Percentage of stocks above Hull MA

Harapa

#1

12/8/2019 9:35 PM

Which format for ' Binary Series' is right?

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or

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In my hand, both formats works.

Here is the real issue.
I want to plot an output showing % stocks above 5/13 TD using Hull MA. I first tried Index lab and Price/Indicator cross over using HullMA as indicator. This didn't produce any output "invalid Indicator Settings". So to work around I created the desired out put in a strategy. Surprisingly this strategy yield an out put similar for two time frames. Any help to fix will be greatly appreciated.
Note the strategy shown here is abbreviated to show the setup for the two output and out put for full length strategy is attached.
Not to confuse the issue,same setup works fine with a list of 35 stocks!

CODE:
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HULLMA.png

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Here is the real issue.
I want to plot an output showing % stocks above 5/13 TD using Hull MA. I first tried Index lab and Price/Indicator cross over using HullMA as indicator. This didn't produce any output "invalid Indicator Settings". So to work around I created the desired out put in a strategy. Surprisingly this strategy yield an out put similar for two time frames. Any help to fix will be greatly appreciated.
Note the strategy shown here is abbreviated to show the  setup for the two output and out put for full length strategy is attached.
Not to confuse the issue,same setup works fine with a list of 35 stocks!
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

protected override void Execute()
		{
			PadBars(25);

{
//Fetch SP100 data and auto synchronize
				Bars OEX101 = GetExternalSymbol("SP100_M30", "AAPL", true);
				.
				Bars OEX200 = GetExternalSymbol("SP100_M30", "XOM", true);

//Fetch Data for other Symbols
				Bars SYM41 = GetExternalSymbol("AF_ID", ".SPX", true);
				Bars SYM42 = GetExternalSymbol("AF_ID", ".OEX", true);
				Bars SYM43 = GetExternalSymbol("AF_ID", ".RUT", true);
				Bars SYM44 = GetExternalSymbol("AF_ID", "VXX", true);
				Bars SYM45 = GetExternalSymbol("Index-Lab 30-Minute", "%HULL05PCT_SP100_M30", true);
				Bars SYM46 = GetExternalSymbol("Index-Lab 30-Minute", "%HULL05PCT_NASDAQ100_M30", true);
				Bars SYM47 = GetExternalSymbol("Index-Lab 30-Minute", "%HULL13PCT_SP100_M30", true);
				Bars SYM48 = GetExternalSymbol("Index-Lab 30-Minute", "%HULL13PCT_NASDAQ100_M30", true);

// Define Periodicity
				double Adj = 103.0;
				
				int prd01 = 5*13;//5TD
				int prd02 = 13*13;//13TD

//MoMo			
				DataSeries HULL = HullMA.Series(Close, prd01);
				HULL.Description = "Trend (5 TD)";

DataSeries HULLA = HullMA.Series(Close, prd02);
				HULLA.Description = "Trend (13 TD)";

//Calculate 1st HMA for all symbols in SP100

DataSeries HNA101 = (HullMA.Series(OEX101.Close, prd01));					
.
				DataSeries HNA200 = (HullMA.Series(OEX200.Close, prd01));

//Create empty data series

DataSeries binSeries101 = new DataSeries(Bars, "Binary Series");
.
				DataSeries binSeries200 = new DataSeries(Bars, "Binary Series");

// Fill the series

for(int bar = 50; bar < Bars.Count; bar++)
				
			{
					if (OEX101.Close[bar] > HNA101[bar]) binSeries101[bar] = 1;
					.
					if (OEX200.Close[bar] > HNA200[bar]) binSeries200[bar] = 1;

}
			
//Sum series for an indicator input			
			DataSeries HMAA = (   binSeries101 + ...+ binSeries200 ) - 50.00;

DataSeries HMAAS   = EMAModern.Series(HMAA, 13) + 0;	
			HMAAS.Description = "Buy_Sell Mode (5TD)";

