Stability of Indicators - Wealth Lab Forum

thodder

#1

9/9/2009 3:23 PM

I found Cone's article on the WL4 site interesting (http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/kbase?id=118). I was wondering if you were considering adding this to the WLP 5 Wiki site.

I converted the WL4 version to WLP 5.4. Since we don't have a data window in WLP 5.4 (that I know of), I used the debug window to spit out the last value for the indicator. This is helpful when comparing runs as the debug window holds the results through multiple runs. I did use an undocumented object, Renderer, so it may break in the future.

I was hoping to access all the indicators on the chart, but this only includes indicators that are plotted by the script. It will not pick up indicators added to the chart through the toolbar. Do you know if there is a way to access those indicators? I wanted to have a script that would print out the value by just adding indicators on the chart so users that didn't know how to code could test their favorite indicator before including it in a rule based script.

Size:

Color:

I found Cone's article on the WL4 site interesting ([LINK]http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/kbase?id=118[/LINK]).  I was wondering if you were considering adding this to the WLP 5 Wiki site.

I converted the WL4 version to WLP 5.4.  Since we don't have a data window in WLP 5.4 (that I know of), I used the debug window to spit out the last value for the indicator.  This is helpful when comparing runs as the debug window holds the results through multiple runs.  I did use an undocumented object, Renderer, so it may break in the future.

I was hoping to access all the indicators on the chart, but this only includes indicators that are plotted by the script.  It will not pick up indicators added to the chart through the toolbar.  Do you know if there is a way to access those indicators?  I wanted to have a script that would print out the value by just adding indicators on the chart so users that didn't know how to code could test their favorite indicator before including it in a rule based script.
[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class IndicatorStability : WealthScript
	{
		protected override void Execute()
		{
			HideVolume();
			ChartPane Pane1 = CreatePane( 100, true, false );
			ChartPane Pane2 = CreatePane( 100, true, false );
			ChartPane Pane3 = CreatePane( 100, true, false );
			ChartPane Pane4 = CreatePane( 100, true, false );
			ChartPane Pane5 = CreatePane( 100, true, false );

DataSeries hEMA = EMA.Series( Close, 20, WealthLab.Indicators.EMACalculation.Modern );
			PlotSeries( Pane1, hEMA, Color.Red, WealthLab.LineStyle.Solid, 3);

DataSeries hMACD = MACD.Series( Close );
			PlotSeries( Pane2, hMACD, Color.Blue, WealthLab.LineStyle.Solid, 3);

DataSeries hRSI = RSI.Series( Close, 20 );
			PlotSeries( Pane3, hRSI, Color.Teal, WealthLab.LineStyle.Solid, 3);

DataSeries hCCI = CCI.Series( Bars, 20 );
			PlotSeries( Pane4, hCCI, Color.Teal, WealthLab.LineStyle.Solid, 3);

DataSeries hSMA = SMA.Series( Close, 20 );
			PlotSeries( Pane5, hSMA, Color.Black, WealthLab.LineStyle.Solid, 3);
			
			// WLP 5.4 addition to provide data window results...
			PrintDebug(string.Format("RESULTS FOR DATA RANGE OF {0} BARS:", Bars.Count));
			foreach(ChartPane Pane in Renderer.Panes)
			{
				// Skip any indicators on the volume pane.
				if (Pane == VolumePane)
					continue;
				
				foreach(PlottedIndicator Indicator in Pane.PlottedIndicators)
				{
					DataSeries ds = Indicator.Series;
					PrintDebug(string.Concat(ds.Description, ":\t", ds[Bars.Count - 1].ToString()));
				}
			}
			PrintDebug("");
		}
	}
}
[/CODE]

thodder

#2

9/9/2009 3:56 PM

The following might be safer code to print the indicator values as Bars.Cache is a documented object; however, I still do not pick up the indicators dropped on the chart.

Eugene

#3

9/9/2009 4:08 PM

Please see the WealthScript Programming Guide, it's already included there - Indicators > Stability of Indicators.

