L of current bar is 0,7 and the average is 1, indicator would show 30.
So indicator can never be less than 0, since H-L is always >= 0.

Tks,
Benj

Bruce_L
Posted : Thursday, October 27, 2011 7:30:57 AM


Worden Trainer

Joined: 10/7/2004
Posts: 64,759
Please try the following Indicator Formula using a Daily Time Frame (you will need to use commas instead of periods for the decimals, but I'm posting what works on my system):

100 * (H - L) / (XAVGH30.1 - XAVGL30.1 + .00001)

I cannot think of a way to create a formula for this in TC2000 which would work on anything other than a Daily Time Frame.

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-Bruce
Personal Criteria Formulas
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