//2nd Hull MA setup;
//Calculate 2nd HMA for all symbols in SP100

DataSeries HNB101 = (HullMA.Series(OEX101.Close, prd02));
				.
				DataSeries HNB200 = (HullMA.Series(OEX200.Close, prd02));

//Create empty data series
				
				DataSeries binSeriesA101 = new DataSeries(Bars, "Binary Series");
				.
				DataSeries binSeriesA200 = new DataSeries(Bars, "Binary Series");

// Fill the series using 2nd HULL MA

for (int bar = 50; bar < Bars.Count; bar++)

{
					if (OEX101.Close[bar] > HNB101[bar]) binSeriesA101[bar] = 1;
					.
					if (OEX200.Close[bar] > HNB200[bar]) binSeriesA200[bar] = 1;
				}

//Sum series for an indicator

DataSeries HMAB =    (binSeriesA101 ... +binSeriesA200) - 50.00;

DataSeries HMABS = EMAModern.Series(HMAB, 13) + 0;
				HMABS.Description = "Buy_Sell Mode (13TD)";

//Setup For Indicator Plots
			
			
			
			
			
//Access the last date being charted			
			{
			DateTime lastDate = Date[Bars.Count - 1];
			DrawLabel( PricePane, "Last trading date: " + String.Format( "{0:d}", lastDate ), Color.White );
			}
			bool abovePricePane = true;
			HideVolume();

ChartPane sPaneAA = CreatePane(10, true, true);
				DrawText(sPaneAA, "Tech Master", 0, 00, Color.Black, Color.Empty);

PlotSeries(PricePane, HULL, Color.Blue, WealthLab.LineStyle.Solid, 3);
				for (int bar = 50; bar < Bars.Count; bar++)
				{
					if ((HULL[bar] > HULL[bar - 1]) & (HULL[bar - 1] > HULL[bar - 2]))
						SetSeriesBarColor(bar, HULL, Color.Blue);
					else
					if ((HULL[bar] < HULL[bar - 1]) & (HULL[bar - 1] < HULL[bar - 2]))
						SetSeriesBarColor(bar, HULL, Color.Red);
				}
				PlotSeries(PricePane, HULLA, Color.Aqua, WealthLab.LineStyle.Solid, 3);
				for (int bar = 50; bar < Bars.Count; bar++)
				{
					if ((HULLA[bar] > HULLA[bar - 1]) & (HULLA[bar - 1] > HULLA[bar - 2]))
						SetSeriesBarColor(bar, HULLA, Color.Aqua);
					else
					if ((HULLA[bar] < HULLA[bar - 1]) & (HULLA[bar - 1] < HULLA[bar - 2]))
						SetSeriesBarColor(bar, HULLA, Color.Magenta);
				}

//Hull Indicator plots
			
			ChartPane sPane4 = CreatePane( 40,false,true );
			SetPaneMinMax( sPane4, -25, 25 );
			PlotSeries(sPane4, HMAAS, Color.Blue, WealthLab.LineStyle.Histogram, 4 );
			for(int bar = 50; bar < Bars.Count; bar++)
			{
				if ( HMAAS[bar] > 0 )
					SetSeriesBarColor( bar, HMAAS, Color.Blue );
				else if ( HMAAS[bar] < 0 )
					SetSeriesBarColor( bar, HMAAS, Color.Magenta );
			}
			
			
			
			ChartPane sPane6 = CreatePane( 40,false,true );
			SetPaneMinMax( sPane6, -25, 25 );
			PlotSeries(sPane6, HMABS, Color.Blue, WealthLab.LineStyle.Histogram, 4 );
			for(int bar = 50; bar < Bars.Count; bar++)
			{
				if ( HMABS[bar] > 0 )
					SetSeriesBarColor( bar, HMABS, Color.Blue );
				else if ( HMABS[bar] < 0 )
					SetSeriesBarColor( bar, HMABS, Color.Magenta );
			}

}
	  	}
	}
}
[/code]

Cone

#3

12/9/2019 9:38 AM

Here's a template you can use to create that percent indicator and save it to global memory. Then you can just GetGlobal to access it from another script. If you're using Norgate Data for backtests with real historical watchlists, let me know... there's more work to do if that's the case.

