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Thanks to being able to search in http://purebytes.com/archives/ the
solution to the problem is to change the variable to:
variable:
FstK(0, data2),
SloK(0, data2);
Sorry for the confusion, but perhaps someone could benefit from the above
discovery.
Barry
----- Original Message -----
From: "Barry Silberman" <barry@xxxxxxxxxxxxxxxxxxxxx>
To: "Wayne Mathews" <wayne@xxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Saturday, November 24, 2001 11:25 AM
Subject: Continued issue of EL and data2
> Thanks Wayne for your expanded analysis of EL with Data2.
>
> A continuing problem seems to still exist when the functions "Xaverage" or
> "Average" use a calculated variable, rather than a simple input like
> "Close" for data2.
>
> Facts:
> 1- data1 is the QQQ for 1 minute
> 2- data2 is the NQZ01.D for 5 minutes
>
> Reprinted below is the following:
> 1- EL code for a showme. It places a dot on the low if a stochastic is
> rising. Included is the commentary used to debug.
> 2- EL code for an indicator. It is plotted based on data2 and places a
> green dot if the 5 min stoch is rising and a red dot if the 5 min
> stochastic is falling. It also shows the commentary used to
debug.
> 3- a print out of the commentary for 11/19/01 at 15:04 pm.
>
>
> You can see the following:
> 1- ShowMe and indicator values agree up to #7 -- calculation of FstK.
> Thereafter the values differ.
> 2- Changing the function from "Xaverage" to "Average" did not solve the
> problem.
>
> Perhaps you or someone else on the list can solve the problem.
>
> Thanks.
>
> Barry Silberman
> ===================================================================
>
> {EL code for ShowMe}
>
> inputs:
> lenStoch_data2(13),
> len2Stoch_data2(3);
>
> variable:
> StochCritLg_Trend2(false),
> FstK(0),
> SloK(0);
>
> Condition1 = Close > Open ;
>
>
> Value51 = Lowest(Low data2, lenStoch_data2);
> Value52 = Highest(High data2, lenStoch_data2) - Value51;
> Value53 = Close data2;
>
> If Value52 > 0 Then
> FstK = (Value53 - Value51) / Value52 * 100
> Else
> FstK = 0;
>
> SloK = XAverage(FstK,len2Stoch_data2);
>
>
> If SloK > SloK[1] then
> StochCritLg_Trend2 = true
> else StochCritLg_Trend2 = false ;
>
> if Condition1 and StochCritLg_Trend2 then
> Plot1(low,"Lentry");
>
>
> Commentary("", newline, newline ,
> "1- Value51=", Value51, newline,
> "2- lenStoch_data2=", lenStoch_data2, newline,
> "3- len2Stoch_data2=", len2Stoch_data2, newline,
> "4- Value52=", Value52, newline,
> "5- Value53=", Value53, newline,
> "6- FstK=", FstK, newline,
> "7- SloK=", SloK, newline,
> "8- SloK[1]=", SloK[1], newline,
> "9- XAverage(FstK,len2Stoch_data2)=",
> XAverage(FstK,len2Stoch_data2), newline,
> "9A- Average(FstK,len2Stoch_data2)=",
> Average(FstK,len2Stoch_data2), newline,
> "10- slok > slok[1]=", slok > slok[1], newline,
> "11- StochCritLg_Trend2=", StochCritLg_Trend2);
>
>
> ===================================================================
> {EL code for indicator}
> {stochastics per Perry Kaufman in "Trading Systems & Methods" pg 136}
>
> Inputs: length(13), length1(3);
> Variable: FstK(0), SloK(0), SloD(0);
>
> Value51 = Lowest(Low, Length);
> Value52 = Highest(High, Length) - Value51;
> Value53 = Close;
>
> If Value52 > 0 Then
> FstK = (Value53 - Value51) / Value52 * 100
> Else
> FstK = 0;
>
> SloK = XAverage(FstK,length1);
>
>
> If slok > slok[1] then
> Plot1(0,"uptrend", green, default, 4);
>
> If slok < slok[1] then
> Plot2(0,"downtrend", red, default, 4);
>
>
> Commentary("", newline, newline ,
> "1- Value51=", Value51, newline,
> "2- Length=", Length, newline,
> "3- length1=", length1, newline,
> "4- Value52=", Value52, newline,
> "5- Value53=", Value53, newline,
> "6- FstK=", FstK, newline,
> "7- FstK[1]=", FstK[1], newline,
> "8- FstK[2]=", FstK[2], newline,
> "9- (FstK + FstK[1] + FstK[2])/3=", (FstK + FstK[1] +
> FstK[2])/3, newline,
> "10- SloK=", SloK, newline,
> "11- SloK[1]=", SloK[1], newline,
> "12- XAverage(FstK,length1)=", XAverage(FstK,length1),
newline,
> "12A- Average(FstK,length1)=", Average(FstK,length1), newline,
> "13- slok > slok[1]=", slok > slok[1]);
> =====================================================
>
>
> Analysis Commentary for TradeStationQQQ 1 min [AMEX] Nasdaq 100
> Trust-11/19/2001 15:04
>
> _test 10A (ShowMe):
> 1- Value51= 39.53
> 2- lenStoch_data2= 13.00
> 3- len2Stoch_data2= 3.00
> 4- Value52= 0.35
> 5- Value53= 39.80
> 6- FstK= 77.14
> 7- FstK[1]= 77.14
> 8- FstK[2]= 77.14
> 9- (FstK + FstK[1] + FstK[2])/3= 77.14
> 10- SloK= 77.17
