AggZ: Another Composite Trend/Mean Reversion Indicator

Author: Eugene

Creation Date: 3/19/2010 11:57 AM

Wealth Lab » Technical Indicators » AggZ: Another Composite Trend/Mean Reversion Indicator

Eugene

3/19/2010 11:57 AM

Today, David Varadi presented a new indicator: AggZ: Another Composite Trend/Mean Reversion Indicator

QUOTE:
AggZ= (-1x( 10-day z-score)+(200-day z-score))/2

where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))

CODE:
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Today, David Varadi presented a new indicator: [LINK=http://cssanalytics.wordpress.com/2010/03/19/aggz-another-composite-trendmean-reversion-indicator/]AggZ: Another Composite Trend/Mean Reversion Indicator[/LINK]

[QUOTE]AggZ= (-1x( 10-day z-score)+(200-day z-score))/2

where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))[/QUOTE]

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

namespace WealthLab.Strategies
{
	public class AggZ_demo : WealthScript
	{
		protected override void Execute()
		{
			DataSeries AggZ = new DataSeries( Close, "AggZ" );
			AggZ.FirstValidValue = 200;
				
			SMA sma10 = SMA.Series( Close, 10 );
			SMA sma200 = SMA.Series( Close, 200 );
			StdDev sd10 = StdDev.Series( Close, 10, StdDevCalculation.Sample );
			StdDev sd200 = StdDev.Series( Close, 200, StdDevCalculation.Sample );
			
			for(int bar = AggZ.FirstValidValue; bar < Bars.Count; bar++)
			{
				double zscore10 = (Close[bar] - sma10[bar]) / sd10[bar];
				double zscore200 = (Close[bar] - sma200[bar]) / sd200[bar];
				double aggz = (-1 * zscore10 + zscore200 ) / 2.0d;
				AggZ[bar] = aggz;
				
				if( bar > AggZ.FirstValidValue )
				{
					if (IsLastPositionActive)
					{
						if( AggZ[bar] < 0 )
							SellAtMarket( bar+1, LastPosition );
					}
					else
					{
						if( AggZ[bar] > 0 )
							BuyAtMarket( bar+1 );
					}
				}
			}
			
			ChartPane pane1 = CreatePane( 30, true, true ); HideVolume();
			PlotSeries( pane1, AggZ, Color.Magenta, LineStyle.Solid, 2 );
		}
	}
}[/CODE]

mikesblack

3/19/2010 1:03 PM

Any ideas on how using ROC vs Price would effect this indicator?

QUOTE:
where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))

e.g.

CODE:
Please log in to see this code.

Eugene

3/19/2010 1:35 PM

In this case, when I replace Bars.Close to ROC(Close,1), it starts firing trades like mad (a 5x increase) and becomes overall loser...

mikesblack

9/2/2010 2:06 PM

CODE:
Please log in to see this code.

Hi
Need help with this indicator. Can you help? Thanks.

mikesblack

9/2/2010 2:37 PM

Disregard. I should have known better. I looked it up using "rules".

This is probably a really stupid question. I was wondering if we always needed to use the Community.Indicators. ...XYZ.Series prefix. Don't know why, but this seems new. It makes sense why. Doing so calls on that dll. library, but for some reason, I don't remember doing this prior.

Thanks.