You need to traverse through Bars.Cache.Keys - this is how Analysis Series picks up all the data series internally - including those drag-and-dropped on one's chart of a rule-based strategy.

thodder

#4

9/9/2009 4:35 PM

I read the Programming Guide but I missed the Stability of Indicators section. Thanks for pointing it out.

Bars.Cache is a Dictionary according to intellisense, so Keys is a string and Values contains the DataSeries. On my second post I traverse through Bars.Cache.Values and I still do not get the DataSeries objects that may be dropped on the chart. Perhaps the chart indicators are added after my script runs so I won't be able to see them.

Thanks.

Eugene

#5

9/10/2009 2:17 AM

Tim,

It should work because it's what I did when re-coding the tool for WL5. :)

First you need to loop through all dataseries names:

Next, follow the QuickRef example for Bars.Cache:

1. Create a data series
2. If the key is found (Bars.Cache.ContainsKey), assign the result to the series just created (don't forget to cast it to DataSeries as per the example).

thodder

#6

9/10/2009 8:29 AM

Eugene,

I tried what you suggested, but it still doesn't provide the indicators dropped on the chart. Here is what I have:

If I run a test, I see the following:

RESULTS FOR DATA RANGE OF 21 BARS:
EMA(Close,20,Modern): 12.5005714285714
MACD(Close): -0.104579016959468
RSI(Close,20): 50.8090614886731
CCI(20): 58.8463781885043
SMA(Close,20): 12.473

That is correct. However, if I go to the chart and add 'ADX' and rerun the script, I still see the same results -- no ADX in the list.

I can get the same results as above with the code segment:

Perhaps I missed something.

Size:

Color:

Eugene,

I tried what you suggested, but it still doesn't provide the indicators dropped on the chart.  Here is what I have:
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class IndicatorStability : WealthScript
	{
		protected override void Execute()
		{
			HideVolume();
			ChartPane Pane1 = CreatePane( 100, true, false );
			ChartPane Pane2 = CreatePane( 100, true, false );
			ChartPane Pane3 = CreatePane( 100, true, false );
			ChartPane Pane4 = CreatePane( 100, true, false );
			ChartPane Pane5 = CreatePane( 100, true, false );

DataSeries hEMA = EMA.Series( Close, 20, WealthLab.Indicators.EMACalculation.Modern );
			PlotSeries( Pane1, hEMA, Color.Red, WealthLab.LineStyle.Solid, 3);

DataSeries hMACD = MACD.Series( Close );
			PlotSeries( Pane2, hMACD, Color.Blue, WealthLab.LineStyle.Solid, 3);

DataSeries hRSI = RSI.Series( Close, 20 );
			PlotSeries( Pane3, hRSI, Color.Teal, WealthLab.LineStyle.Solid, 3);

DataSeries hCCI = CCI.Series( Bars, 20 );
			PlotSeries( Pane4, hCCI, Color.Teal, WealthLab.LineStyle.Solid, 3);

DataSeries hSMA = SMA.Series( Close, 20 );
			PlotSeries( Pane5, hSMA, Color.Black, WealthLab.LineStyle.Solid, 3);
			
			// WLP 5.4 addition to provide data window results...
			PrintDebug(string.Format("RESULTS FOR DATA RANGE OF {0} BARS:", Bars.Count));
			List<string> CacheKeys = new List<string>();
			foreach(string key in Bars.Cache.Keys)
			{
				CacheKeys.Add(key);
			}
			DataSeries ds = new DataSeries(Bars, "test");
			foreach(string key in CacheKeys)
			{
				if (Bars.Cache.ContainsKey(key))
				{
					ds = (DataSeries)Bars.Cache[key];
					PrintDebug(string.Concat(ds.Description, ":\t", ds[Bars.Count - 1].ToString()));
				}
			}
			PrintDebug("");
		}
	}
}
[/CODE]

If I run a test, I see the following:

RESULTS FOR DATA RANGE OF 21 BARS:
EMA(Close,20,Modern):	12.5005714285714
MACD(Close):	-0.104579016959468
RSI(Close,20):	50.8090614886731
CCI(20):	58.8463781885043
SMA(Close,20):	12.473

That is correct.  However, if I go to the chart and add 'ADX' and rerun the script, I still see the same results -- no ADX in the list.

