Up/Down and Intensity Day Summation Rank (UDIDSRI Indicator)

07nioe

#1

4/25/2015 8:54 AM

Hi,
I would like to compute an indicator which works as follows:
1) calculate ROC(close,1)
2) If ROC(close,1) >0 write 1 in a new DataSeries
3) If ROC(close,1)<=0 write -1 in the new DataSeries above
4) Sum the movements for the last 20 days
5) Calculate the % rank of today’s sum, compared to the last 50 days of sums.

The original idea you will find here:
http://qusma.com/2012/10/14/the-predictive-value-of-the-number-of-recent-updown-days-udidsri/
Thank you for help.

Best
Niels

Eugene

#2

4/25/2015 10:07 AM

Niels,

Not sure what I'm doing wrong as the end result does not look quite the same as on the website's chart:

CODE:
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Niels,

Not sure what I'm doing wrong as the end result does not look quite the same as on the website's chart:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class UDIDSRI_Indicator : WealthScript
	{
		private StrategyParameter fastPeriod;
		private StrategyParameter slowPeriod;
		private StrategyParameter pctRankPeriod;

public UDIDSRI_Indicator()
		{
			fastPeriod = CreateParameter("Fast Period", 20, 10, 40, 10);
			slowPeriod = CreateParameter("Slow Period", 50, 50, 200, 10);
			pctRankPeriod = CreateParameter("% Rank Period", 252, 50, 300, 10);
		}
		
		protected override void Execute()
		{
			int period = fastPeriod.ValueInt;
			int period50 = slowPeriod.ValueInt;
			int periodPctRank = pctRankPeriod.ValueInt;
			
			DataSeries diff = Close - (Close>>1);
			DataSeries mov = new DataSeries(Bars,"m1");
			DataSeries movement = new DataSeries(Bars,"m2");
			DataSeries r = DataSeries.Abs( Close / (Close>>1) - 1 );
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if ( diff[bar] > 0 )
					mov[bar] = 1;

if ( diff[bar] < 0 )
					mov[bar] = -1;
				
				movement[bar] = mov[bar] * Math.Pow( (1 + r[bar]), 5 );
			}
			
			DataSeries UDIDSRI_1st = Sum.Series( mov, period ) / Sum.Series( mov, period50 );
			UDIDSRI_1st = PercentRank.Series(UDIDSRI_1st,periodPctRank);
			UDIDSRI_1st.Description = "UDIDSRI (1st iteration)";
			
			DataSeries UDIDSRI_2nd = Sum.Series( movement, period ) / Sum.Series( movement, period50 );
			UDIDSRI_2nd = PercentRank.Series(UDIDSRI_2nd,periodPctRank);
			UDIDSRI_2nd.Description = "UDIDSRI (2nd iteration)";
			
			ChartPane up = CreatePane(30,true,true);
			PlotSeries(up,UDIDSRI_1st,Color.GreenYellow,LineStyle.Solid,2);
			PlotSeries(up,UDIDSRI_2nd,Color.Red,LineStyle.Solid,2);
		}
	}
}[/code]

Carova

#3

4/25/2015 11:00 AM

Is it possible that he is using log returns?

Vince

Eugene

#4

4/26/2015 2:55 AM

Thanks for your suggestion Vince. Probably I'm doing something wrong with log returns but the output is still very different...

CODE:
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Size:

Color:

Thanks for your suggestion Vince. Probably I'm doing something wrong with log returns but the output is still very different...

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class UDIDSRI_Indicator : WealthScript
	{
		private StrategyParameter fastPeriod;
		private StrategyParameter slowPeriod;
		private StrategyParameter pctRankPeriod;

public UDIDSRI_Indicator()
		{
			fastPeriod = CreateParameter("Fast Period", 20, 10, 40, 10);
			slowPeriod = CreateParameter("Slow Period", 50, 50, 200, 10);
			pctRankPeriod = CreateParameter("% Rank Period", 252, 50, 300, 10);
		}
      
		protected override void Execute()
		{
			int period = fastPeriod.ValueInt;
			int period50 = slowPeriod.ValueInt;
			int periodPctRank = pctRankPeriod.ValueInt;
         
			DataSeries diff = Log.Series(Close,10) - (Log.Series(Close,10)>>1);
			DataSeries mov = new DataSeries(Bars,"m1");
			DataSeries movement = new DataSeries(Bars,"m2");
			DataSeries r = DataSeries.Abs( Log.Series(Close,10) / (Log.Series(Close,10)>>1) - 1 );
         
