ITrend (Ehlers Instantaneous Trendline) translation

Carova

#1

1/25/2015 11:14 AM

I am trying to convert my first indicator for the WL4 Code Library and, as might be expected, I am having a problem. Could someone please explain to me what I am doing wrong? Thanks!

Vince

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I am trying to convert my first indicator for the WL4 Code Library and, as might be expected, I am having a problem.  Could someone please explain to me what I am doing wrong?  Thanks!

Vince

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Threading; // Sleep()
using System.Windows.Forms;
using WealthLab;
using WealthLab.Indicators;
using finantic.TL; // WealthScriptTL

namespace WealthLabCompile2
{
	class Strategy : WealthScriptTL
	{
		#region file ChartScript

// start of prolog: This is a comment at the top of each file
		public new void Init(){
			base.Init();
			//optional settings
			UseUpdatedEMA(true);
			SetStdDevCalculation(StdDevCalculation.Population);
		}
		// end of prolog: This is a comment at the top of each file

/*
		ITrend (another INSTANTANEOUS TRENDLINE)

This is Ehlers Instantaneous Trendline from his book, "Cybernetic Analysis for Stocks and Futures". 
		He claims it has ZERO lag.

USAGE:

CREATE A SMOOTHED SERIES
		ITrendSeries( Series:integer; Period:float );

Series - input series 
		Period - length of the smoother 
		if Period=0 then it is set to 39 by default as 
		on p25, Figure 3.5, otherwise period is 
		whatever you want it to be.

LOOK-UP A SMOOTHED VALUE IN "SERIES"

ITrend (bar, Series:integer; Period:float);

bar - the bar in question 
		Series - input series 
		Period - length of the smoother 
		if Period=0 then it is set to 39 by default as 
		on p25, Figure 3.5, otherwise period is 
		whatever you want it to be. 
		*/

//
		// Ehlers Instantaneous Trendline.
		//
		// Ref: Ehlers, Cybernetic Analysis for Stocks and Futures, p16, eq 2.9
		//
		// Ehlers claims that this smoother has ZERO lag.
		//
		// alpha P
		// 0.07 27.57142858
		// 0.05 39.00000000
		//

public int ITrendSeries (int Series, double Period){
			int fnResult = 0;
			int Bar = 0;
			string sName = null;
			double alpha, v0, v1, v2 = 0.0;
			double t1, t2, t3, t4, t5 = 0.0;
			/**  otherwise choose your own period */ 
			if ((Period == 0)) Period = (double)27.57142858;
			/**  otherwise choose your own period */ 
			/** if Period=0 then period := 39; // from Figure 3.5, p25 */ 
			if ((Period < 2)) Period = (double)2;
			/** if Period=0 then period := 39; // from Figure 3.5, p25 */ 
			sName = (string)(((("ITrend(" + GetDescription(Series)) + ",") + FloatToStr(Period)) + ")");
			fnResult = FindNamedSeries(sName);
			if ((fnResult >= 0)) return fnResult;
			fnResult = CreateNamedSeries(sName);
			for (Bar = 0; Bar <= 1; Bar++) GetSeries(fnResult)[Bar] = GetSeries(Series)[Bar];
			alpha = (double)(2 / ((Period + 1)));
			t2 = (double)((alpha * alpha) / 2);
			t1 = (double)(alpha - ((t2 / 2)));
			t3 = (double) -((alpha - ((3 * t2) / 2)));
			t4 = (double)(2 * ((1 - alpha)));
			t5 = (double)( -((1 - alpha)) * ((1 - alpha)));
			v1 = (double)GetSeries(Series)[0];
			v0 = (double)GetSeries(Series)[1];
			for (Bar = 2; Bar <= (Bars.Count - 1); Bar++) {
				v2 = (double)v1;
				v1 = (double)v0;
				v0 = (double)(((((t1 * GetSeries(Series)[Bar]) + (t2 * GetSeries(Series)[(Bar - 1)])) + (t3 * GetSeries(Series)[(Bar - 2)])) + (t4 * v1)) + (t5 * v2));
				SetSeriesValue(Bar, fnResult, v0);
        
			}
			SetDescription(fnResult, sName);
			return fnResult;
    
		}

public double ITrend (int Bar, int Series, double Period){
			double fnResult = 0.0;
			fnResult = GetSeriesValue(Bar, ITrendSeries(Series, Period));
			return fnResult;  
		}

private StrategyParameter slider1;
		public Strategy()
		{
			slider1 = CreateParameter("ITrend_Period",20,2,50,2);
		}

/** This method contains the meat of your script,
    i.e, any statements that are not inside a user defined class or function/procedure. */
		protected override void Execute(){
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}

PlotSeries(PricePane,ITrendSeries(Close,slider1.Value),Color.FromArgb(255,255,0,0),LineStyle.Solid,2);
		
		}

// start of epilog: This is a comment at the end of each file
	} // class Strategy

} // namespace
	// end of epilog

#endregion file ChartScript
[/code]

Eugene

#2

1/25/2015 12:54 PM

Ehlers InstantaneousTrendLine is member of TASCIndicators.

