Percentile - Wealth Lab Forum

maninjapan

#1

12/21/2009 11:02 AM

Need some help again, I would like to write a rule where IT buys when todays close is equal to /less than the 50th percentile of the past 10 days range....

Not sure about the percentile function bit though.....

Cone

#2

12/21/2009 11:44 AM

I can help with this if I knew exactly what a 50th percentile price meant with respect to a 10-day range. Can you give an example, please?

maninjapan

#3

12/21/2009 12:37 PM

Take all of the last 10 trading days' closes, rank them high to low and then today's should fall in the bottom 50% of that ranking.
Im just trying to figure out this concept as a trade filter, apologies if it was a bit vague.

Cone

#4

12/21/2009 1:05 PM

I don't see what that has to do with the past 10 days' range, but here's something to work with.

1. Close WLP/D
2. Download and unzip ALGLIB into the installation folder. (More info on ALGLIB. I compiled this library without any source modification.)
3. Example - a really good one ;)

CODE:
Please log in to see this code.

Interesting note: When Days Back is divisible by 10, the indicator at 50th percentile equals the Median.Series indicator. (Proof left for homework.)

Size:

Color:

I don't see what that has to do with the past 10 days' [b][i]range[/i][/b], but here's something to work with.

1. Close WLP/D
2. [LINK=http://208.84.117.144/ALGLIB.zip]Download and unzip ALGLIB[/LINK] into the installation folder.  [i]([LINK=http://www.alglib.net]More info on ALGLIB[/LINK].  I compiled this library without any source modification.)[/i]
3. Example - a really good one ;)

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

namespace WealthLab.Strategies
{
	public class PercentileOfPriceIndicator : WealthScript
	{
		StrategyParameter _percentile;
		StrategyParameter _daysback;

public PercentileOfPriceIndicator()
		{
			_percentile = CreateParameter("Percentile", 50, 2, 100, 2);
			_daysback = CreateParameter("Days Back", 10, 3, 50, 1);
		}

protected override void Execute()
		{	
			double percentile = _percentile.ValueInt / 100d;
			int n = _daysback.ValueInt;			
			double retval = 0d;		// declare a double to pass as the ref return value parameter
			
			// Create nth Percentile of Price indicator
			DataSeries pctile = new DataSeries(Bars, percentile * 100 + "th Percentile");
			
			for (int bar = n; bar < Bars.Count; bar++)
			{
				double[] x = new double[n];
				for (int j = 0; j < n; j++)
				{
					x[j] = Close[bar - j];
				}
				alglib.descriptivestatistics.calculatepercentile(x, n, percentile, ref retval);
				pctile[bar] = retval;
			}
			PlotSeries(PricePane, pctile, Color.Blue, LineStyle.Solid, 1);
		}
		
		// ... and just use pctile like any other indicator :)
	}
}[/CODE]

Interesting note: When [i]Days Back[/i] is divisible by 10, the indicator at 50th percentile equals the Median.Series indicator.  (Proof left for homework.)

maninjapan

#5

12/21/2009 1:51 PM

Thanks for that Cone, I think it should have been period, not range....

maninjapan

#6

1/13/2010 2:14 PM

Cone, Took me a while to get back to this but I did, added the following to check it. Thanks again though. just what I needed.

CODE:
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maninjapan

#7

1/14/2010 12:25 PM

Cone, Im trying to add multiple Percentiles. Below is my attempt at adding a second Percentile to the code above. The following code compiles correctly but comes back with a runtime error when I attempt to run it.

CODE:
Please log in to see this code.

Size:

Color:

Cone, Im trying to add multiple Percentiles. Below is my attempt at adding a second Percentile to the code above. The following code compiles correctly but comes back with a runtime error when I attempt to run it.

