Calculating a custom daily indicator from intraday data
Author: BigReturns
Creation Date: 2/11/2014 12:17 PM
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BigReturns

#1
Hi Guy...

I was wondering if you could recommend the best way to create a daily indicator based on intra-day data. I've attempted this several times during the past year without success.

Is it better to run the trade strategy in daily mode and get the intra-day data to calculate the custom values
-or-
start the strategy in intra-day and calculate my custom value and then switch to a daily mode to process trades?

Can you show me an example? (lets say we want to create a daily value based on the sum of all the 5min highs for the day)

Much Thanks and keep up the good work!
-Derek

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Cone

#2
I actually wrote an article in Active Trader magazine for a system that did just that called "Trading Hybrid Indicators". You can download the script using the convenient "Strategy Download" feature (found in Wealth-Lab's Open Strategy dialog, Ctrl+O). . It's called ActiveTrader 2011-01 | Trading Hybrid Indicators and has a routine for RSI.

I've also got SMA, StochK, and StochD finished in script form and at one time was planning on creating an indicator pack for it, though the demand never called for it.

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Eugene

#3
QUOTE:
Can you show me an example? (lets say we want to create a daily value based on the sum of all the 5min highs for the day)


Here are some pointers:

QUOTE:
Is it better to run the trade strategy in daily mode and get the intra-day data to calculate the custom values

Intraday / Multi-Time Frame | Accessing Intraday data from Daily
Updating a Daily indicator using Intraday values

QUOTE:
start the strategy in intra-day and calculate my custom value and then switch to a daily mode to process trades?

WealthScript Programming Guide: Multi-Time Frame Analysis > Intraday/Daily
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BigReturns

#4
Thanks. I see if I can get it to work this time.


QUOTE:
Intraday / Multi-Time Frame | Accessing Intraday data from Daily


This is more of what I am trying to accomplish... processing trades on daily basis using a indicator derived from intra-day data.

Looking at this, the example shows a work-around for the synchronize but also says it will only work with a fix number of bars per day. So example using the shift really won't work in the real world since there have been many short days where trading has been stopped or suspended.

Has the sync issue been resolved at this point or should I consider a different work-around?
-BR