Dataseries Comparison and ValueWhen

novaege

#1

3/8/2011 4:42 AM

Hi,

Is there a function to compare two dataseries like in metastock?

HILOB,HILOM and TRIGGER are SMA series.

If(HILOB>=Ref(HILOB,-1) AND HILOM>TRIGGER AND (H-L)>0.2 AND C>=Ref(C,-1),1,0)

x>1
And also how can i implement ValueWhen(x,...) in wealthlab? I couldn't find any function.

Eugene

#2

3/8/2011 5:04 AM

No need to create duplicate posts. There already exists a topic you started before:

Translate from Metastock: Compare DataSeries

If you wish to discuss it please re-use the thread. tia.

Eugene

#3

3/8/2011 5:13 AM

Re: ValueWhen

To return the most recent bar where a DataSeries crossed above/below another DataSeries -- a typical ValueWhen usage pattern -- the following functions from Community.Indicators can be used:

CrossOverBar
CrossOverValueBar
CrossUnderBar
CrossUnderValueBar

If you need to return the most recent value at the bar when a defined expression was true (another typical ValueWhen usage), just program it using if/then statements and a boolean condition.

novaege

#4

3/8/2011 5:27 AM

Thanks for quick reply.

:( again community.*

Is translating from metastock to wealthlab really hard?

Most used functions don't have direct mappings in wealthlab. That is making translation difficult.

What is your advice?

Eugene

#5

3/8/2011 5:42 AM

Manual translation. May seem difficult at first but practice makes perfect.

novaege

#6

3/9/2011 8:35 AM

I have a metastock code block like below

And here my code in C#. I have own indicator named HILOMomentum. I am using it in this strategy. But I am getting index range error.

Size:

Color:

I have a metastock code block like below

[QUOTE]period:=12;
period2:=3;
period3:=3;
period4:=6;
period5:=170;
period6:=17;

HILOmomentum:=(Mov(LLV(L, period2),period3, S)-Mov(LLV(L, period), period3, S))-(Mov(HHV(H, period), period3, S)-
Mov(HHV(H, period2),period3, S));
TRIGGER:=Mov(HILOmomentum,period4,S);

HILObigmom:=(LLV(L, period6)-LLV(L, period5))-(HHV(H, period5)-HHV(H, period6));

OP:=If(C>ValueWhen(1,Cross(HILOmomentum,TRIGGER),H), If(HILObigmom>=Ref(HILObigmom,-1) AND HILOmomentum>TRIGGER AND (H-L)>0.2 AND C>=Ref(C,-1),1,0), 0);
OP:=1 OR C>REF(HHV(H,12),-1)
[/QUOTE]

And here my code in C#. I have own indicator named HILOMomentum. I am using it in this strategy. But I am getting index range error.

[CODE]
 public class Custom_OP : WealthScript
    {
        private StrategyParameter paramPeriod;
        private StrategyParameter paramPeriod2;
        private StrategyParameter paramPeriod3;
        private StrategyParameter paramPeriod4;
        private StrategyParameter paramPeriod5;
        private StrategyParameter paramPeriod6;

public Custom_OP()
        {
            paramPeriod = CreateParameter("Period", 12, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod2 = CreateParameter("Period2", 3, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod3 = CreateParameter("Period3", 3, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod4 = CreateParameter("Period4", 6, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod5 = CreateParameter("Period4", 170, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod6 = CreateParameter("Period6", 170, Int32.MinValue, Int32.MaxValue, 1);
        }

protected override void Execute()
        {
            int period = paramPeriod.ValueInt;
            int period2 = paramPeriod2.ValueInt;
            int period3 = paramPeriod3.ValueInt;
            int period4 = paramPeriod4.ValueInt;
            int period5 = paramPeriod5.ValueInt;
            int period6 = paramPeriod6.ValueInt;

HILOMomentum hiloMom = new HILOMomentum(Bars.Close, "HiLo", period, period2, period3, period4);

SMA trigger = new SMA(hiloMom, period4, "Trigger");

HILOMomentum hiloBigMom = new HILOMomentum(Bars.Close, "HiloBig", period6, period5, period5, period6);

bool IsHiloBigMom = false;
            for (int i = period5; i < Bars.Count; i++)
            {
                if (CrossOver(i, hiloBigMom, hiloBigMom >> 1))
                {
                    IsHiloBigMom = true;
                }
            }

bool IsHiloBig = false;
            for (int i = period4; i < Bars.Count; i++)
            {
                if (CrossOver(i, trigger, hiloMom))
                {
                    IsHiloBig = true;
                }
            }

