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GrantM
Posted : Friday, February 12, 2016 10:42:12 AM
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Joined: 10/31/2008
Posts: 69

Hi, the two symbols for the CBOE put call ratio give dissimilar historical data and neither is consistent with the CBOE published historical data. Why is this so and is there a symbol I am missing on V12 that tracks what the CBOE publishes?

Thanks, Grant

Bruce_L
Posted : Friday, February 12, 2016 11:02:37 AM


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

We used the values calculated internally be DTN. We are not currently licensed to use the CBOE data itself.



-Bruce
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GrantM
Posted : Friday, February 12, 2016 11:12:47 AM
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Joined: 10/31/2008
Posts: 69

Thanks Bruce, Is it possible for me to get some of the extreme values pulled back close to what the normal range is?

Bruce_L
Posted : Friday, February 12, 2016 11:22:57 AM


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

No, we can't change the values. The data is supplied by DTN. We are currently not licensed to use the CBOE data. So we can't just change the values to match the CBOE data (we aren't licensed) and we can't just make up data.



-Bruce
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GrantM
Posted : Friday, February 12, 2016 11:39:29 AM
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Joined: 10/31/2008
Posts: 69

Sorry Bruce, I do understand and I did not ask for Worden to change the values. I currently use a moving average on these symbols to smooth the data and would like to pursue this to a greater degree to deal with the extreme readings. I would like your advice on any other techniques available within your constraints to accomplish this.

Thanks, Grant

Bruce_L
Posted : Friday, February 12, 2016 12:09:55 PM


Worden Trainer

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

You could certainly add a moving average to smooth out the results. A very short period would still give the most recent value a high weight. Exponential and front weighted moving averages more so than a simple moving average.

You could use a Custom PCF Indicator with the following formula to plot a fractional root of price. This would make the values less extreme in that they would be closer to 1.

C ^ .5

That is taking the square root, but you could make less noticable changes by using a higher value (but still less than 1.

C ^ .75

Or squash things further by using a smaller value.

C ^ .25



-Bruce
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GrantM
Posted : Friday, February 12, 2016 2:11:26 PM
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Joined: 10/31/2008
Posts: 69

Thank you for your help with this Bruce, I will try these out.

Grant

Bruce_L
Posted : Friday, February 12, 2016 2:12:14 PM


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

You're welcome.



-Bruce
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