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

namespace WealthLab.Strategies
{	
	public class PercentileOfPriceIndicator : WealthScript
	{	
		StrategyParameter _percentile;	
		StrategyParameter _daysback;
		StrategyParameter _Spercentile;	
		StrategyParameter _Sdaysback;
	
		
		public PercentileOfPriceIndicator()	
		{		
			_percentile = CreateParameter("Long Percentile", 50, 50, 60, 2);	
			_daysback = CreateParameter("Long Days Back", 200, 150, 250, 50);	
			_percentile = CreateParameter("Short Percentile", 10, 20, 20, 10);	
			_daysback = CreateParameter("Short Days Back", 15, 15, 25, 5);
		}	
				
		
		
		protected override void Execute()
		{			
			double percentile = _percentile.ValueInt / 100d;	
			double Spercentile = _Spercentile.ValueInt/100d;
			int n = _daysback.ValueInt;	
			int Sn = _Sdaysback.ValueInt;
			double retval = 0d;		// declare a double to pass as the ref return value parameter
			double Sretval = 0d;

// Create nth Percentile of Price indicator		
			DataSeries pctile = new DataSeries(Bars, percentile * 100 + "th Percentile");	
			DataSeries Spctile = new DataSeries(Bars, Spercentile * 100 + "th S_Percentile");

for (int bar = n; bar < Bars.Count; bar++)	
			{		
				double[] x = new double[n];	
				
				for (int j = 0; j < n; j++)		
				{				
					x[j] = Close[bar - j];
						
				}
			
			
				alglib.descriptivestatistics.calculatepercentile(x, n, percentile, ref retval);	
				pctile[bar] = retval;
			
			}
						
			for (int bar = Sn; bar < Bars.Count; bar++)	
			{		
				double[] Sx = new double[Sn];	
				
				for (int Sj = 0; Sj <Sn; Sj++)		
				{				
					Sx[Sj] = Close[bar - Sj];
						
				}
				alglib.descriptivestatistics.calculatepercentile(Sx, Sn, Spercentile, ref Sretval);	
				Spctile[bar] = Sretval;	
			}
			
			PlotSeries(PricePane, pctile, Color.Blue, LineStyle.Solid, 1);
			PlotSeries(PricePane, Spctile, Color.Red, LineStyle.Solid, 1);
	
				
		}			
		// ... and just use pctile like any other indicator :)

}
	
}
[/CODE]

Cone

#8

1/14/2010 1:27 PM

My script was a demonstration of the capability. If you want to use it as an indicator that you call over and over, you should make a proper indicator out of it, or at least call it as a function like this - (I probably should have done this the first time).

CODE:
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maninjapan

#9

1/15/2010 3:09 AM

Thanks Cone, works a charm!!

sedelstein

#10

1/31/2015 4:44 PM

fwiw I had a need for this calculation as well

I didn't care to use alglib. Got that sandboxing issue again whenever I download a dll from the internet (and I've forgotten how to deal with it. suggestions welcomed)

Here is code that will duplicate Excels Percentile function

CODE:
Please log in to see this code.

Any chance of adding this to the Community Indicators?

Eugene

#11

1/31/2015 5:15 PM

QUOTE:
Any chance of adding this to the Community Indicators?

Percentile is already present there as part of an indicator (DSR.percentile).

sedelstein

#12

1/31/2015 5:25 PM

I was looking in the indicators for something obvious like Percentile. (Percentile Rank is there)

I see DSR but no DSR Percentile

The help function takes you to a website that describes DSR but doesnt seem to indicate how to get the say, 75th percentile of the past 50 closes. It's not clear to me in the documentation. May I ask you to elaborate?

Thanks

p.s Just plotted the DSR, it appears to give you the current bars percentile relative to the last n bars. What I was looking for is not the current percentile but the value of say, 75th percentile of the last n bars starting at the current bar.

I think it is a different indicator.

Eugene

#13

2/1/2015 12:46 AM

"DSR.percentile" is not an indicator and has no need to be documented. It's a helper function the DSR is powered by. It calculates percentile of a sorted data set. The code is open source if you wish to learn more on how to use it: Community Indicators - Download Project Source Code. It's declared as public for ease of re-use in custom code. I do not claim that it's a solution to your problem.

QUOTE:
Got that sandboxing issue again whenever I download a dll from the internet (and I've forgotten how to deal with it. suggestions welcomed)

1. Open Google, type in "site:wealth-lab.com/Forum/Posts/" nearby your search query (e.g. "sandboxing").
2. Bookmark topics that were useful for you (Topic > Options button > Bookmark) to access them from "My Dashboard" later.

Hope this helps.