DataSeries cShft=Bars.Close>>1;;
            bool IsCloseBig = false;
            for (int i = period; i < Bars.Count; i++)
            {
                if(CrossOver(i,Bars.Close,cShft))
                {
                    IsCloseBig=true;
                }
            }

bool IsHiloTriggerBig = false;
            DataSeries ds = new DataSeries("HiloTrigger");
            for (int i = period4; i < Bars.Count; i++)
            {
                if (CrossOver(i, hiloMom, trigger))
                {
                    IsHiloTriggerBig = true;
                }
            }
            if (IsHiloTriggerBig)
                ds = High;

bool IsCloseDSBig = false;
            for (int i = 0; i < Bars.Count; i++)
            {
                if (CrossOver(i, Bars.Close, ds))
                {
                    IsCloseDSBig = true;
                }
            }

bool IsHLBig = false;
            for (int i = period; i < Bars.Count; i++)
            {
                if(Bars.High[i] - Bars.Low[i] > 0.2)
                {
                    IsHLBig=true;
                }
            }

bool op=false;
            if (IsCloseDSBig)
            { 
                //If(HILObigmom>=Ref(HILObigmom,-1) AND HILOmomentum>TRIGGER AND (H-L)>0.2 AND C>=Ref(C,-1),1,0)
                if (IsHiloBigMom && IsHiloTriggerBig && IsHLBig && IsCloseBig)
                {
                    op= true;
                }
            }

bool IsCloseHBig=false;
            DataSeries hShft=Highest.Series(High,12)>>1;
            for (int i = period; i < Bars.Count; i++)
			{
                if(CrossOver(i,Close,hShft))
                {
                    IsCloseHBig = true;
                }
			 
			}

op= op || IsCloseHBig;

DrawLabel(PricePane,"OP = " + ((op) ? 1:0 ).ToString(),Color.Blue );
[/CODE]

Eugene

#7

3/10/2011 10:31 AM

Index was out of range, as you can assure by visiting the Wiki link, could happen (in this case) for two reasons: accessing the data at an invalid bar number or accessing the data that does not exist.

Even though your HILOMomentum implementation is mystery to us, but the rest of the code, everything what's below, I think, will not work as intended. It's pretty clear why it was designed so: Metastock hides the loop from you, so traders have to follow different coding conventions when dealing with MSFL.

The main loop is missing, your code is doing excessive looping (in fact, only 1 loop is required in this case), and the "i" (i.e. bar) might correspond to a very different, unpredictable bar in each of those loops. Try getting rid of those loops, replacing them with one to synchronize the "i", or you'll end with IsHiloBig valid at bar 22, IsCloseHBig triggering at bar 33 etc.

novaege

#8

3/12/2011 5:44 AM

Here is my latest code. It looks OK. But, new problem is when testing all trades are lost.
There will be op2 condition for sell. Close[bar] values are equal High[bar] most of time (Close[bar] > High[bar]).

Size:

Color:

Here is my latest code. It looks OK. But, new problem is when testing all trades are lost.
There will be op2 condition for sell. Close[bar] values are equal High[bar] most of time (Close[bar] > High[bar]).

[CODE]
  public class Custom_OP : WealthScript
    {
        #region Parameters
        private StrategyParameter paramPeriod;
        private StrategyParameter paramPeriod2;
        private StrategyParameter paramPeriod3;
        private StrategyParameter paramPeriod4;
        private StrategyParameter paramPeriod5;
        private StrategyParameter paramPeriod6;
        #endregion

#region Constructor
        public Custom_OP()
        {
            paramPeriod = CreateParameter("Period", 12, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod2 = CreateParameter("Period2", 3, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod3 = CreateParameter("Period3", 3, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod4 = CreateParameter("Period4", 6, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod5 = CreateParameter("Period5", 170, Int32.MinValue, Int32.MaxValue, 1);
            paramPeriod6 = CreateParameter("Period6", 17, Int32.MinValue, Int32.MaxValue, 1);
        }