I can get the same results as above with the code segment:

[CODE]
	// WLP 5.4 addition to provide data window results...
	PrintDebug(string.Format("RESULTS FOR DATA RANGE OF {0} BARS:", Bars.Count));
	foreach(DataSeries ds in Bars.Cache.Values)
	{
		PrintDebug(string.Concat(ds.Description, ":\t", ds[Bars.Count - 1].ToString()));
	}
	PrintDebug("");
[/CODE]

Perhaps I missed something.

Eugene

#7

9/10/2009 8:51 AM

Well, you're right: the Bars.Cache.Keys.Count is 5 even after dragging and dropping ADX on the chart. However, if you look on the Analysis Series tab, you'll notice that the series dropdown list has an ADX entry for the manually added indicator.

Since this is neither a use case nor a supported method, I think there is a very good reason why the developers made it work for Visualizers and not work in Strategies.

Cone

#8

9/10/2009 11:12 AM

Strategies run and execute before drag and drop indicators are added to the chart, so that's why the cache isn't updated at that point in time. The architect determined that Strategies would never rely on dragged indicators.

thodder

#9

9/10/2009 2:10 PM

Cone confirmed what I suspected after all my tries to view the indicator values.

No problem. Thanks for all your help. I can work with this.

thodder

#10

9/18/2009 11:34 AM

I developed this script to be used in debug mode (i.e. using PrintDebug) to review an entire library for stable indicators. I thought this would be helpful for reviewing the Community.Indicators library as it changes fairly frequently. I developed it for my own use, but I thought I'd post it here in case it is helpful to others.

This script will call the "Series" method of each indicator in the library using the default values specified in its IndicatorHelper class. The script needs to run twice with different range settings: 1) Build first set of results; 2) Build second set of results and generate a report in the debug window of the comparison of the results. The comparison goes on the assumption that the last bar should have the same value no matter what the range is. If the last bar value is not the same, the script will flag the indicator as Stable = FALSE.

There were a lot of Stable = FALSE on my first test with the values differing by an extremely small amount. I determined that I wanted to set a tolerance so values that were off by a very small amount would not be flagged as FALSE. The parameter "Tolerance Exp" can be used to adjust this amount. A -4 will set a tolerance value of 0.0001 -- which will be treated as 0.01% difference. If the difference between two backtests with different ranges is less the 0.0001 then the values will be considered equal. A tolerance of -5 will be 0.00001 (smaller difference allowed) which may result in more Stable = FALSE.

Obviously some indicators will always fail this test, but could still be stable. Any indicator that returns a bar value will almost always fail this test as the bar index will change for each range.

Sometimes the default period for an indicator is large. This may cause an error running the Series method with a period larger than the data range specified for the test. An error will cause the indicator to be dropped from the comparison. I've found that I need at least 60 bars for "WealthLab.Indicators" and 255 bars for "Community.Indicators" or some indicators will be dropped.

The report in the debug window is difficult to read. It is designed to copy all the contents and paste into a spreadsheet (I use Excel). This makes it easier to read the results and filter it as you wish.

For my test, the script is set to scan the "WealthLab.Indicators" library for review. My test was done with 60 and 70 bars.

There were a few indicators that appeared to be unstable which were not specified in help: AccumDist, ADXR, KST, Parabolic. Should these be considered unstable or are there reasons for the difference?

Size:

Color:

I developed this script to be used in debug mode (i.e. using PrintDebug) to review an entire library for stable indicators.  I thought this would be helpful for reviewing the Community.Indicators library as it changes fairly frequently.  I developed it for my own use, but I thought I'd post it here in case it is helpful to others.

This script will call the "Series" method of each indicator in the library using the default values specified in its IndicatorHelper class.  The script needs to run twice with different range settings:  1)  Build first set of results; 2)  Build second set of results and generate a report in the debug window of the comparison of the results.  The comparison goes on the assumption that the last bar should have the same value no matter what the range is.  If the last bar value is not the same, the script will flag the indicator as Stable = FALSE.