CODE:
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Here's a template you can use to create that percent indicator and save it to global memory.  Then you can just GetGlobal to access it from another script.   If you're using Norgate Data for backtests with real historical watchlists, let me know... there's more work to do if that's the case.

[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 HullPercentAboveExample : WealthScript
	{
		
		protected override void Execute()
		{
			ClearDebug();

DataSeries sa = HullPercentAbove(Bars, DataSetSymbols, 5*13, 13*13);
			ChartPane cp = CreatePane(30, true, true);
			PlotSeries(cp, sa, Color.Blue, LineStyle.Histogram, 2);

// Save it to Global Memory to access in another script
			SetGlobal("HullMAPctAbove", sa);

}

public DataSeries HullPercentAbove(Bars bars, IList<string> dataSetSymbols, int per1, int per2)
		{
			DataSeries pctAbove = new DataSeries(bars, "% Above");

foreach (string symbol in dataSetSymbols)
			{
				SetContext(symbol, true);
				pctAbove += SeriesAbove(HullMA.Series(Close, per1), HullMA.Series(Close, per2));
				RestoreContext();
			}
			pctAbove = 100 * pctAbove / dataSetSymbols.Count;
			pctAbove.Description = "HullMA % Above";
			return pctAbove;
		}
	
		public DataSeries SeriesAbove(DataSeries ds1, DataSeries ds2)
		{
			// Returns 1 for bars on which ds1 is greater than ds2, otherwise 0
			// Differs from C.Indicators "SeriesIsAbove" http://www2.wealth-lab.com/WL5Wiki/SeriesIsAbove.ashx
			
			DataSeries result = ds1 - ds2;
			result += DataSeries.Abs(result);
			result /= result;
			return result;
		}
	}
}[/code]

Eugene

#4

12/9/2019 11:07 AM

Re: your real issue aside, here's a tip on forum search. Often times questions have been discussed before and answers can be found as you type by entering a few keywords in the "Search Forum..." text box. Like "Binary" for example:

Transform DataSeries into binary
Kaufman's Adaptive Moving Average Binary Wave
Binary (intermarket) trading strategy

The key is to make a good search query with correct keywords. As "Coding help" was a suboptimal choice of topic title (too general), I've renamed it to "Coding Binary DataSeries".

Harapa

#5

12/9/2019 12:01 PM

QUOTE:
The key is to make a good search query with correct keywords.

Question was posted after exhausting the search option including term like 'Binary'.
None of the above links (which I had looked before posting the original question) offer a clarification or show a line that can help answer the original question. A clear answer will make this conversation a good reference for the future.

Cone,
Thanks for the help, I will give it a try. I am not using Northgate data. Mine is either WL or Fidelity.

Harapa

#6

12/9/2019 2:34 PM

Cone,
How do I invoke "GetGlobal" in a script ?

And here is another solution (inspired by your snippet) that does the job. It can be adapted to any available MA type.

CODE:
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Cone,
How do I invoke "GetGlobal" in a script ?

And here is another solution (inspired by your snippet) that does the job. It can be adapted to any available MA type.

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

namespace WealthLab.Strategies
{
	public class AboveMA : WealthScript
	{

protected override void Execute()
		{
			int prd00 = 13;//periodicity
			int prd01 = 05;//5TD
			int prd02 = 13;//13TD
			int prd03 = 21;//21TD
			
