Another Short-Term Trend Indicator- DSR (Distribution Skew versus Range)

Author: Eugene

Creation Date: 11/1/2010 5:41 AM

Wealth Lab » Technical Indicators » Another Short-Term Trend Indicator- DSR (Distribution Skew versus Range)

Eugene

11/1/2010 5:41 AM

Continuing our "tradition" to bring you zero-day indicators by David Varadi coded for WL6, here goes...

Another Short-Term Trend Indicator- DSR (Distribution Skew versus Range)

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Continuing our "tradition" to bring you zero-day indicators by David Varadi coded for WL6, here goes...

[LINK=http://cssanalytics.wordpress.com/2010/11/01/another-short-term-trend-indicator-dsr-distribution-skew-versus-range/]Another Short-Term Trend Indicator- DSR (Distribution Skew versus Range)[/LINK]

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		// http://www.codeproject.com/KB/recipes/DescriptiveStatisticClass.aspx
		// modified by Eugene to work with Lists
		/// <summary>
		/// Calculate percentile of a sorted data set
		/// </summary>
		/// <param name="data">List of double</param>
		/// <param name="p">percentile</param>
		/// <returns></returns>
		public double percentile(List<double> data, double p)
		{
			data.Sort();
			
			// algo derived from Aczel pg 15 bottom
			if (p >= 100.0d) return data[data.Count - 1];

double position = (double)(data.Count + 1) * p / 100.0;
			double leftNumber = 0.0d, rightNumber = 0.0d;

double n = p / 100.0d * (data.Count - 1) + 1.0d;

if (position >= 1)
			{
				leftNumber = data[(int)System.Math.Floor(n) - 1];
				rightNumber = data[(int)System.Math.Floor(n)];
			}
			else
			{
				leftNumber = data[0]; // first data
				rightNumber = data[1]; // first data
			}

if (leftNumber == rightNumber)
				return leftNumber;
			else
			{
				double part = n - System.Math.Floor(n);
				return leftNumber + part * (rightNumber - leftNumber);
			}
		}
		
		protected override void Execute()
		{
			DataSeries rawDSR = new DataSeries( Bars, "raw dsr" );
			DataSeries DSR = new DataSeries( Bars, "DSR" );
			List<double> lst = new List<double>();
			
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				lst.Clear();
				
				for(int i = bar; i > bar-20; i--) {
					lst.Add( High[i] ); lst.Add( Low[i] ); lst.Add( Close[i] );
				}
				
				//DSR differential=  average(  65th percentile (H,L,C, 20-days), 80th percentile  (H,L,C, 20-days)) –  
				//average(  35th percentile (H,L,C, 20-days), 20th percentile  (H,L,C, 20-days))

double dsrDiff = (percentile( lst,65 ) + percentile( lst,80 )/2) - (percentile( lst,35 ) + percentile( lst,20 )/2);
				
				//DSR raw=  DSR differential/(max(H,L,C, 20-days)-min(H,L,C, 20-days))
				
				double dsrRaw = dsrDiff / ( Highest.Series( High,20 )[bar] - Lowest.Series( Low,20 )[bar] );
				rawDSR[bar] = dsrRaw;
			}

//DSR= 252-day percentrank of ( 10-day sma of DSR raw)

for(int bar = GetTradingLoopStartBar(252); bar < Bars.Count; bar++)
			{
				DSR[bar] = PercentRank.Series( SMA.Series( rawDSR,10 ), 252 )[bar];
					
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
			
			ChartPane dsrPane = CreatePane( 30,true,true ); HideVolume();
			PlotSeries( dsrPane, DSR, Color.Blue, WealthLab.LineStyle.Solid, 2 );
		}
	}
}[/CODE]

Carova

2/18/2015 10:27 AM

Hi Eugene!

Is there an issue with the version of this indicator in Community Indicators? I get the same exact indicator regardless of the period.

Vince

Eugene

2/18/2015 12:14 PM

Yes, there is such odd issue. Thanks for the heads-up Vince.

1) As a workaround #1, refresh the chart after changing period.
2) Workaround #2 for code-based strategies is to use the code above. Just make sure to replace all "20" with custom DSR period.