Carova

#3

1/25/2015 1:22 PM

This is a different version from the one in the TASCIndicators. I do believe that he has published at least 6 different versions of this indicator, and they vary dramatically.

Vince

Eugene

#4

1/25/2015 4:05 PM

You are mixing WSTL-generated code (driven by WSTL internally) with pure WealthScript. This is not going to work. We warned about that numerous times on this forum.

Solution:

1. Drop your later addition:

2. Code it in old-fasioned way (WL4) and let WSTL do the translation of the whole script. It'll end up with something like this (non-functioning example):

Please don't ask me about the proper syntax. We no longer support WL4 or WSTL.

Carova

#5

1/25/2015 4:59 PM

OK, I will do that.

I have read a bunch on this portion of the Forum but have missed this point. Does that mean I will need to modify my WL4 scripts rather than edit the C# code directly? Or does it make more sense to attempt to hand translate the code into C# directly and then learn to embed the code modules into the WLP scripts that I will attempt to write? Some guidance is needed here. Thanks!

Vince

Eugene

#6

1/25/2015 5:22 PM

Yes.

Carova

#7

1/27/2015 1:28 PM

Hi All!

Here is my first feeble attempt to convert a WL4 indicator to WLP6.

The WL4 code:

The (almost?) working WLP6 code:

Unfortunately I am getting an error - "error CS0103 @ (125,25): The name "bar' does not exist in the current context"

1) What am I doing wrong?
2) Have I translated it properly?

Thanks!
Vince

Size:

Color:

Hi All!

Here is my first feeble attempt to convert a WL4 indicator to WLP6.

The WL4 code:[code]function ITrendSeries( Series:integer; Period:float ): integer;
begin
   var Bar : integer;
   var sName : string;
   var alpha, v0, v1, v2 : float;
   var t1, t2, t3, t4, t5 : float;

// if period=0 then make period the default from Ehlers book
   // otherwise choose your own period
   if Period=0 then period := 27.57142858; // from Figure 3.4, p24

//if Period=0 then period := 39; // from Figure 3.5, p25

if Period<2 then Period:=2;

sName := 'ITrend(' + GetDescription( Series ) +
            ',' + floatToStr( period ) +
            ')';
   Result := FindNamedSeries( sName );
   if Result >= 0 then Exit;
   Result := CreateNamedSeries( sName );

// fill beginning of series with something other than zero
   for Bar := 0 to 1 do @Result[bar] := @Series[bar];

alpha := 2/(Period+1);
   
   t2 := alpha*alpha/2;
   t1 := alpha-(t2/2);
   t3 := -(alpha-3*t2/2);
   t4 := 2*(1-alpha);
   t5 := -(1-alpha)*(1-alpha);

v1 := @Series[0];
   v0 := @Series[1];

for Bar := 2 to BarCount-1 do
   begin
      v2 := v1;
      v1 := v0;
     
      v0 := t1*@Series[bar] + t2*@Series[bar-1] + t3*@Series[bar-2]
            + t4*v1 + t5*v2;

setSeriesValue( bar, Result, v0 );
   end;

SetDescription( Result, sName );
end;

function ITrend( Bar, Series:integer; Period:float ): float;
begin
   Result := GetSeriesValue( Bar, ITrendSeries( Series, Period ) );
end;[/code]

The (almost?) working WLP6 code:[code]/*
 ITrend
 Ehlers Instantaneous Trendline.

Ref: Ehlers, Cybernetic Analysis for Stocks and Futures, p16, eq 2.9

Ehlers claims that this smoother has ZERO lag.
*/
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
namespace WealthLab.Indicators
{
	//ITrend Indicator class
	public class ITrend : DataSeries
	{  //---*** Public interface ***---
		//Static Series method returns an instance of the indicator
		public static ITrend Series(DataSeries ds, int period)
		{
			//Build description
			string description = "ITrend(" + ds.Description + "," + period + ")";
			//See if it exists in the cache
			if (ds.Cache.ContainsKey(description))
				return (ITrend)ds.Cache[description];
			//Create ITrend, cache it, return it
			ITrend itrend = new ITrend(ds, period, description);
			ds.Cache[description] = itrend;
			return itrend;
		}
		//This static method allows ad-hoc calculation of ITrends (single calc mode)
		public static double Value(int bar, DataSeries ds, int period)
		{
			if (ds.Count < period)
				return 0;
			else
			{
				double sum = 0;
				for(int i = bar; i > bar - period; i--)
					sum += ds[i];
				return sum / period;
			}
		}
		//Constructor
		public ITrend(DataSeries ds, int period, string description)
			: base(ds, description)
		{
			// if period=0 then make period the default from Ehlers book
			// otherwise choose your own period
			if ( period == 0.0 )  
				period = 39; // from Figure 3.5, p25

if ( period < 2 ) 
				period = 2;

