Indicator that shows price performance comparison as relative strength?

wphill

#1

12/16/2010 9:48 AM

To be candid, I posted a similar question under Strategies...trying again, here.

Any chance of getting canned code: four panes:
price curves of symbol and external symbol, relative strength--RS as defined ad symbol/external symbol, rsi of RS, ppo of RS.????

Or, something similar. Below is an example...see link.

This kind of price performance comparison can be quite helpful.
For example, longer term bond prices and equities have de-coupled. Almost a mirror image.
Instead of using bond prices, alone, as a leading indicator for equity bullishness/bearishness the relative strength price chart may offer more confidence in direction.

Maybe, there could be a canned indicator of RS?

http://stockcharts.com/h-sc/ui?s=VT:EDV&p=D&yr=1&mn=0&dy=0&id=p86829371957

Eugene

#2

12/16/2010 10:08 AM

If by saying "canned indicator" you mean a "drag & drop indicator" involving an external symbol, then it's probably not going to happen. Sure we have Beta, for example, but it becomes useful only in code-based strategies. Formal indicators (and IndexDefinitions) do have a limitation that is pretty hard to work around (if possible), and it's in accessing external symbol's data.

If WealthScript code is OK for you, then please search the forum carefully. Relative strength in WL5/WL6 has been discussed before more than once, and I even recollect setting up a Wiki page based on some of those discussions: WealthScript Techniques | Relative Performance Chart.

wphill

#3

12/16/2010 11:12 AM

thanks

wphill

#4

12/16/2010 12:37 PM

Eugene, I have searched and search....the solutions that compile, such as the ones from the wiki page you site have more to do with plotting multiple symbols separately. My goal is more related to the ratio of two symbols, and then be able to plot indicators upon that derived chart.

The closest code from a search follows. This would work better if when I drag and drop an indicator within the relative strength pane and the indicator creates its own pane...then that pane stays open after being saved.

CODE:
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Eugene, I have searched and search....the solutions that compile, such as the ones from the wiki page you site have more to do with plotting multiple symbols separately. My goal is more related to the ratio of two symbols, and then be able to plot indicators upon that derived chart.

The closest code from a search  follows. This would work better if when I drag and drop an indicator within the relative strength pane and the indicator creates its own pane...then that pane stays open after being saved.

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

namespace WealthLabCompile
{
	class TotalReturnChart : WealthScript
	{	
		private StrategyParameter FastEMA_RS;
		private StrategyParameter SlowEMA_RS;	
			
		public TotalReturnChart()
		{			
			FastEMA_RS       = CreateParameter("RS FastEMA", 18, 1, 200, 1);
			SlowEMA_RS       = CreateParameter("RS SlowEMA", 72, 1, 300, 1);			
		}
			
		protected override void Execute()			
		{
			HideVolume();			
			//---------------------------------
			// Get Reference Symbol
			//---------------------------------
			Bars SymExt = GetExternalSymbol(".SPX", true);
			DataSeries RefSym  = SymExt.Close;
			SymExt = Synchronize (SymExt);
			RefSym = Synchronize (RefSym);

//-----------------------------------------------------------
			// Plot Pane with Symbol and Reference starting at 100 Offset
			//-----------------------------------------------------------
			DataSeries SymOff    = new DataSeries(Bars, Bars.Symbol);			
			DataSeries RefSymOff = new DataSeries(Bars, SymExt.Symbol);
			DataSeries Line100   = new DataSeries(Bars, "   ");
			SymOff[0] = 100;
			RefSymOff[0] =100;
			Line100[0] = 100;
			for ( int bar = 1; bar < Bars.Count; bar++ )
			{
				SymOff[bar] = SymOff[bar-1] * 
					(1 + (Close[bar] - Close[bar-1]) / Close[bar-1]);
				RefSymOff[bar] = RefSymOff[bar-1] *
					(1 + (RefSym[bar] - RefSym[bar-1]) / RefSym[bar-1]);
				Line100[bar] = 100;
			}				
			ChartPane  Pane2Sym = CreatePane(1200, true, true);			
			PlotSeries(Pane2Sym, SymOff, Color.Red, LineStyle.Solid, 2);
			PlotSeries(Pane2Sym, RefSymOff, Color.DarkGreen, LineStyle.Solid, 2);
			PlotSeries(Pane2Sym, Line100, Color.Black, LineStyle.Solid, 2);
			
			//------------------------------------------------
			// Create Relative Strength Pane with Offset of 10
			//------------------------------------------------	
			int Period_FastEMA  = FastEMA_RS.ValueInt;
			int Period_SlowEMA  = SlowEMA_RS.ValueInt;
			
			DataSeries RS         = new DataSeries(Bars, "Relative Strength");	
			DataSeries Line10   = new DataSeries(Bars, "  ");
			RS[0]     = 10;
			Line10[0] = 10;
			for ( int bar = 1; bar < Bars.Count; bar++ )
			{
				RS[bar] = 10*SymOff[bar]/RefSymOff[bar];
				Line10[bar] = 10;
			}			
			DataSeries RS_FastEMA = EMA.Series(RS, Period_FastEMA, 
				EMACalculation.Modern);
			DataSeries RS_SlowEMA = EMA.Series(RS, Period_SlowEMA, 
				EMACalculation.Modern);
			RS_FastEMA.Description = "EMA(RS," +Period_FastEMA.ToString() +")" ;
			RS_SlowEMA.Description = "EMA(RS," +Period_SlowEMA.ToString() +")" ;			
			
