VFI indicator - Wealth Lab Forum

thodder

#1

12/30/2011 10:12 AM

Do we have the VFI indicator for WLP 6? I notice references to it in a search, but they all seem to be examples for WL4. Here's the code for WL4: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/libraryview?item=245

I was finally getting around to reading an article in TASC July 2011 on comparing money flow indicators. VFI seemed to be one of the better performers; although it was also designed by the author. I wanted to try it out.

Eugene

#2

12/30/2011 10:35 AM

No, we don't have it coded.

thodder

#3

12/30/2011 12:29 PM

Thanks Eugene.

Eugene

#4

12/30/2011 12:32 PM

Since this is a TASC indicator we might need to put it in our queue for later.

thodder

#5

12/30/2011 12:38 PM

tasc, tasc, (i.e. tsk, tsk) why put off for tomorrow what you could do today? ;-)

No problem. I might give a shot at it for myself. If I get something decent, I'll share.

thodder

#6

12/30/2011 2:21 PM

This is my stab at porting the VFI indicator from WL4. I used it with the sample code for the TASC article "Comparing Seven Money Flow Indicators" in the July 2011 issue.

CODE:
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This is my stab at porting the VFI indicator from WL4.  I used it with the sample code for the TASC article "Comparing Seven Money Flow Indicators" in the July 2011 issue.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;
using Community.Components;
using TASCIndicators;

namespace WealthLab.Strategies
{
	#region VFI indicator
	public class VFI : DataSeries
	{
		public VFI(Bars bars, int period, int emaPeriod, double cutoffConst, double curtailCoeff, string description)
			: base(bars, description)
		{
			// Based on WL4 coding: http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/libraryview?item=245
			
			DataSeries dsInter = new DataSeries(bars, string.Concat("w1_", description));
			
			// 'Typical' is the AveragePriceC.Series in WLP
			DataSeries dsAveragePriceC = AveragePriceC.Series(bars);
			for(int bar = 1; bar < bars.Count; bar++)
			{
				dsInter[bar] = Math.Log(dsAveragePriceC[bar]) - Math.Log(dsAveragePriceC[bar - 1]);
			}
			
			// StdDev over 30-day time period (30 bars)
			dsInter = StdDev.Series(dsInter, 30, WealthLab.Indicators.StdDevCalculation.Sample);
			DataSeries dsCutoff = dsInter * cutoffConst * bars.Close;

// dsAve = Average volume with 1 bar delay
			DataSeries dsAve = SMA.Series(bars.Volume, period) >> 1;
			DataSeries dsMax = dsAve * curtailCoeff;
			
			DataSeries dsMF = dsAveragePriceC - (dsAveragePriceC >> 1);
			DataSeries dsSer = new DataSeries(bars, string.Concat("w2_", description));
			DataSeries dsVFI = new DataSeries(bars, string.Concat("w3_", description));

// Optimized summation over period.
			double PrevVfi = 0.0;
			for(int bar = 0; bar < bars.Count; bar++)
			{
				double Old = 0.0;
				if (bar > period)
					Old = dsSer[bar - period - 1];
				
				double Value = Math.Min(bars.Volume[bar], dsMax[bar]);
				double New = 0.0;
				if ( dsMF[bar] > dsCutoff[bar] )
				{
					New = Value;
				}
				else if ( dsMF[bar] < (-1 * dsCutoff[bar]) )
				{
					New = -1 * Value;
				}
				
				dsSer[bar] = New;
				dsVFI[bar] = PrevVfi - Old + New;
				PrevVfi = dsVFI[bar];
			}
			
			dsVFI /= dsAve;
			
			// Smooth VFI and store in result series
			DataSeries dsEma = EMA.Series(dsVFI, emaPeriod, WealthLab.Indicators.EMACalculation.Modern);
			for(int bar = 0; bar < bars.Count; bar++)
			{
				this[bar] = dsEma[bar];
			}
			
			this.FirstValidValue = period + emaPeriod;

}
		public static VFI Series( Bars bars, int period, int emaPeriod, double cutoffConst, double curtailCoeff )
		{
			string description = string.Concat(new object[] { "VFI(", period.ToString(), ",",emaPeriod.ToString(), ",",cutoffConst.ToString(), ",",curtailCoeff.ToString(), ")" });
			VFI _ds = new VFI( bars, period, emaPeriod, cutoffConst, curtailCoeff, description );
			return _ds ;
		}
	}
	#endregion

public class MyStrategy : WealthScript
	{
		const int DEF_MFPERIOD = 130;
		const int DEF_MABUY = 40;
		const int DEF_MASELL = 30;
		const double DEF_MFBUY = 0.0;
		const double DEF_MFSELL = 0.0;
		const int DEF_XTIME = 42;
		const int DEF_PREV = 7;
		const double DEF_SDCR = 0.0;
		
