NRTR_WATR indicator from Wiki

Author: dima-ag

Creation Date: 2/6/2010 11:38 AM

Wealth Lab » Technical Indicators » NRTR_WATR indicator from Wiki

dima-ag

2/6/2010 11:38 AM

NRTR_WATR indicator from Wiki
[LINK]http://www2.wealth-lab.com/WL5WIKI/NRTR_WATR.ashx
[/LINK]
I looked how this code works at IBM Daily.
Began to change parametres and on Lookback 75 and Multiple 5 I were surprised with occurrence of the periods (for example from 08/07/05 to 19/07/05 and similar on stories there are a lot) when NRTR_WATR line every day changes a trend direction. Looked on other stocks - the same result. Displayed for the help HPrice line and LPrice line (code below). It is visible that on the first bar after trend switching, they equal close instead of the maximum (highest) value for the period for Hprice and minimum (lowest) value for the period for LPrice. Attempted in “Calculate the NRTR_WATR Series” replace
LPrice[bar] = bars.Close[bar] on LPrice[bar] = LPrice[bar], and for HPrice - HPrice[bar] =HPrice[bar], but then the trend is not switched.

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NRTR_WATR indicator from Wiki
[LINK]http://www2.wealth-lab.com/WL5WIKI/NRTR_WATR.ashx
[/LINK]
I looked how this code works at IBM Daily.
Began to change parametres and on Lookback 75 and Multiple 5 I were surprised with occurrence of the periods (for example from 08/07/05 to 19/07/05 and similar on stories there are a lot) when NRTR_WATR line every day changes a trend direction. Looked on other stocks - the same result. Displayed for the help HPrice line and LPrice line (code below). It is visible that on the first bar after trend switching, they equal close instead of the maximum (highest) value for the period for Hprice and minimum (lowest) value for the period for LPrice. Attempted in “Calculate the NRTR_WATR Series” replace 
LPrice[bar] = bars.Close[bar]  on LPrice[bar] = LPrice[bar], and for HPrice - HPrice[bar] =HPrice[bar], but then the trend is not switched.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;namespace WealthLab.Strategies
{
	public class NRTR_WATR : DataSeries
	{
		public NRTR_WATR ( Bars bars, int lookback, double multiple ) : base(bars,"NRTR_WATR")
		{
			int Trend = 0;
			double Reverse = 0;			
			DataSeries HPrice = Highest.Series( bars.Close, lookback );
			DataSeries LPrice = Lowest.Series( bars.Close, lookback );
			DataSeries K = WMA.Series( TrueRange.Series( bars ), 75 ) * multiple;
			DataSeries NRTR_WATR = new DataSeries( bars, "NRTR_WATR" );
			
			for(int bar = bars.FirstActualBar; bar < bars.Count; bar++)
			{
				// Calculate the NRTR_WATR Series
				if( Trend >= 0 )
				{
					HPrice[bar] = Math.Max( bars.Close[bar], HPrice[bar] );
					Reverse = HPrice[bar] - K[bar];					
					
					if( bars.Close[bar] <= Reverse )
					{
						Trend = -1;
						LPrice[bar] = bars.Close[bar];
						Reverse = LPrice[bar] + K[bar];
					}
				}
				if( Trend <= 0 )
				{
					LPrice[bar] = Math.Min( bars.Close[bar], LPrice[bar] );
					Reverse = LPrice[bar] + K[bar];
		
					if( bars.Close[bar] >= Reverse )
					{
						Trend = 1;
						HPrice[bar] = bars.Close[bar];
						Reverse = HPrice[bar] - K[bar];
					}
				}
				
				this[bar] = Reverse;
			}
			}	
		
		
		public static NRTR_WATR Series( Bars bars, int lookback, double multiple )
		{
			NRTR_WATR _NRTR_WATR = new NRTR_WATR( bars, lookback, multiple );
			return _NRTR_WATR;
		}
		}	public class Demo : WealthScript
	{
		private StrategyParameter paramLookback;
		private StrategyParameter paramMultiple;		public Demo()
		{
			paramLookback = CreateParameter("Lookback", 75, 5, 125, 10);
			paramMultiple = CreateParameter("Multiple", 5, 1, 12, 2);
		}
		
		protected override void Execute()
		{
			int Lookback = paramLookback.ValueInt;
			double Mult = paramMultiple.Value;
			NRTR_WATR nrtr = new NRTR_WATR( Bars, Lookback, Mult );
			DataSeries HPrice = Highest.Series( Close, 75);
			DataSeries LPrice = Lowest.Series( Close, 75 )	;
			DataSeries K = WMA.Series( TrueRange.Series( Bars ), 75 ) * 5;
			
			// Display the resulting NRTR_WATR data series
			PlotSeries( PricePane, nrtr, Color.Teal, LineStyle.Dotted, 2 );
			PlotSeries( PricePane, HPrice, Color.Red, WealthLab.LineStyle.Dotted, 1 );
			PlotSeries( PricePane, LPrice, Color.Green, WealthLab.LineStyle.Dotted, 1 );
			ChartPane KPane = CreatePane( 40, true, true );
			PlotSeries( KPane, K, Color.Blue, WealthLab.LineStyle.Dotted, 1 );
			HideVolume();
			
			// A simple strategy
			for(int bar = nrtr.FirstValidValue+1; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, Close, nrtr ) )
						SellAtMarket( bar+1, LastPosition, "NRTR Exit" );
				} else 
					if( CrossOver( bar, Close, nrtr ) )
					BuyAtMarket( bar+1, "NRTR Entry" ); 
			}
		} 
	}
}
[/CODE]

Eugene

2/6/2010 11:56 AM

QUOTE:
I looked how this code works at IBM Daily.

How did you manage to do that? I mean, without taking a trial of Wealth-Lab Developer 5? Someone from your IP 195.98.* took a trial as "rfvz" last March but as you understand, it expired last year.

dima-ag

2/6/2010 12:23 PM

And?
This wrong code on your site, not mine.

Eugene

2/6/2010 1:39 PM

A minor code error in NRTR_WATR has been worked out, Community.Indicators and Wiki already updated.

This wrong can be easily fixed as you see - unlike human nature!