NewHighLow definitions
Author: kbellare
Creation Date: 2/12/2014 2:33 AM
profile picture

kbellare

#1
1) Where can i find definitions (formulas and interpretations) of various NewHighLow indicators?

2) How do i access the NewHigh and NewLow series separately, with the lookbar period parametrized? Would like to smoothen them (with a 10-day EMA) before i determine the ratio and optimize the lookback parameter, to get a less choppy indicator.

3) Also, tried plotting plotMomentumRatioToIndex() in 2nd code segment below, but it gives an error - "plotMomentumRatioToIndex doesnt appear in current context". How do i fix it?

CODE:
Please log in to see this code.


CODE:
Please log in to see this code.
profile picture

Eugene

#2
QUOTE:
2) How do i access the NewHigh and NewLow series separately, with the lookbar period parametrized?

For example, using Index-Lab > "New n-bar Highs" and "New n-bar Lows". Appear in MS123 IndexDefinitions library.

QUOTE:
3) Also, tried plotting plotMomentumRatioToIndex() in 2nd code segment below, but it gives an error - "plotMomentumRatioToIndex doesnt appear in current context". How do i fix it?

You've made a typo in the object's name on this line. Should read "nhl".
profile picture

kbellare

#3
Thanks Eugene,

1) I couldn't find the definitions of these functions made available in the Programming Guide on http://www2.wealth-lab.com/WL5Wiki/IndexDefinitionsMain.ashx
- nhl.plotMomentumSMA() - the word Momentum is confusing and not sure how it relates to this class which is about N-day Highs and N-day Lows
- nhl.plotMomentumRatioToIndex() - what does RatioToIndex mean and how does it include Index High-Low ratio

2) I build some breadth indicators (e.g. RSI(14) across S&P100 stocks) but how do i plot this indicator on charts and include in strategies? Didn't see it appear in the indicators menu.

3) Tried optimizing the sample strategy in Programming Guide (code below) but the strategy parameters (lookback and sma) don't appear in the optimization runs. How do i run optimization on these parameters?

CODE:
Please log in to see this code.

profile picture

Eugene

#4
QUOTE:
1) I couldn't find the definitions of these functions made available in the Programming Guide on http://www2.wealth-lab.com/WL5Wiki/IndexDefinitionsMain.ashx


That's right: 1) these are not IndexDefinitions and 2) they are not documented anywhere but in the WealthScript Guide. Robert is the expert here, I've got nothing else to comment on these indicators.

QUOTE:
2) I build some breadth indicators (e.g. RSI(14) across S&P100 stocks) but how do i plot this indicator on charts and include in strategies? Didn't see it appear in the indicators menu.


You built some IndexDefinitions, namely "RSI14"? They will appear in one of the Index-Lab DataSets in the DataSets tree. For more details, check out the User Guide > Index-Lab® > Using Indexes.

QUOTE:
How do i run optimization on these parameters?


Please revisit the WealthScript Programming Guide > Programming Trading Strategies > Strategy Parameters. There's an illustrative tutorial to help you expose the parameters for optimization.
profile picture

kbellare

#5
I'm trying to access something simple: count of NewHighs and NewLows from the NewHighLow object. Since there's no documentation on the NewHighLow object, how do i introspect the object methods/properties to determine this? Could you do introspect and suggest the syntax of the property/method?

Note that .plotNewLows and .plotNewHighs methods work well in the code below, so there must be a property/method to access these counts.
Also, Eugene mentioned Robert in the thread above who seems to be the author of this class - how do we get him comment on this request?

CODE:
Please log in to see this code.

profile picture

Eugene

#6
There are no such properties to return the count of NewHighs/NewLows -- otherwise they would be documented. You can look up all properties using Visual Studio > Object Explorer.

For the solution, scroll up to post #2. Answer has been available for months.
profile picture

giorgos

#7
The plot of NewLows and NewHighs for the last 6 days shows the same value as Friday which should not be the case
profile picture

Eugene

#8
To reiterate what I already summed up in your ticket, the likely reason is the usage of ".NYA" in your script and a problem in the Fidelity data:

http://www.wealth-lab.com/Forum/Posts/-MB-ADV-N-and-MB-DEC-N-symbols-volume-is-coming-zero-35332
profile picture

giorgos

#9
Its not the case the symbols .MB_ADV.N and .MB_DEC.N have the right data but its not getting picked up by NewHighLow nhl = new NewHighLow(this, "NYSE", ".NYA", slider1.ValueInt, slider2.ValueInt )

Also .MB_NH.N and .MB_NH.N have the right data for each day. So it seems to me something other than Fidelity data is not working
profile picture

Eugene

#10
Let's take NewHighLow out of the equation. The problem is with the Fidelity data (.NYA). Please start a new thread with your script (may be a watered down version demonstrating the anomaly) and attach a screenshot of the problem (in PNG/JPG).