			DataSeries OverMAA = new DataSeries(Bars, String.Concat("Number above HullMA (", prd01, ")"));
			DataSeries OverMAB = new DataSeries(Bars, String.Concat("Number above HullMA (", prd02, ")"));
			DataSeries OverMAC = new DataSeries(Bars, String.Concat("Number above HullMA (", prd03, ")"));

for (int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				SetContext(DataSetSymbols[ds], true);
				for (int bar = prd01*prd00; bar < Bars.Count; bar++)
					if (Bars.Close[bar] > HullMA.Series(Bars.Close, prd01*prd00)[bar])
						OverMAA[bar]++;
				RestoreContext();
			}

for (int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				SetContext(DataSetSymbols[ds], true);
				for (int bar = prd02*prd00; bar < Bars.Count; bar++)
					if (Bars.Close[bar] > HullMA.Series(Bars.Close, prd02*prd00)[bar])
						OverMAB[bar]++;
				RestoreContext();
			}

for (int ds = 0; ds < DataSetSymbols.Count; ds++)
			{
				SetContext(DataSetSymbols[ds], true);
				for (int bar = prd03*prd00; bar < Bars.Count; bar++)
					if (Bars.Close[bar] > HullMA.Series(Bars.Close, prd03*prd00)[bar])
						OverMAC[bar]++;
				RestoreContext();
			}

PadBars(25);
			HideVolume();
			double Adj = 0;//Adjustment

ChartPane omapctPaneA = CreatePane(20, false, true);
			ChartPane omapctPaneB = CreatePane(20, false, true);
			ChartPane omapctPaneC = CreatePane(20, false, true);
			DataSeries PctOverMAA = (OverMAA / DataSetSymbols.Count * 100) - Adj;
			DataSeries PctOverMAB = (OverMAB / DataSetSymbols.Count * 100) - Adj;
			DataSeries PctOverMAC = (OverMAC / DataSetSymbols.Count * 100) - Adj;
			PctOverMAA.Description = String.Concat("% Above (", prd01,"TD ) Hull MA ");
			PctOverMAB.Description = String.Concat("% Above (", prd02,"TD ) Hull MA ");
			PctOverMAC.Description = String.Concat("% Above (", prd03,"TD ) Hull MA ");
			PlotSeriesOscillator(omapctPaneA, PctOverMAA, 50, 50, Color.Green, Color.Red, Color.Blue, LineStyle.Solid, 1);
			PlotSeriesOscillator(omapctPaneB, PctOverMAB, 50, 50, Color.Green, Color.Red, Color.Blue, LineStyle.Solid, 1);
			PlotSeriesOscillator(omapctPaneC, PctOverMAC, 50, 50, Color.Green, Color.Red, Color.Blue, LineStyle.Solid, 1);

}
	}
}[/code]

Eugene

#7

12/9/2019 7:14 PM

QUOTE:
How do I invoke "GetGlobal" in a script ?

You'll find this questions answered in the QuickRef tool.

Harapa

#8

12/9/2019 8:49 PM

Got it. Thanks Eugene.
Though I am good for now using either Cone's or my solution. I remain interested in knowing the correct format for the Binary Series data set creation (my original question). I have used this type of routine many times before without a problem, so I am trying to find a reason for it not functioning as desired this time.

Eugene

#9

12/9/2019 9:12 PM

Could you clarify what is "the Binary Series DataSet"?

Harapa

#10

12/9/2019 9:18 PM

I meant creating a DataSeries using 'Binary Series' as is being done in my 2nd code example.
eg.

CODE:
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Eugene

#11

12/9/2019 9:39 PM

Answering your post #1:

QUOTE:
In my hand, both formats works.

Each DataSeries must have a unique description to prevent caching errors hard to catch in troubleshooting.

P.S. I've been very busy to warn you about posting very different questions (a general question re: DataSeries description and creating a very specific Strategy) to one forum thread, sorry. This is bad for forum management. "One question one topic" works much better. Please follow it.

P.P.S. Upon review, neither the DataSeries description nor "binary DataSeries" are good as the topic's title. The former has a link too weak to the question which is creating the specific code logic. The latter is just plain confusing. You're not creating no "binary DataSeries" at all as we mean it (i.e.see links in post #4). Renamed again.

Harapa

#12

12/11/2019 1:24 PM

Update:
Giving unique description to each data series as shown below fixed the problem in code posted in post #2. So in post #1 correct input format is the 2nd one