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Registered User Joined: 10/31/2008 Posts: 69
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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
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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We used the values calculated internally be DTN. We are not currently licensed to use the CBOE data itself.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 10/31/2008 Posts: 69
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Thanks Bruce, Is it possible for me to get some of the extreme values pulled back close to what the normal range is?
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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 Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 10/31/2008 Posts: 69
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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
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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 Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 10/31/2008 Posts: 69
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Thank you for your help with this Bruce, I will try these out.
Grant
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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You're welcome.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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