		StrategyParameter spMfPeriod = null;
		StrategyParameter spMaBuy = null;
		StrategyParameter spMaSell = null;
		
		public MyStrategy()
		{
			spMfPeriod = CreateParameter("MfPeriod", DEF_MFPERIOD, 5, 50, 1);
			spMaBuy = CreateParameter("MaBuy", DEF_MABUY, 5, 150, 5);
			spMaSell = CreateParameter("MaSell", DEF_MASELL, 5, 150, 5);
		}
		
		protected override void Execute()
		{
			int MfPeriod = (spMfPeriod == null ? DEF_MFPERIOD : spMfPeriod.ValueInt);
			int MaBuy = (spMaBuy == null ? DEF_MABUY : spMaBuy.ValueInt);
			int MaSell = (spMaSell == null ? DEF_MASELL : spMaSell.ValueInt);
			double MfBuy = DEF_MFBUY;
			double MfSell = DEF_MFSELL;
			int XTime = DEF_XTIME;
			int Prev = DEF_PREV;
			double Sdcr = DEF_SDCR;
			
			// MFI Calculation
			DataSeries dsVfi = VFI.Series(Bars, MfPeriod, 3, 0.2, 2.5);
			
			DataSeries dsVfiBuyMa = SMA.Series(dsVfi, MaBuy);
			DataSeries dsVfiSellMa = SMA.Series(dsVfi, MaSell);
			
			ChartPane VfiPane = CreatePane(40, false, true);
			PlotSeries(VfiPane, dsVfi, Color.Black, WealthLab.LineStyle.Solid, 2);
			PlotSeries(VfiPane, dsVfiBuyMa, Color.Green, WealthLab.LineStyle.Solid, 2);
			PlotSeries(VfiPane, dsVfiSellMa, Color.Red, WealthLab.LineStyle.Solid, 2);
			DrawHorzLine(VfiPane, MfBuy, Color.DarkGreen, WealthLab.LineStyle.Solid, 1);
			DrawHorzLine(VfiPane, MfSell, Color.DarkRed, WealthLab.LineStyle.Solid, 1);
			
			DataSeries dsMfSd = StdDev.Series(dsVfi, 30, WealthLab.Indicators.StdDevCalculation.Population);

for(int bar = dsVfi.FirstValidValue; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//EXIT
					if ( CrossUnder(bar, dsVfi, dsVfiSellMa) && dsVfi[bar] < MfSell )
					{
						SellAtMarket(bar + 1, Position.AllPositions, "SELLMACROSS");
					}
					else if ( GetBarsSinceEntry(LastPosition, bar) > XTime )
					{
						SellAtMarket(bar + 1, Position.AllPositions, "XTIME");
					}
				}
				else
				{
					//BUY
					if ( CrossOver(bar, dsVfi, dsVfiBuyMa) 
					&& dsVfi[bar] > MfBuy 
					&& (dsVfi[bar] - dsVfi[bar - Prev]) > (Sdcr * dsMfSd[bar] ))
					{
						double StopPrice = Close[bar] + (0.5 * Close[bar] / 100);
						BuyAtStop(bar + 1, StopPrice, "MFI");
					}
				}
			}
			
			Community.Components.Utility u = new Community.Components.Utility(this);
			u.WinLossBackground(1);			
		}
			
		private int GetBarsSinceEntry(Position pos, int bar)
		{
			// Note: LastPosition.BarsHeld meant for Visualizers not strategy.
			return bar - LastPosition.EntryBar + 1;
		}
	}
}[/CODE]

Eugene

#7

12/30/2011 2:42 PM

Thanks Tim. It's now in the hands of our TASC wizard ;)

thodder

#8

12/30/2011 2:48 PM

Good. It needs some fixing. I didn't name some of those DataSeries but I used some standard indicators (StdDev and EMA) and did some DataSeries math. The Bars.Cache may have some bizzare entries as a result that could cause some problems. Oops. I guess it wasn't share ready. ;-)

[CHANGE: Fixed logic above by naming DataSeries using a prefix and the series description.]