Giving back to the community (some new/updated indicators)
Author: avishn
Creation Date: 7/9/2010 7:17 PM
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avishn

#1
Just some new and updated indicators for Comminity.Indicators
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avishn

#2
Percent Rank (corrects Community.Indicators' version, matches MS Excel output, implements PartialValue)
CODE:
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avishn

#3
David Varadi's DV2 (implements PartialValue, important if you trade at market close)
CODE:
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avishn

#4
DV2, bounded version, combines the two indicators above
CODE:
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avishn

#5
David Varadi's DVO ("the mother oscillator"), the idea is published in this article -- http://daveab.com/mr_swing/index.htm

CODE:
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Note: because of complexity of parameters, this implementation has two static methods to create an instance of indicator -- DVO.Series takes string parameters and DVO.Series2 takes array parameters.

DV2 mentioned above is a specific configuration of more generic DVO with parameters "0, 0.5, 0.5, 0" and "0.5, 0.5".

Implements PartialValue.
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Eugene

#6
Great, thank you for the contribution. I'll include it in Community.Indicators in the next update.
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Eugene

#7
...except for the DVO (which requires .NET 3.5 due to its use of LINQ). This one will be added in a future release.
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avishn

#8
Recent post on CSS Analytics http://cssanalytics.wordpress.com/2010/09/08/using-non-parametric-statistics-to-improve-portfolio-optimization/ reminded me that I was planning to share a couple of non-parametric tools...

Spearman Rank Correlation

CODE:
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Requires ALGLIB DLL.
You can also obtain z-score and t-score series to check robustness of correlation.

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avishn

#9
Kendall Tau Rank Correlation

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CPU-intensive. Also allows you to obtain z-score.
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Eugene

#10
Thank you!
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Eugene

#11
"Kendall Tau Rank Correlation" will make it into the next release of Community Indicators but inclusion of "Spearman Rank Correlation" is unlikely. It requires ALGLIB DLL which is not OK to use in commercial applications due to GPL. Sure, Community Indicators is free an open source but Wealth-Lab isn't, and one of our rules of thumb learnt in the school of hard knocks, is "never deal with GPL" (exception: LGPL).
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Eugene

#12
Since the "More Info" link for Kendall Tau-Rank correlation points to Wikipedia, thought I'd share a code snippet illustrating the syntax here:
CODE:
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