Parabolic SAR Active Trader Pro vs Wealth Lab
Author: tastoutdds
Creation Date: 6/30/2009 5:04 PM
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tastoutdds

#1
Active trader pro has settings of acceleration of .02 and max acceleration of .2. When I program in these same values into wealth lab (rules stragegy)I get different results. Can anyone tell me why? For instance when I type in the symbol NVDA active trader pro gave a buy signal on 6/29 but wealth lab when you use the rules coding still says sell.
Thank you.
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Eugene

#2
Welles Wilder's indicator formulas in WL4/5 are coded according to the original book. Do you have the ATP formula to compare?
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tastoutdds

#3
If you open active trader pro and click on help, then click on ATP charting indicators it can be found on page 18. The formula is SARt = SARc + AF *(EP - SARc) where SARt = stop for next bar, SARc = stop for current bar, AF = acceleration factor, and EP = extreme point for current trade. The AF used by Wilder is 0.02. Each time the EP changes, the AF increases by 0.02 up to the maximum acceleration, 0.2 in Wilder's case.
When I put the 0.2 and 0.02 into wealthlab, I get different results than ATP.
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Eugene

#4
I don't have ATP and therefore can't compare, but Wealth-Lab's formula is identical:
Parabolic

The up and down acceleration can be made different in WL5, have you checked this?
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Cone

#5
The Wealth-Lab indicator documentation was lifted by the ATP guys. This is the second ATP indicator that has popped up in a week that certainly does not use the same calculation, but does use the same docs.

Years ago, there was an indicator review between ATP and WLP, some indicators were updated, other with minor differences were left "as is". Wealth-Lab always [almost?] uses the "classical" indicator formulas, and it's not really acceptable to go around changing those so that they match ATP. Likewise, the ATP guys have grown accustomed perhaps to other formula variations. It's hard to make the two roads meet and keep everyone happy.

While what's really required is that the ATP crowd correct their documentation for their implementation, please create a Support Ticket and we'll notify them for you.
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Eugene

#6
QUOTE:
Wealth-Lab always [almost?] uses the "classical" indicator formulas

That's true to the extent that some indicator implementations and documentations found on the net can be misleading. One good example of an incorrect usage outside of Wealth-Lab is exactly a Wilder's indicator, DIPlus (and DIMinus): IncredibleCharts

There, they have "enhanced" Wilder's DI+/DI- indicators so that they started returning fractional values. However, if we take Wilder's text in the original 1978's book, on p.42 ("Daily Work Sheet" handwritten by the author), here's what we'll find:
QUOTE:
"Now we take our -DM14 in Column #11 and divide it by the same TR14 in Column #9 and obtain .36. This is the MINUS DIRECTIONAL INDICATOR (-DI). Again, we either multiply by 100 or simply drop the decimal point and insert 36 in Column #13".

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Cone

#7
I just looked at ATP and a custom indicator formula that match. Wealth-Lab 4 and 5 Parabolic SAR could very well be in error, so I'd appreciate a ticket for us to give this one the attention it deserves.
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StreetSmart

#8
Personally, I find the Parabolic SAR in WLP to be a more useful tool that ATP by virtue of it's ability to tune precisely. ATP just uses a standard set of formulas that is not always the best for each individual equity.
I found that the script on the decelleration had to be changed a little to allow more decimal places, but that was a pretty easy fix (w/eugene's help).
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Cone

#9
Even if WL's indicator is corrected, of course you'll be able to continue to modify its parameters. It's just unclear to me without further investigation if WL's implementation is correct. Indeed there could be a bug, and a Support Ticket will ensure that this topic doesn't get lost.
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StreetSmart

#10
I put in a ticket for this fix. It was quickly deleted by the technician. I'm assuming that was done because it was a duplicate. No explanation was given.
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Eugene

#11
Technicians don't delete tickets. Your ticket is open and assigned to Cone.
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Cone

#12
For future reference, here's some ParabolicSAR code [based on] code from Fundtimer that I translated to C# for the comparison. It appears to me that this version (red dots) matches ATPro, when the default parameter values are used.

CODE:
Please log in to see this code.
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Cone

#13
Code modified above.

I dug into this and ATP appears to use "lead bars" for Parabolic SAR (and maybe other indicators). Consequently, no matter what we do in Wealth-Lab, unless you're looking at an "All Data" chart, you're probably not going to match ATPro since the Parabolic SAR swings will change depending on how (when) the indicator is initialized.

How we're going to handle this
It would be disruptive to Wealth-Lab users already using the current "standard" implementation of Parabolic to change it now. Consequently, we'll drop the implementation above into the Community.Indicators and call it Parabolic2.