Ultimate Oscillator based TEMA shows NaN

Author: karla2010

Creation Date: 6/19/2010 8:35 AM

Wealth Lab » Technical Indicators » Ultimate Oscillator based TEMA shows NaN

karla2010

6/19/2010 8:35 AM

This may be something to do with the fact that TEMA belongs to TASCIndicators and I'm missing the right script to handle it.

So here goes.

I created a Kalman-filtered new set of Bars, then computed the UltimateOscillator from WealthLab.Indicators and UltimateOscillator2 from Community.Indicators. Both oscillators were then run through the TEMA filter from TASC.Indicators.

The TEMA filtered UltimateOscillator plots ok but the TEMA filtered UltimateOscillator2 shows NaN values.

Here's the script, any help is appreciated.

CODE:
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Size:

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This may be something to do with the fact that TEMA belongs to TASCIndicators and I'm missing the right script to handle it.

So here goes.

I created a Kalman-filtered new set of Bars, then computed the UltimateOscillator from WealthLab.Indicators and UltimateOscillator2 from Community.Indicators. Both oscillators were then run through the TEMA filter from TASC.Indicators.

The TEMA filtered UltimateOscillator plots ok but the TEMA filtered UltimateOscillator2 shows NaN values.

Here's the script, any help is appreciated.

[CODE]

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using TASCIndicators;
namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
/* constants */
			
			const int nxfBars = 9;
			const int nBars = 9;//window for rsi uo donchian computation
			
/* dataseries */			
					
			DataSeries kuo = new DataSeries(Bars,"kalman filtered uo");
			DataSeries kuo2 = new DataSeries(Bars,"k filtered uo2");
			DataSeries kxuo = new DataSeries(Bars,"tema on kuo");			
			DataSeries kxuo2 = new DataSeries(Bars,"tema on kuo2");
			
			DataSeries klO = new DataSeries(Bars,"kalman filtered open");
			DataSeries klH = new DataSeries(Bars,"k high");
			DataSeries klL = new DataSeries(Bars,"k low");
			DataSeries klC = new DataSeries(Bars,"k close");

/* create kalman filtered bars */

Bars KL = new Bars("KL",BarScale.Minute,10);

klO = Kalman.Series(Open); 
			klH = Kalman.Series(High); 
			klL = Kalman.Series(Low); 
			klC = Kalman.Series(Close);

for(int ibar = 0 ; ibar < Bars.Count; ibar=ibar+1)
			{
				KL.Add( Bars.Date[ibar], klO[ibar], klH[ibar], klL[ibar], klC[ibar], Bars.Volume[ibar]);
			}

KL = Synchronize( KL ); 
			
/* compute ultimate oscillator both ways */
			
			kuo = UltimateOsc.Series(KL);
			kuo2 = UltimateOsc2.Series(KL,nBars,nBars,nBars);
			
/* compute tema */

kxuo	=	TEMA.Series(kuo,nxfBars,EMACalculation.Modern);
			kxuo2	=	TEMA.Series(kuo2,nxfBars,EMACalculation.Modern);
									
/* paint chart */			
			
			HideVolume();
			
			ChartPane indPane1 = CreatePane(40, true, true);

PlotSeries(indPane1, kxuo, Color.FromArgb(255,255,0,0), WealthLab.LineStyle.Solid, 2);
			PlotSeries(indPane1, kxuo2, Color.FromArgb(255,0,0,255), WealthLab.LineStyle.Solid, 2);
		}
	}
}

[/CODE]

Eugene

6/19/2010 9:23 AM

UltimateOsc2 is the culprit, I'm not sure why it produces NaNs. For now, simply replace your series:

CODE:
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With this:

CODE:
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Later I'll incorporate the check in the code. Thanks for the heads-up.

karla2010

6/19/2010 10:07 AM

Eugene,

Thanks very much. Works like a charm.

I made a small change to your suggestion. Instead of replacing the NaN result with 0.0, I used the previous value which makes for a smoother function.

CODE:
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Cone

6/20/2010 7:51 AM

That's a good observation karla. It wasn't until recently that I started building indicators that way, and I think the "previous value" method should be adopted by all indicator authors. We'll get that changed where required in TASCIndicators.