S&C 2013-04 | Low Frequency Trading (McEwan)

Author: Swissi

Creation Date: 6/2/2013 2:32 PM

Wealth Lab » Trading Strategies » S&C 2013-04 | Low Frequency Trading (McEwan)

Swissi

6/2/2013 2:32 PM

I am looking for the code of the Market Breadth formula from Ron McEwan.

TASC 2013-04 | Low Frequency Trading (McEwan)

The formula itself is currently not published for it's rather long and not intended to be used directly. It's part of the MS123 IndexDefinitions library. Update to the latest version of the library using the Extension Manager.

Eugene

6/4/2013 6:04 AM

Just in case you need it, here's the IndexDefinition's complete code:

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Just in case you need it, here's the IndexDefinition's complete code:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Windows.Forms;
using WealthLab.Indicators;
using WealthLab;

namespace WealthLab.IndexDefinitions.MS123
{
    public class LFT: IndexDefinition
    {
        #region Descriptive

// Properties
        public override string Description
        {
            get
            {
                return "This market breadth index was featured in Ron McEwan's article \"Low Frequency Trading\" in April 2013 issue of Stocks & Commodities magazine";
            }
        }

public override string FriendlyName
        {
            get
            {
                return "Low Frequency Trading";
            }
        }

public override string Prefix
        {
            get
            {
                return "LFT";
            }
        }

#endregion

// Fields
        private int period;
        private NumericParameter paramUI;

public LFT()
        {
            this.period = 252;
            this.paramUI = new NumericParameter("Period:", 252m, 0, Int32.MaxValue, 1m, 1m);
        }

#region GUI

public override UserControl ParameterUserInterface
        {
            get
            {
                return this.paramUI;
            }
        }

public override bool NeedsSeparateUIForParameters
        {
            get
            {
                return false;
            }
        }

public override bool SupportsParameters
        {
            get
            {
                return true;
            }
        }

public override void ClearUserInterface()
        {
            this.paramUI.ClearFields();
        }

public override string ParameterString
        {
            get
            {
                this.period = (int)this.paramUI.Value;
                return "Period:" + this.period.ToString();
            }
            set
            {
                if (!string.IsNullOrEmpty(value))
                {
                    string[] array = value.Split(new char[]
			{
				':'
			});
                    if (array != null && array.Length == 2)
                    {
                        int period;
                        int.TryParse(array[1], out period);
                        this.period = period;
                    }
                }
            }
        }

#endregion

public override void SetIndexValues(List<Bars> bars, List<int> barNumbers, DateTime dt, Bars indexToDate)
        {
            if (bars.Count == 0)
                return;

int per = this.period;
            double adv = 0.0;
            double dec = 0.0;
            int total = bars.Count;
            double num = 0;

if (per > 0)
            {
                for (int i = 0; i < bars.Count; i++)
                {
                    Bars b = bars[i];
                    int bar = barNumbers[i];
                    if (b.Close[bar] > b.Close[bar - 1])
                        adv += 1.0;
                    if (b.Close[bar] < b.Close[bar - 1])
                        dec += 1.0;
                }

num = ((adv - dec) / (adv + dec)) * 1000;
                if (double.IsNaN(num) || double.IsInfinity(num))
                    num = 0;
            }

DataSeries dsADChg;
            DataSeries dsSum;
            if (!indexToDate.HasNamedDataSeries)
            {
                indexToDate.RegisterNamedSeries("dsADChg", false);
                indexToDate.RegisterNamedSeries("dsSum", false);
            }
            else
            {
                dsADChg = indexToDate.FindNamedSeries("dsADChg");
                dsSum = indexToDate.FindNamedSeries("dsSum");
                if (dsSum != null && dsADChg != null)
                {
                    //if (dsADChg.Count >= 1)
                        dsADChg[dsADChg.Count - 1] = num;

double sum = Sum.Value(dsADChg.Count - 1, dsADChg, dsADChg.Count - 1);
                    if (double.IsNaN(sum) || double.IsInfinity(sum))
                        sum = 0;

dsSum[dsSum.Count - 1] = sum;

double lft = SMA.Value(dsSum.Count - 1, dsSum, per);
                    indexToDate.Add(dt, lft, lft, lft, lft, sum);
                }
            }
       }
    }
}[/code]

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