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if ( diff[bar] > 0 )
					mov[bar] = 1;

if ( diff[bar] < 0 )
					mov[bar] = -1;
            
				movement[bar] = mov[bar] * Math.Pow( (1 + r[bar]), 5 );
			}
         
			DataSeries UDIDSRI_1st = Sum.Series( mov, period ) / Sum.Series( mov, period50 );
			UDIDSRI_1st = PercentRank.Series(UDIDSRI_1st,periodPctRank);
			UDIDSRI_1st.Description = "UDIDSRI (1st iteration)";
         
			DataSeries UDIDSRI_2nd = Sum.Series( movement, period ) / Sum.Series( movement, period50 );
			UDIDSRI_2nd = PercentRank.Series(UDIDSRI_2nd,periodPctRank);
			UDIDSRI_2nd.Description = "UDIDSRI (2nd iteration)";
         
			ChartPane up = CreatePane(30,true,true);
			PlotSeries(up,UDIDSRI_1st,Color.GreenYellow,LineStyle.Solid,2);
			PlotSeries(up,UDIDSRI_2nd,Color.Red,LineStyle.Solid,2);
		}
	}
}[/code]

07nioe

#5

4/26/2015 2:09 PM

I think the exact calculation you will find at the bottom of the website. There is a link to an excel sheet in which the calculation can be reconstructed. But I don't know what the adjusted close prices are.

Best
Niels

Eugene

#6

4/27/2015 5:04 AM

Here's version based on the Excel spreadsheet. Still not the same. OK, I leave this up to you.

CODE:
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sedelstein

#7

4/27/2015 8:10 AM

QUOTE:
I think the exact calculation you will find at the bottom of the website. There is a link to an excel sheet in which the calculation can be reconstructed. But I don't know what the adjusted close prices are.

A suggestion:

Adjusted closes are from the Yahoo finance website. It adjusts for splits and dividends. Try inputting these prices into WL and see if that solves the problem

Eugene

#8

4/27/2015 8:38 AM

Thanks for your suggestion. I'm working with adjusted Yahoo! data and it does not solve the discrepancy in the indicator shape.

07nioe

#9

4/27/2015 4:13 PM

My suggestion: power and %Rank periods differ between the code above and the original ones. Thus, put the %Rank period to 50 and choose the Power value between 1 and 5. The author uses the value 5 on his website and 1 in the excel-sheet. In don't know which one is correct.

CODE:
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Size:

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My suggestion: power and %Rank periods differ between the code above and the original ones. Thus, put the %Rank period to 50 and choose the Power value between 1 and 5. The author uses the value 5 on his website and 1 in the excel-sheet. In don't know which one is correct.

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class UDIDSRI_Indicator : WealthScript
	{
		private StrategyParameter fastPeriod;
		private StrategyParameter power;
		private StrategyParameter pctRankPeriod;

public UDIDSRI_Indicator()
		{
			fastPeriod 		= CreateParameter("Fast Period", 20, 10, 40, 10);
			power			= CreateParameter("Power", 1, 1, 5, 4);
			pctRankPeriod 	= CreateParameter("% Rank Period", 50, 50, 300, 10);
		}
      
		protected override void Execute()
		{
			int period			= fastPeriod.ValueInt;
			int pow				= power.ValueInt;
			int periodPctRank	= pctRankPeriod.ValueInt;
         
			DataSeries diff = Close - (Close>>1);
			DataSeries mov = new DataSeries(Bars,"m1");
			DataSeries movement = new DataSeries(Bars,"m2");
			DataSeries r = DataSeries.Abs( Close / (Close>>1) - 1 );
         
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if ( diff[bar] > 0 )
					mov[bar] = 1;

if ( diff[bar] < 0 )
					mov[bar] = -1;
            
				movement[bar] = mov[bar] * Math.Pow( (1 + r[bar]), pow );
			}
         
			DataSeries UDIDSRI_1st = Sum.Series( mov, period );
			UDIDSRI_1st = PercentRank.Series(UDIDSRI_1st,periodPctRank);
			UDIDSRI_1st.Description = "UDIDSRI (1st iteration)";
         
			DataSeries UDIDSRI_2nd = Sum.Series( movement, period );
			UDIDSRI_2nd = PercentRank.Series(UDIDSRI_2nd,periodPctRank);
			UDIDSRI_2nd.Description = "UDIDSRI (2nd iteration)";
         
			ChartPane up = CreatePane(30,true,true);
			PlotSeries(up,UDIDSRI_1st,Color.GreenYellow,LineStyle.Solid,2);
			PlotSeries(up,UDIDSRI_2nd,Color.Red,LineStyle.Solid,2);
		}
	}
}

[/code]