> 11- SloK[1]= 77.20
> 12- XAverage(FstK,len2Stoch_data2)= 77.17
> 12A- Average(FstK,len2Stoch_data2)= 77.14
> 13- slok > slok[1]= FALSE
> 14- StochCritLg_Trend2= FALSE
>
>
> _Stochastic -Inc/Dec (Indicator):
> 1- Value51= 39.53
> 2- Length= 13.00
> 3- length1= 3.00
> 4- Value52= 0.35
> 5- Value53= 39.80
> 6- FstK= 77.14
> 7- FstK[1]= 78.38
> 8- FstK[2]= 70.27
> 9- (FstK + FstK[1] + FstK[2])/3= 75.26
> 10- SloK= 73.25
> 11- SloK[1]= 69.35
> 12- XAverage(FstK,length1)= 73.25
> 12A- Average(FstK,length1)= 75.26
> 13- slok > slok[1]= TRUE
>
>
> ----- Original Message -----
> From: "Wayne Mathews" <wayne@xxxxxxxxx>
> To: "Barry Silberman" <barry@xxxxxxxxxxxxxxxxxxxxx>
> Cc: "=omega list" <omega-list@xxxxxxxxxx>
> Sent: Friday, November 23, 2001 5:09 PM
> Subject: Re: need help with EL and data2
>
>
> > Barry-
> >
> > The ShowMe gave the correct average for the 5 minute bars of data2 in
> > your second post not just due to referencing the function,
> > AverageFC(Price2,MALength) outside by data2 (instead of inside, see
> > below) but also that Price2 was changed from being declared a local
> > variable to declared as an input.
> >
> > Addressing data2 in subgraph2 using a function in subgraph1 (loaded with
> > data1) is more complex than it first appears. The following combinations
> > are separated into those that give a correct average for data2 when the
> > indicator is loaded into the data1 stream from those that do not.
> >
> > AverageFC is a series function whereas Average is a simple function. If
> > the function "Average" is substituted for "AverageFC" , some of the
> > second (non-workable) set move to the first set. This is due to a simple
> > function being able to use a local variable from the study (indicator)
> > as an input into the function which is imbedded in that study. An
> > ASTERISK marks the combination in the second set that give the correct
> > average for 5 minute bars of data2 if the function "Average" is
> > substituted for "AverageFC". Of course, if "Average" is substituted for
> > "AverageFC" in the first set, all of them give the correct results.
> >
> > A study addressing 5 minute bars of data2, when loaded into 1 minute
> > data1 (subgrpah1) will give a value every minute bar unless prohibited
> > in the code. The DOUBLED ASTERISK combination gives accurate values at
> > the 5 minute bars of data2 but not at the minute bars in between!
> >
> > FOLLOWING GIVE THE CORRECT AVERAGE OF DATA2 (Subgraph2) WHEN A "SHOWME"
> > IS LOADED INTO DATA1 (Subgraph1).
> >
> > Input: price(c);
> > Var: MA(0);
> > MA=AverageFC(price,len) data2;
> >
> > {AverageFC(price data2, len) will not verify}
> > -----------------------------------
> >
> > Var: MA(0);
> > MA=AverageFC(c data2,len);
> > -----------------------------------
> >
> > Var: MA(0);
> > MA=AverageFC(c, len) data2;
> >
> >
> >
> > DO NOT GIVE THE CORRECT AVERAGE OF DATA2 (Subgraph2) WHEN LOADED INTO
> > DATA1 (Subgraph1).
> >
> > {*}
> > Input: price(c data2);
> > Var: MA(0);
> > MA=AverageFC(price, len);
> >
> > {It is surprising this does not give correct results. It looks like
> > the second example above. If Average is substituted for AverageFC it
> > does work.}
> > ---------------------------------------
> >
> > {**}
> > Var: price(0, data2), MA(0);
> > Price=Close;
> > MA=AverageFC(price, len);
> >
> > {When substituting "Average" the 5 minute bars are accurate and the 1
> > minute bars are only slightly off. Since the 1 minute bars are not of
> > interest in Barry's signal this slight inaccuracy does not matter.}
> > ---------------------------------------
> >
> > Var: price(0), MA(0);
> > Price=close data2;
> > MA=AverageFC(price, len);
> >
> > {This case is not expected to work because a variable can not be used
> > as an input to a series function. However, it is expected to work upon
> > substituting the simple function, "Average", where a variable can be
> > used as an input. BUT IT DOES NOT!? THIS WOULD IMPLY THAT A VARIABLE CAN
> > NOT BE USED AS AN INPUT IN A SIMPLE FUNCTION THAT IS TRYING TO ADDRESS A
> > DATA STREAM OTHER THAN THE ONE IT IS LOADED INTO. For me this was an
> > unexpected result.
> >
> > Even more unexpected is that the above combination gives the correct 5
> > minute averages when loaded into DATA2 (subgraph2) ( what happened to
> > series functions not being able to use variables as inputs?). But , as
> > expected, if loaded into data1 and referencing data1 the 1 minute, the
> > results are incorrect (slightly).}
>
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