DVI Revealed - Wealth Lab Forum

DVI Revealed

Author: DartboardTrader

Creation Date: 7/29/2010 5:04 PM

Wealth Lab » Technical Indicators » DVI Revealed

DartboardTrader

7/29/2010 5:04 PM

David Varadi released his DVI indicator to the public.

http://marketsci.wordpress.com/2010/07/27/css-analytics%E2%80%99-dvi-indicator-revealed/

Also implemented four of the mentioned strategies. Note the Caveats.
This strategy includes a revised PercentRank function, which now matches the Excel PERCENTRANK function.

CODE:
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David Varadi released his DVI indicator to the public.

[link]http://marketsci.wordpress.com/2010/07/27/css-analytics%E2%80%99-dvi-indicator-revealed/[/link]

Also implemented four of the mentioned strategies. Note the Caveats.
This strategy includes a revised PercentRank function, which now matches the Excel PERCENTRANK function.

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

/*
DVI From David Varadi. http://cssanalytics.wordpress.com

Implemented by DartboardTrader.

DVI Indicator output matches MarketSci's Excel Spreadsheet:
	www.marketsci.com/supporting.docs/dvi_calculation.xls
----------------------------------------------------------------------------------
DVI is considered to be a momentum and trend oscilator.
Somewhat biased to intermediate term uptrending markets.
----------------------------------------------------------------------------------
Example systems #1-3 from: http://cssanalytics.wordpress.com/2009/12/13/what-is-the-dvi/
"                       	CAGR (3000  bars) 	CAGR (2009)
Long Only<50 exit>50 		12.30% 				33%
Short Only >50 exit< 50 	9.10% 				6%
Long/Short 50/50 			22.50% 				39%"
----------------------------------------------------------------------------------
Example system #4 from: http://cssanalytics.wordpress.com/2009/12/13/what-is-the-dvi/

"One can construct a simple system that
buys above the 200ma and sells when the DVI>.5,
and short below the 200ma and cover when the DVI<.5."
----------------------------------------------------------------------------------
Caveats:

Use Yahoo Data Source.
Use Symbol ^GSPC to match the spreadsheet DVI calculations.

Use "Scale: Daily", "Data Range: 40 Years" and "Position Size: 48% equity".
Use "Strategy#: 1" and "Max Positions: 2" for some really nice results.

Beware, a higher number of "Max Positions" requires a smaller "Position Size".
Beware of "Trades not included due to insufficient simulated capital" if you
do chose a higher number for "Max Positions".
*/
namespace WealthLab.Strategies
{
	public class CSSAnalytics_DVI : WealthScript
	{
		StrategyParameter r;
		StrategyParameter maxPos;
		
		public CSSAnalytics_DVI()
		{
			r = CreateParameter("Strategy#",1,1,4,1);
			maxPos = CreateParameter("Max Positions",2,1,3,1);
		}
		
		// Implemented by DartboardTrader, and verified with Excel.
		protected DataSeries RoundDown_Series(DataSeries d, int digits)
		{
			DataSeries r = d*0;
			for (int i = 0; i < d.Count; ++i)
			{
				double precision = Math.Pow(10,digits);
				r[i] = Math.Floor( d[i]* precision ) / precision;			
			}
			
			r.Description = "RoundDown("+d.Description+","+digits+")";
			return r;
		}
		
		// Re-implemented by DartboardTrader, and verified with Excel.
		protected DataSeries PercentRank_Series(DataSeries d, int period, int digits)
		{
			DataSeries r = d*0;
			int iperiod = period-1;
			for (int i = iperiod; i < d.Count; ++i)
			{
				double lt = 0;
				double gte = 0;
				
				for (int x = i-iperiod; x < i; ++x) // DO NOT include the current value.
				{
					if (d[x] < d[i])
						++lt;
					else
						++gte;
				}
				// Equivalent to Excel's RoundDown(value,digits).
				double precision = Math.Pow(10,digits);
				r[i] = Math.Floor( (lt / (lt+gte))* precision ) / precision;
			}

r.Description = "PercentRank("+d.Description+","+period+","+digits+")";
			
			return r;
		}
		
		protected DataSeries GreaterThan_Series(DataSeries d, DataSeries comp, double greaterThanWeight, double lessThanWeight)
		{
			DataSeries r = d*0;
			for (int i = 0; i < d.Count; ++i)
			{
				r[i] = d[i] > comp[i] ? greaterThanWeight : lessThanWeight;
			}