There were a lot of Stable = FALSE on my first test with the values differing by an extremely small amount.  I determined that I wanted to set a tolerance so values that were off by a very small amount would not be flagged as FALSE.  The parameter "Tolerance Exp" can be used to adjust this amount.  A -4 will set a tolerance value of 0.0001 -- which will be treated as 0.01% difference.  If the difference between two backtests with different ranges is less the 0.0001 then the values will be considered equal.  A tolerance of -5 will be 0.00001 (smaller difference allowed) which may result in more Stable = FALSE.

Obviously some indicators will always fail this test, but could still be stable.  Any indicator that returns a bar value will almost always fail this test as the bar index will change for each range.

Sometimes the default period for an indicator is large.  This may cause an error running the Series method with a period larger than the data range specified for the test.  An error will cause the indicator to be dropped from the comparison.  I've found that I need at least 60 bars for "WealthLab.Indicators" and 255 bars for "Community.Indicators" or some indicators will be dropped.

The report in the debug window is difficult to read.  It is designed to copy all the contents and paste into a spreadsheet (I use Excel).  This makes it easier to read the results and filter it as you wish.

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

namespace WealthLab.Strategies
{
	public class IndicatorStability : WealthScript
	{
		private SortedList<string, double> _LastRun = null;
		private int _LastRunBarCount = 0;

private StrategyParameter _ParamToleranceExp;

public IndicatorStability()
		{
			_ParamToleranceExp = CreateParameter("Tolerance Exp", -7, -10, -4, 1);
		}

protected override void Execute()
		{
			ClearDebug();

HideVolume();

Assembly LoadedAssembly = Assembly.Load("WealthLab.Indicators");

System.Type[] ExistingTypes = LoadedAssembly.GetTypes();

SortedList<string, double> ThisRun = new SortedList<string, double>();
			SortedList<string, DataSeries> MyCache = new SortedList<string, DataSeries>();

foreach (Type type in ExistingTypes)
			{
				if (!type.IsClass)
					continue;

if (type.BaseType != typeof(IndicatorHelper))
					continue;

// Create instance of the Indicator's IndicatorHelper...
				IndicatorHelper helper = Activator.CreateInstance(type) as IndicatorHelper;

List<object> InvokeArgs = new List<object>();

// Build the default parameters for calling "Series"...
				foreach (object param in helper.ParameterDefaultValues)
				{
					if (param is RangeBoundInt32)
					{
						InvokeArgs.Add((param as RangeBoundInt32).Value);
					}
					else if (param is RangeBoundDouble)
					{
						InvokeArgs.Add((param as RangeBoundDouble).Value);
					}
					else if (param is BarDataType || param is CoreDataSeries)
					{
						PropertyInfo p = GetType().GetProperty(param.ToString());
						object value = p.GetValue(this, null);
						InvokeArgs.Add(value);
					}
					else
					{
						InvokeArgs.Add(param);
					}
				}
				
				try
				{

// Call indicator's Series method to create the DataSeries...
					object result = helper.IndicatorType.InvokeMember("Series", BindingFlags.InvokeMethod, null, null, InvokeArgs.ToArray());

// If successful, hold results...
					if (result is DataSeries)
					{
						DataSeries ds = result as DataSeries;
						ThisRun[helper.IndicatorType.Name] = ds[Bars.Count - 1];
						MyCache[helper.IndicatorType.Name] = ds;
					}
				}
				catch(Exception ex)
				{
					PrintDebug(string.Format("Indicator '{0}' dropped due to error: {1}", helper.IndicatorType.Name, ex.Message));
				}
			}

// On second pass, we want to report each indicator's results.
			if (_LastRun != null && _LastRunBarCount != Bars.Count)
			{
				// Calculate our tolerance for equals based on the parameter.
				double Tolerance = Math.Pow(10.0, _ParamToleranceExp.Value);