#endregion
        protected override void Execute()
        {
            try
            {
                #region Definitions
                int period = paramPeriod.ValueInt;
                int period2 = paramPeriod2.ValueInt;
                int period3 = paramPeriod3.ValueInt;
                int period4 = paramPeriod4.ValueInt;
                int period5 = paramPeriod5.ValueInt;
                int period6 = paramPeriod6.ValueInt;
                HILOMomentum hiloMom = new HILOMomentum(Bars.Close, "HiLo", period, period2, period3, period4);
                SMA trigger = new SMA(hiloMom, period4, "Trigger");
                HILOMomentum hiloBigMom = new HILOMomentum(Bars.Close, "HiLoBig", period6, period5, period5, period6);

ChartPane pane = CreatePane(20, true, true);
                SetPaneMinMax(pane, Math.Min(Math.Min(hiloMom.MinValue, trigger.MinValue), hiloBigMom.MinValue),
                    Math.Max(Math.Max(hiloMom.MaxValue, trigger.MaxValue), hiloBigMom.MaxValue));
                PlotSeries(pane, hiloMom, Color.Black, LineStyle.Solid, 2);
                PlotSeries(pane, trigger, Color.OrangeRed, LineStyle.Solid, 2);
                PlotSeries(pane, hiloBigMom, Color.Blue, LineStyle.Solid, 2);
                #endregion
                
                for (int bar = period5; bar < Bars.Count; bar++)
                {
                    #region OP
                    /* Metastock code
                     * OP:=If(C>ValueWhen(1,Cross(HILOmomentum,TRIGGER),H), 
                     * If(HILObigmom>=Ref(HILObigmom,-1) AND HILOmomentum>TRIGGER AND (H-L)>0.2 AND C>=Ref(C,-1),1,0),
                     * 0);
                     * OP=1 OR C>REF(HHV(H,12),-1) 
                     */
                    bool op = false;
                    if (CrossOver(bar, hiloMom, trigger))
                    {                        
                        if (Close[bar] > High[bar])
                        {                            
                            bool IsHiloBigMomBiggerThanHiloBigMomRef = (hiloBigMom[bar] >= hiloBigMom[bar - 1]) ? true : false;
                           
                            bool IsHiloMomBiggerThanTrigger = (hiloMom[bar] > trigger[bar]) ? true : false;

bool IsLowDifference = ((Bars.High[bar] - Bars.Low[bar]) > 0.2) ? true : false;

bool IsCloseBiggerThanCloseRef = (Bars.Close[bar] >= Bars.Close[bar - 1]) ? true : false;

if (IsHiloBigMomBiggerThanHiloBigMomRef && IsHiloMomBiggerThanTrigger && IsLowDifference && IsCloseBiggerThanCloseRef)
                                op= true;
                        }
                        
                        DataSeries highDS = Highest.Series((Bars.High), 12)  ;
                        bool IsCloseBiggerThanHigh = (Bars.Close[bar] > highDS[highDS.Count - 1]) ? true : false;

op = 1 || IsCloseBiggerThanHigh;                      
                    }

if (op)
                    {
                        BuyAtMarket(bar);
                    }

#endregion                    
                }
            }
            catch (Exception ex)
            {
                PrintDebug(ex.ToString());
            }
            finally
            {
                PlotStops();
            }

}
    }

[/CODE]

Eugene

#9

3/12/2011 5:55 AM

Thank you for saying thank you, first of all.

There's no need for ternary operator here. Simplify these lines:

Shouldn't be in a loop; move the DataSeries definition before the start of the loop:

I don't know what did you mean by this comparison but it will never work properly, severely peeks into the future; you're comparing the Close value at a bar e.g. bar #200 with the Close at the very LAST bar i.e. .Count-1, which is fixed. It should be something different than [highDS.Count - 1] but I leave it up to you to decide (am not familiar with the algorithm/rules).

Incorrect. Peeking into the future. Replace with "bar+1":

Further reading:
Wiki: Introductory | Bars, Loops, and Bar + 1
Wiki: Peeking | The Dangers of Looking Ahead in Trading System Development
WealthScript Programming Guide: Programming Trading Strategies > Peeking

novaege

#10

3/12/2011 6:06 AM

Sorry. Thanks very much for your patience and quick replies..

I tried to convert

sentence to wealthlab code above. How can i convert that, please?
I corrected others, thanks.

Eugene

#11

3/12/2011 6:19 AM

OK. Here's it:

If you don't need the highDS series later in the code (and it seems to be the case), you can skip defining it (DataSeries highDS...). The Bars.Cache property will do its job anyway.