r.Description = "GreaterThan("+d.Description+","+comp.Description+","+greaterThanWeight+","+lessThanWeight+")";
			
			return r;
		}
		
		protected DataSeries DVI_Series(DataSeries B)
		{
			DataSeries C = B/SMA.Series(B,3)-1;
			DataSeries D = (SMA.Series(C,5)+(SMA.Series(C,100)/10))/2;
			DataSeries E = SMA.Series(D,5);
			DataSeries F = GreaterThan_Series(B,(B>>1),1,-1);
			DataSeries G = (Sum.Series(F,10)+(Sum.Series(F,100)/10))/2;
			DataSeries H = SMA.Series(G,2);
			// DVI [Magnitude]
			DataSeries I = PercentRank_Series(E,252,3);
			// DVI [Stretch]
			DataSeries J = PercentRank_Series(H,252,3);
			DataSeries DVI = (0.8*I)+(0.2*J);
			
			DVI.Description = "DVI("+B.Description+")";
			
			return DVI;
		}
		protected override void Execute()
		{
			string DVI_Context = "^GSPC";
			string Trade_Context = "SPY";
			
			SetContext(DVI_Context,true);
			// Dervied, first stable bar is: SMA 5 + derived SMA 100 + derived PercentRank 252.
			int FirstDVIBar = Bars.FirstActualBar+1+5+100+252;
			
			DataSeries B = Close;
			DataSeries DVI = DVI_Series(B);
			
			// If you want to compare to the spreadsheet.
			//for(int bar = 0; bar < Bars.Count; bar++)
			//{
			//	PrintDebug(Date[bar]+"\t"+Close[bar]+"\t"+DVI[bar]);
			//}

ChartPane p1 = CreatePane(100,true,true);
			PlotSeries(p1,DVI,Color.Red,LineStyle.Solid,2);
			
		
			SetContext(Trade_Context,true);
			int FirstBar = FirstDVIBar; 
			int FirstTradableBar = Bars.FirstActualBar+1;
			FirstBar = Math.Max(FirstBar,FirstTradableBar);
			
			PrintDebug("Date of FirstDVIBar="+Date[FirstDVIBar]);
			PrintDebug("Date of FirstTradableBar="+Date[FirstTradableBar]);

ChartPane p2 = CreatePane(100,true,true);
			PlotSymbol(p2,Bars,Color.Green,Color.Red);
			int ruleset = r.ValueInt;
			int maxPositions = maxPos.ValueInt;
			
			for (int bar = FirstBar; bar < Bars.Count; bar++)
			{
				//Rules Description
				//----- -------------------------------------------------------
				//r=1	Long Only<50 exit>50 	CAGR(3000 bars)12.30% CAGR(2009)33%
				//r=2	Short Only >50 exit< 50 CAGR(3000 bars)9.10%  CAGR(2009)6%
				//r=3	Long/Short 50/50 		CAGR(3000 bars)22.50% CAGR(2009)39%"
				//r=4   "One can construct a simple system that
				//       buys above the 200ma and sells when the DVI>.5,
				//       and short below the 200ma and cover when the DVI<.5."

bool buy = false;
				bool sell = false;
				bool shrt = false;
				bool cvr = false;
				if (ruleset == 1 || ruleset == 3)
				{
					buy = DVI[bar] < 0.5;
					sell = DVI[bar] > 0.5;
				}
				if (ruleset == 2 || ruleset == 3)
				{
					shrt = DVI[bar] > 0.5;
					cvr = DVI[bar] < 0.5;
				}
				if (ruleset == 4)
				{
					buy = B[bar] > SMA.Value(bar,B,200);
					sell = DVI[bar] > 0.5;
					shrt = B[bar] < SMA.Value(bar,B,200);
					cvr = DVI[bar] < 0.5;
				}
				for (int i = ActivePositions.Count-1; i >= 0; i--)
				{
					Position p = ActivePositions[i];
					if (p.EntrySignal.Contains("|g1"))
					{
						if (sell)
							ExitAtClose(bar,p,"exit");
					}
					if (p.EntrySignal.Contains("|g2"))
					{
						if (cvr)
							ExitAtClose(bar,p,"exit");
					}
				}
				if (ActivePositions.Count < maxPositions)
				{
					if (buy)
					{
						BuyAtClose(bar,"|g1|");
					}
					if (shrt)
					{
						ShortAtClose(bar,"|g2|");
					}
				}
			}
			RestoreContext();
		}
	}
}[/CODE]