Interquartile Range (IQR) as indicator of volatility

Carova

#1

3/9/2019 8:53 PM

Hi Eugene!

I am attempting to create another volatility indicator, the Interquartile Range (https://en.wikipedia.org/wiki/Interquartile_range).

I found the code to do this on StackOverflow (https://stackoverflow.com/questions/14683467/finding-the-first-and-third-quartiles) but I am so ignorant in C# that I am having trouble incorporating it. I used the framework that you provided here (https://www.wealth-lab.com/Forum/Posts/MAD-Median-Absolute-Deviation-as-an-Indicator-of-Volatility-39177) for MAD but it is obvious that I do not know what I am doing. Here is my feeble attempt:

CODE:
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What am I doing wrong? Thanks!

Vince

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Hi Eugene!

I am attempting to create another volatility indicator, the Interquartile Range ([link]https://en.wikipedia.org/wiki/Interquartile_range[/link]).

I found the code to do this on StackOverflow ([link]https://stackoverflow.com/questions/14683467/finding-the-first-and-third-quartiles[/link]) but I am so ignorant in C# that I am having trouble incorporating it.  I used the framework that you provided here ([link]https://www.wealth-lab.com/Forum/Posts/MAD-Median-Absolute-Deviation-as-an-Indicator-of-Volatility-39177[/link]) for MAD but it is obvious that I do not know what I am doing.  Here is my feeble attempt:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;
using System.Linq;   //Must enable "System.Core" in "References..."

namespace WealthLab.Strategies
{
	internal Tuple<double, double, double> Quartiles(double[] afVal)
	{
		int iSize = afVal.Length;
		int iMid = iSize / 2; //this is the mid from a zero based index, eg mid of 7 = 3;

double fQ1 = 0;
		double fQ2 = 0;
		double fQ3 = 0;

if (iSize % 2 == 0)
		{
			//================ EVEN NUMBER OF POINTS: =====================
			//even between low and high point
			fQ2 = (afVal[iMid - 1] + afVal[iMid]) / 2;

int iMidMid = iMid / 2;

//easy split 
			if (iMid % 2 == 0)
			{
				fQ1 = (afVal[iMidMid - 1] + afVal[iMidMid]) / 2;
				fQ3 = (afVal[iMid + iMidMid - 1] + afVal[iMid + iMidMid]) / 2;
			}
			else
			{
				fQ1 = afVal[iMidMid];
				fQ3 = afVal[iMidMid + iMid];
			}
		}
		else if (iSize == 1)
		{
			//================= special case, sorry ================
			fQ1 = afVal[0];
			fQ2 = afVal[0];
			fQ3 = afVal[0];
		}
		else
		{
			//odd number so the median is just the midpoint in the array.
			fQ2 = afVal[iMid];

if ((iSize - 1) % 4 == 0)
			{
				//======================(4n-1) POINTS =========================
				int n = (iSize - 1) / 4;
				fQ1 = (afVal[n - 1] * 0.25) + (afVal[n] * 0.75);
				fQ3 = (afVal[3 * n] * 0.75) + (afVal[3 * n + 1] * 0.25);
			}
			else if ((iSize - 3) % 4 == 0)
			{
				//======================(4n-3) POINTS =========================
				int n = (iSize - 3) / 4;

fQ1 = (afVal[n] * 0.75) + (afVal[n + 1] * 0.25);
				fQ3 = (afVal[3 * n + 1] * 0.25) + (afVal[3 * n + 2] * 0.75);
			}
		}

return new Tuple<double, double, double>(fQ1, fQ2, fQ3);
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			var lookback = 10;
			var ds = Close;
			var dsIQR = new DataSeries(Bars,string.Format("IQR({0})",lookback));
         
			//Based on https://stackoverflow.com/questions/43610304/         
			for(int bar = lookback; bar < Bars.Count; bar++)
			{
				List<double> lst = new List<double>(lookback);
				for(int i = bar; i > bar - lookback; i--)
					lst.Add(ds[i]);
               
				double[] source = lst.ToArray();

Array.Sort(source);

double Q1, Q2, Q3;
				
				Tuple(Q1, Q2, Q3, source);  
					
				dsIQR[bar] = Q3 - Q1;
			}
         
			var cp = CreatePane(30,true,true);
			PlotSeries(cp,dsIQR,Color.Black,LineStyle.Solid,2);
			PlotSeries(cp,ATR.Series(Bars,lookback),Color.Red,LineStyle.Solid,1);
		}
	}
}
[/code]

What am I doing wrong?  Thanks!