			ChartPane ChartRS = CreatePane(1200, true, true);
			PlotSeries(ChartRS, RS, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(ChartRS, RS_FastEMA, Color.Green, LineStyle.Solid, 2);
			PlotSeries(ChartRS, RS_SlowEMA, Color.Red, LineStyle.Solid, 2);
			PlotSeries(ChartRS, Line10, Color.Black, LineStyle.Solid, 2);	
		}
	}
}[/CODE]

Eugene

#5

12/16/2010 12:58 PM

Every solution should compile but sometimes it takes a little more effort.

Meeting the Relatives
how to do GetExternalSeries in WL.net

WEALTHPRO25

#6

3/1/2018 3:05 PM

ok, i did as you asked and the following script compiles, it works on daily and monthly chart for buy and sell signals but it does not give me any signals for weekly, for example on a symbol NVDA, please help thanks.

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ok, i did as you asked and the following script compiles, it works on daily and monthly chart for buy and sell signals but it does not give me any signals for weekly, for example on a symbol NVDA, please help thanks.

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

namespace WealthLabCompile
{
class TotalReturnChart : WealthScript
{ 
private StrategyParameter FastEMA_RS;
private StrategyParameter SlowEMA_RS;

public TotalReturnChart()
{ 
FastEMA_RS = CreateParameter("RS FastEMA", 18, 1, 200, 1);
SlowEMA_RS = CreateParameter("RS SlowEMA", 72, 1, 300, 1); 
}

protected override void Execute() 
{
HideVolume(); 
//---------------------------------
// Get Reference Symbol
//---------------------------------
Bars SymExt = GetExternalSymbol(".SPX", true);
DataSeries RefSym = SymExt.Close;
SymExt = Synchronize (SymExt);
RefSym = Synchronize (RefSym);

//-----------------------------------------------------------
// Plot Pane with Symbol and Reference starting at 100 Offset
//-----------------------------------------------------------
DataSeries SymOff = new DataSeries(Bars, Bars.Symbol); 
DataSeries RefSymOff = new DataSeries(Bars, SymExt.Symbol);
DataSeries Line100 = new DataSeries(Bars, " ");
SymOff[0] = 100;
RefSymOff[0] =100;
Line100[0] = 100;
for ( int bar = 1; bar < Bars.Count; bar++ )
{
SymOff[bar] = SymOff[bar-1] * 
(1 + (Close[bar] - Close[bar-1]) / Close[bar-1]);
RefSymOff[bar] = RefSymOff[bar-1] *
(1 + (RefSym[bar] - RefSym[bar-1]) / RefSym[bar-1]);
Line100[bar] = 100;
} 
ChartPane Pane2Sym = CreatePane(1200, true, true); 
PlotSeries(Pane2Sym, SymOff, Color.Red, LineStyle.Solid, 2);
PlotSeries(Pane2Sym, RefSymOff, Color.DarkGreen, LineStyle.Solid, 2);
PlotSeries(Pane2Sym, Line100, Color.Black, LineStyle.Solid, 2);

//------------------------------------------------
// Create Relative Strength Pane with Offset of 10
//------------------------------------------------ 
int Period_FastEMA = FastEMA_RS.ValueInt;
int Period_SlowEMA = SlowEMA_RS.ValueInt;

DataSeries RS = new DataSeries(Bars, "Relative Strength"); 
DataSeries Line10 = new DataSeries(Bars, " ");
RS[0] = 10;
Line10[0] = 10;
for ( int bar = 1; bar < Bars.Count; bar++ )
{
RS[bar] = 10*SymOff[bar]/RefSymOff[bar];
Line10[bar] = 10;
} 
DataSeries RS_FastEMA = EMA.Series(RS, Period_FastEMA, 
EMACalculation.Modern);
DataSeries RS_SlowEMA = EMA.Series(RS, Period_SlowEMA, 
EMACalculation.Modern);
RS_FastEMA.Description = "EMA(RS," +Period_FastEMA.ToString() +")" ;
RS_SlowEMA.Description = "EMA(RS," +Period_SlowEMA.ToString() +")" ;

ChartPane ChartRS = CreatePane(1200, true, true);
PlotSeries(ChartRS, RS, Color.Blue, LineStyle.Solid, 2);
PlotSeries(ChartRS, RS_FastEMA, Color.Green, LineStyle.Solid, 2);
PlotSeries(ChartRS, RS_SlowEMA, Color.Red, LineStyle.Solid, 2);
PlotSeries(ChartRS, Line10, Color.Black, LineStyle.Solid, 2);

for(int bar = 100; bar < Bars.Count; bar++) 
{
if (IsLastPositionActive)
{ 
if (CrossUnder(bar, RS_FastEMA, RS_SlowEMA))
SellAtMarket(bar + 1, LastPosition);
}
else
{
if (CrossOver(bar, RS_FastEMA, RS_SlowEMA))
BuyAtMarket(bar + 1);
}
}

}

}
}  [/code]