Hindenburg Omen - Wealth Lab Forum

Cone

#1

8/25/2010 6:12 PM

Since it's getting a lot of airplay recently, I thought it to be interesting to code up the Hindenburg Omen using the Market Sentiment indicators in Wealth-Lab Pro. The script simply highlights the chart when the "omen" occurs.

Important!
The script assumes the chart symbol is the New York Composite Index (.NYA for Fidelity)

CODE:
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Color:

Since it's getting a lot of airplay recently, I thought it to be interesting to code up the [LINK=http://en.wikipedia.org/wiki/Hindenburg_Omen]Hindenburg Omen[/LINK] using the Market Sentiment indicators in Wealth-Lab Pro.  The script simply highlights the chart when the "omen" occurs.

[b]Important! [/b]
The script assumes the chart symbol is the New York Composite Index (.NYA for Fidelity)

[CODE]/*
http://en.wikipedia.org/wiki/Hindenburg_Omen
*/	
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class HindenburgOmen : WealthScript
	{		
		protected override void Execute()
		{	
			// McClellan Oscillator
			EMACalculation md = EMACalculation.Modern;
			DataSeries AD_Diff = GetExternalSymbol( ".MB_ADV.N", true ).Close - GetExternalSymbol( ".MB_DEC.N", true ).Close;
			DataSeries mco = EMA.Series( AD_Diff, 19, md ) - EMA.Series( AD_Diff, 39, md ); 
			mco.Description = "McClellan";
			ChartPane mcoPane = CreatePane( 25, true, true );
			PlotSeries( mcoPane, mco, Color.Blue, LineStyle.Histogram, 2 );
			
			DataSeries nyse_total = GetExternalSymbol(".MB_TV.N", true).Close;
			DataSeries nyse_newHighs = GetExternalSymbol(".MB_NH.N", true).Close;
			DataSeries nyse_newLows = GetExternalSymbol(".MB_NL.N", true).Close;			
			DataSeries totalHighsAndLows = nyse_newHighs + nyse_newLows;			
			DataSeries pctOfTotal = 100 * (totalHighsAndLows/nyse_total);
			pctOfTotal.Description = "Highs + Lows % of total issues";
			
			ChartPane cp = CreatePane(25, true, true);
			PlotSeries(cp, pctOfTotal, Color.Black, LineStyle.Solid, 1);
			DrawHorzLine( cp, 2.2, Color.Red, LineStyle.Solid, 2 );
			
				
			for(int bar = 1; bar < Bars.Count; bar++)
			{				
				bool cond1 = pctOfTotal[bar] > 2.2;				
				bool cond2 = Momentum.Series(Close, 50)[bar] > 0;				
				bool cond3 = mco[bar] < 0;
				bool cond4 = !(nyse_newHighs[bar] > 2 * nyse_newLows[bar]);
												
				if (cond1 && cond2 && cond3 && cond4) 
					SetBackgroundColor(bar, Color.FromArgb(50, Color.Blue));
			}
		}
	}
}[/CODE]

MrHari

#2

1/24/2019 3:58 PM

Thank you Cone!

The above code is a good starting point, but I think it requires few modifications.

The wiki articles referred has this:

QUOTE:
The daily number of NYSE new 52-week highs and the daily number of new 52-week lows are both greater than a threshold (proposed at 2.8%)

52-week highs percentage and 52-week lows percentage -> both of these need to higher than 2.8%. Not the combined. So "cond1" in the code should be applied to to both 52-week high indicator and 52-week low indicator individually.

Eugene

#3

1/24/2019 4:15 PM

QUOTE:
52-week highs percentage and 52-week lows percentage -> both of these need to higher than 2.8%. Not the combined.