Vince

Eugene

#2

3/10/2019 5:35 AM

Hi Vince,

For what it's worth...

CODE:
Please log in to see this code.

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Hi Vince,

For what it's worth...

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.Linq;   //Must enable "System.Core" in "References..."

namespace WealthLab.Strategies
{   
	public class MyStrategy : WealthScript
	{
		Tuple<double, double, double> Quartiles(double[] afVal)
		{
			int iSize = afVal.Length;
			int iMid = iSize / 2; //this is the mid from a zero based index, eg mid of 7 = 3;

double fQ1 = 0;
			double fQ2 = 0;
			double fQ3 = 0;

if (iSize % 2 == 0)
			{
				//================ EVEN NUMBER OF POINTS: =====================
				//even between low and high point
				fQ2 = (afVal[iMid - 1] + afVal[iMid]) / 2;

int iMidMid = iMid / 2;

//easy split 
				if (iMid % 2 == 0)
				{
					fQ1 = (afVal[iMidMid - 1] + afVal[iMidMid]) / 2;
					fQ3 = (afVal[iMid + iMidMid - 1] + afVal[iMid + iMidMid]) / 2;
				}
				else
				{
					fQ1 = afVal[iMidMid];
					fQ3 = afVal[iMidMid + iMid];
				}
			}
			else if (iSize == 1)
			{
				//================= special case, sorry ================
				fQ1 = afVal[0];
				fQ2 = afVal[0];
				fQ3 = afVal[0];
			}
			else
			{
				//odd number so the median is just the midpoint in the array.
				fQ2 = afVal[iMid];

if ((iSize - 1) % 4 == 0)
				{
					//======================(4n-1) POINTS =========================
					int n = (iSize - 1) / 4;
					fQ1 = (afVal[n - 1] * 0.25) + (afVal[n] * 0.75);
					fQ3 = (afVal[3 * n] * 0.75) + (afVal[3 * n + 1] * 0.25);
				}
				else if ((iSize - 3) % 4 == 0)
				{
					//======================(4n-3) POINTS =========================
					int n = (iSize - 3) / 4;

fQ1 = (afVal[n] * 0.75) + (afVal[n + 1] * 0.25);
					fQ3 = (afVal[3 * n + 1] * 0.25) + (afVal[3 * n + 2] * 0.75);
				}
			}

return new Tuple<double, double, double>(fQ1, fQ2, fQ3);
		}

protected override void Execute()
		{
			var lookback = 10;
			var ds = Close;
			var dsIQR = new DataSeries(Bars,string.Format("IQR({0})",lookback));
         
			for(int bar = lookback; bar < Bars.Count; bar++)
			{
				List<double> lst = new List<double>(lookback);
				for(int i = bar; i > bar - lookback; i--)
					lst.Add(ds[i]);
               
				double[] source = lst.ToArray();

Array.Sort(source);

double Q1, Q2, Q3;				
				var t = Quartiles(source);
				Q1 = t.Item1;
				Q2 = t.Item2;
				Q3 = t.Item3;
               
				dsIQR[bar] = Q3 - Q1;
			}
         
			var cp = CreatePane(30,true,true);
			PlotSeries(cp,dsIQR,Color.Black,LineStyle.Solid,2);
			PlotSeries(cp,ATR.Series(Bars,lookback),Color.Red,LineStyle.Solid,1);
		}
	}
}[/code]