PrintDebug(string.Format("Indicator\tDescription\tStable\tDifference\t{0} Bars\t{1} Bars", _LastRunBarCount, Bars.Count));
				foreach (KeyValuePair<string, double> LastRun in _LastRun)
				{
					DataSeries ThisDs = null;
					double ThisValue;
					if (ThisRun.TryGetValue(LastRun.Key, out ThisValue) && MyCache.TryGetValue(LastRun.Key, out ThisDs))
					{
						StringBuilder sb = new StringBuilder(200);
						sb.Append(LastRun.Key);
						sb.Append('\t');
						sb.Append(ThisDs.Description);
						sb.Append('\t');
						sb.Append(IsDoubleEqual(LastRun.Value, ThisValue, Tolerance) ? "TRUE" : "FALSE");
						sb.Append('\t');

double Difference = LastRun.Value - ThisValue;
						sb.Append(Difference.ToString());

sb.Append('\t');
						sb.Append(LastRun.Value.ToString());
						sb.Append('\t');
						sb.Append(ThisValue.ToString());

PrintDebug(sb.ToString());
					}
				}
				PrintDebug("");
			}
			else
			{
				PrintDebug("Base line complete.  Run again with a different range for comparison.");
			}

// Hold results for this backtest for next pass.
			_LastRun = ThisRun;
			_LastRunBarCount = Bars.Count;
		}

private bool IsDoubleEqual(double d1, double d2, double tolerance)
		{
			if (d1 == d2) return true;

// From: http://stackoverflow.com/questions/17333/most-effective-way-for-float-and-double-comparison
			double absdiff = Math.Abs(d1 - d2);
			if (absdiff < double.Epsilon)
				return true;

// If the percent different is less than tolerance, let's assume it is equal.
			if (absdiff / Math.Max(Math.Abs(d1), Math.Abs(d2)) < tolerance) 
				return true;

return false;
		}
	}
}
[/CODE]

For my test, the script is set to scan the "WealthLab.Indicators" library for review.   My test was done with 60 and 70 bars.

There were a few indicators that appeared to be unstable which were not specified in help:  AccumDist, ADXR, KST, Parabolic.  Should these be considered unstable or are there reasons for the difference?

Eugene

#11

9/18/2009 11:44 AM

Hi Tim,

What a great effort. Thank you.

btw, Community.Indicators is somewhat different from WealthLab.Indicators. Unlike WealthLab.Indicators which considers the indicator's [largest] lookback period as its first valid value, the FirstValidValue of an unstable indicator in Community.Indicators is typically set at three times its [largest] lookback period.

A couple of remarks.

Re: IsDoubleEqual - this (or a similar) function is already a member of Community.Components: AlmostEquals
Re: copying to Excel - Community.Components has a static method that will make copying to clipboard and pasting in Excel a breeze

thodder

#12

9/18/2009 12:31 PM

Hi Eugene,

I appreciate your good words.

Do you know the answer to my question below?

I can log this in support if needed.

Eugene

#13

9/18/2009 12:44 PM

KST uses EMA so it's unstable by definition.
ADXR is a derivative of ADX - known as unstable indicator - for its use of WilderMA

I think it makes sense to add them to the list. Thanks for the heads-up.

AccumDist, Parabolic - no idea; however, the latter has again a Wilder connection so...

Cone

#14

9/18/2009 12:54 PM

AccumDist is unstable for a different reason - accumulation is simply based on some starting point.

KST wasn't a Standard Indicator in v4, so that's what it wasn't in the list. But it uses EMAs.

ADXR wasn't a standard indicator when the article was written.

Parabolic certainly qualifies on both counts - initialization at a specific starting point as well as progressive calculations.

I can add these to the WL5 Programming Guide topic. My comments above refer to the KB article at wl4.com. Thanks.

thodder

#15

9/18/2009 1:10 PM

Hi Eugene,

I reviewed Community.Components.AlmostEquals. It is not the same is my IsDoubleEquals.

Method IsDoubleEquals in my script looks at a difference as a percent whereas AlmostEquals is just looking at the difference between the two values.