Good point, thanks. That's exactly what it says on p.219 of "The Complete Guide to Market Breadth Indicators" (the source for many of MS123 IndexDefinitions). Consequently the code for WLP reads:

CODE:
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Size:

Color:

[quote]52-week highs percentage and 52-week lows percentage -> both of these need to higher than 2.8%. Not the combined. [/quote]
Good point, thanks. That's exactly what it says on p.219 of "The Complete Guide to Market Breadth Indicators" (the source for many of [link=http://www2.wealth-lab.com/WL5WIKI/IndexDefinitionsMain.ashx]MS123 IndexDefinitions[/link]). Consequently the code for WLP reads:

[code]/*
http://en.wikipedia.org/wiki/Hindenburg_Omen
*/   
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class HindenburgOmen : WealthScript
	{
		private StrategyParameter paramThreshold;
		
		public HindenburgOmen()
		{
			paramThreshold = CreateParameter("Threshold", 2.8, 1, 5, 0.2);
		}
		
		protected override void Execute()
		{
			var threshold = paramThreshold.Value;
			
			// McClellan Oscillator
			EMACalculation md = EMACalculation.Modern;
			DataSeries AD_Diff = GetExternalSymbol( ".MB_ADV.N", true ).Close - GetExternalSymbol( ".MB_DEC.N", true ).Close;
			DataSeries mco = EMA.Series( AD_Diff, 19, md ) - EMA.Series( AD_Diff, 39, md ); 
			mco.Description = "McClellan";
			ChartPane mcoPane = CreatePane( 25, true, true );
			PlotSeries( mcoPane, mco, Color.Blue, LineStyle.Histogram, 2 );
         
			DataSeries nyse_total = GetExternalSymbol(".MB_TV.N", true).Close;
			DataSeries nyse_newHighs = GetExternalSymbol(".MB_NH.N", true).Close;
			DataSeries nyse_newLows = GetExternalSymbol(".MB_NL.N", true).Close;         
			DataSeries pctOfHighs = 100 * (nyse_newHighs/nyse_total);
			DataSeries pctOfLows = 100 * (nyse_newLows/nyse_total);
         
			ChartPane cp = CreatePane(25, true, true);
			PlotSeries(cp, pctOfHighs, Color.Blue, LineStyle.Solid, 1);
			PlotSeries(cp, pctOfLows, Color.Red, LineStyle.Solid, 1);
			DrawHorzLine( cp, threshold, Color.Red, LineStyle.Solid, 2 );
            
			for(int bar = 1; bar < Bars.Count; bar++)
			{            
				bool cond1 = (pctOfHighs[bar] > threshold) && (pctOfLows[bar] > threshold);
				bool cond2 = Momentum.Series(Close, 50)[bar] > 0;            
				bool cond3 = mco[bar] < 0;
				bool cond4 = !(nyse_newHighs[bar] > 2 * nyse_newLows[bar]);
                                    
				if (cond1 && cond2 && cond3 && cond4) 
					SetBackgroundColor(bar, Color.FromArgb(50, Color.Blue));
			}
		}
	}
}[/code]

Eugene

#4

1/24/2019 4:23 PM

And for WLD customers who don't have the Fidelity data, the code is below. Prerequisites:

1. Install Market Sentiment static data provider and restart WLD
2. Create the "Market Sentiment" DataSet, check "NYSE"
3. Update it

CODE:
Please log in to see this code.

Size:

Color:

And for WLD customers who don't have the Fidelity data, the code is below. [b]Prerequisites[/b]:

1. Install [link=https://www.wealth-lab.com/Extensions/Details/47]Market Sentiment static data provider[/link] and restart WLD
2. Create the "Market Sentiment" DataSet, check "NYSE"
3. Update it

[code]/*
http://en.wikipedia.org/wiki/Hindenburg_Omen
*/   
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class HindenburgOmen : WealthScript
	{
		private StrategyParameter paramThreshold;
		
		public HindenburgOmen()
		{
			paramThreshold = CreateParameter("Threshold", 2.8, 1, 5, 0.2);
		}
		
		protected override void Execute()
		{
			var threshold = paramThreshold.Value;
			var dsName = "Market Sentiment";
			var adv = GetExternalSymbol(dsName, "NYSE_advn", true );
			var dec = GetExternalSymbol(dsName, "NYSE_decln", true );
			var unch = GetExternalSymbol(dsName, "NYSE_unchn", true);
			var hi = GetExternalSymbol(dsName, "NYSE_newhi", true);
			var lo = GetExternalSymbol(dsName, "NYSE_newlo", true);
			