//Remember parameters
			_sourceSeries = ds;
			_period = period;
			//Assign first bar that contains indicator data
			FirstValidValue = 3 * period - 1 + ds.FirstValidValue;

//Setup coefficients
			this[0] = ds[0];
			this[1] = ds[1];
			
			double alpha = 2.0d/(period+1.0d);
   
			double t2 = alpha*alpha/2.0d;
			double t1 = alpha-(t2/2.0d);
			double t3 = -(alpha-3.0d*t2/2.0d);
			double t4 = 2.0d*(1.0d-alpha);
			double t5 = -(1.0d-alpha)*(1.0d-alpha);

double v1 = ds[0];
			double v0 = ds[1];
			double v2 = 0;
			
			//Calculate ITrend values
			for (int bar = 2; bar < ds.Count; bar++)
			{
				v2 = v1;
				v1 = v0;
     
				v0 = t1*ds[bar] + t2*ds[bar-1] + t3*ds[bar-2]
					+ t4*v1 + t5*v2;

this[bar] = v0;
			}
		}
		//Calculate a value for a partial bar
		public override void CalculatePartialValue()
		{
			if (_sourceSeries.Count < _period - 1 || _sourceSeries.PartialValue == Double.NaN)
				PartialValue = Double.NaN;
			else
			{
				this[_sourceSeries.Count - 3 * _period + 1] = _sourceSeries[_sourceSeries.Count - 3 * _period + 1];
				this[_sourceSeries.Count - 3 * _period + 2] = _sourceSeries[_sourceSeries.Count - 3 * _period + 2];
			
				double alpha = 2.0d/(_period+1.0d);
   
				double t2 = alpha*alpha/2.0d;
				double t1 = alpha-(t2/2.0d);
				double t3 = -(alpha-3.0d*t2/2.0d);
				double t4 = 2.0d*(1.0d-alpha);
				double t5 = -(1.0d-alpha)*(1.0d-alpha);

double v1 = _sourceSeries[_sourceSeries.Count - 3 * _period + 1];
				double v0 = _sourceSeries[_sourceSeries.Count - 3 * _period + 2];
				double v2 = 0;

for (int bar = _sourceSeries.Count - 3 * _period + 3; bar < _sourceSeries.Count; bar++)
				{
					v2 = v1;
					v1 = v0;
     
					v0 = t1*_sourceSeries[bar] + t2*_sourceSeries[bar-1] + t3*_sourceSeries[bar-2]
						+ t4*v1 + t5*v2;

this[bar] = v0;
				}
				PartialValue = this[bar];
			}  }
		//---*** Private members ***---
		DataSeries _sourceSeries;
		int _period;
	}
	//Helper class that allows SMA to work well in WL Pro
	public class ITrendHelper : IndicatorHelper
	{
		//Return suggested default values
		public override IList<object> ParameterDefaultValues
		{
			get
			{
				return _paramDefaults;
			}
		}
		//Return parameter descriptions
		public override IList<string> ParameterDescriptions
		{
			get
			{
				return _paramNames;
			}
		}

//Return default color
		public override Color DefaultColor
		{
			get
			{
				return Color.Red;
			}
		}
		//Return a reference to supported indicator type
		public override Type IndicatorType
		{
			get
			{
				return typeof(ITrend);
			}
		}
		//Return a description of the indicator
		public override string Description
		{
			get
			{
				return @"This is Ehlers Instantaneous Trendline from his book, 'Cybernetic Analysis for Stocks and Futures'.";
			}
		}
		//Return a URL for more info
		public override string URL
		{
			get
			{
				return @"http://www.forexfactory.com/attachment.php?attachmentid=430132&d=1267541314";
			}
		}
		//Private members
		private static object[] _paramDefaults = { CoreDataSeries.Close, new RangeBoundInt32(20, 2, Int32.MaxValue) };  private static string[] _paramNames = { "Source", "Period" };
	}
}[/code]

Unfortunately I am getting an error - "error CS0103 @ (125,25): The name "bar' does not exist in the current context"

1) What am I doing wrong?
2) Have I translated it properly?

Thanks!
Vince

Eugene

#8

1/27/2015 3:10 PM

It's more like this (on-the-fly edit; I haven't verified it). PartialValue can be omitted, it's optional:

Carova

#9

1/27/2015 4:08 PM

Thanks Eugene!

When you get a chance could you please see if I coded it correctly? I am in the process of getting my C# "legs" working.

Also, how can I submit this to Community Indicators?

Vince

Eugene

#10

1/28/2015 2:00 AM

You have already done so. Thank you for your submission Vince. I'll inspect the code and it will appear in next release of the library if everything is OK.