			// McClellan Oscillator
			EMACalculation md = EMACalculation.Modern;
			DataSeries AD_Diff = adv.Close - dec.Close;
			DataSeries mco = EMA.Series( AD_Diff, 19, md ) - EMA.Series( AD_Diff, 39, md ); 
			mco.Description = "McClellan";
			ChartPane mcoPane = CreatePane( 25, true, true );
			PlotSeries( mcoPane, mco, Color.Blue, LineStyle.Histogram, 2 );
         
			DataSeries nyse_total = adv.Close + dec.Close + unch.Close;
			DataSeries nyse_newHighs = hi.Close;
			DataSeries nyse_newLows = lo.Close;
			DataSeries pctOfHighs = 100 * (nyse_newHighs/nyse_total);
			DataSeries pctOfLows = 100 * (nyse_newLows/nyse_total);
         
			ChartPane cp = CreatePane(25, true, true);
			PlotSeries(cp, pctOfHighs, Color.Blue, LineStyle.Solid, 1);
			PlotSeries(cp, pctOfLows, Color.Red, LineStyle.Solid, 1);
			DrawHorzLine( cp, threshold, Color.Red, LineStyle.Solid, 2 );
            
			for(int bar = 1; bar < Bars.Count; bar++)
			{            
				bool cond1 = (pctOfHighs[bar] > threshold) && (pctOfLows[bar] > threshold);
				bool cond2 = Momentum.Series(Close, 50)[bar] > 0;            
				bool cond3 = mco[bar] < 0;
				bool cond4 = !(nyse_newHighs[bar] > 2 * nyse_newLows[bar]);
                                    
				if (cond1 && cond2 && cond3 && cond4) 
					SetBackgroundColor(bar, Color.FromArgb(50, Color.Blue));
			}
		}
	}
}[/code]

giorgos

#5

1/27/2019 5:36 PM

For what is worth; the sentiment data from the Fidelity source seems to be innacurate

Eugene

#6

1/27/2019 6:39 PM

Interesting but do you have any proof to that?

The alternative "Market Sentiment" provider may be OK while it lasts as the median values across several data sources are reported. The thing is it's no longer maintained. Only 2 out of the initial 9 sources remain. If it breaks someday and we're unable to find a replacement, the only workaround for non-WLP users would be Index-Lab: download the entire data from NYSE (etc) and build the indices themselves!

Eugene

#7

2/27/2020 8:30 AM

The Market Sentiment provider is depreciated. Effective 02/20/2020, MS123 supports the most frequently used market sentiment data through our Wealth-Data provider - the advancing, declining and unchanged issues for AMEX, NASDAQ and NYSE! Here are the symbols:

$AMEX_ADVN (AMEX Advancing Issues)
$AMEX_DECLN (AMEX Declining Issues)
$AMEX_UNCHN (AMEX Unchanged Issues)
$NASDAQ_ADVN (NASDAQ Advancing Issues)
$NASDAQ_DECLN (NASDAQ Declining Issues)
$NASDAQ_UNCHN (NASDAQ Unchanged Issues)
$NYSE_ADVN (NYSE Advancing Issues)
$NYSE_DECLN (NYSE Declining Issues)
$NYSE_UNCHN (NYSE Unchanged Issues)

You can create a W-D DataSet by copying/pasting the symbols or by choosing them from "MS" Classification Group in the New DataSet Wizard > Wealth-Data.

Eugene

#8

3/9/2020 12:01 PM

UPDATE:

Effective 03/09/2020, get more market sentiment data using our Wealth-Data provider - the new highs and lows for AMEX, NASDAQ and NYSE! The new symbols are:

$AMEX_newhi (AMEX New Highs)
$AMEX_newlo (AMEX New Lows)
$NYSE_newhi (NYSE New Highs)
$NYSE_newlo (NYSE New Lows)
$NASDAQ_newhi (NASDAQ New Highs)
$NASDAQ_newlo (NASDAQ New Lows)