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Questions about IRT studies
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Questions about IRT studies

  #1 (permalink)
Trading for Fun
Nicosia, Cyprus
 
Futures Experience: Advanced
Platform: X_Trader Pro, TWS, CQG, Sierra Charts
Broker/Data: Interactive Brokers, Data: CQG, TTNEt
Favorite Futures: crude arbitrage, spreads, energy, grains
 
Posts: 191 since Dec 2013
Thanks: 28 given, 104 received

Questions about IRT studies

Hey Chad, a couple of questions from new user here:

1. How may I retain intraday historical 60-min (or any other intraday period) pivot points in my charts within at least current session (please see an example attached)?

2. Is there the Vervoort crossover available for IRT? I've been using it for many years now on other platforms. Tried to code it myself in RTL but stuck with referencing Heikin-Ashi

Thank you.

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  #2 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 150 since Apr 2010
Thanks: 2 given, 135 received

Let's start with the 60 minute pivots. While this functionality is not currently available to our Pivot Indicator, I just did some work to enable it in the next release (version 12.1.6 which should be available very soon). See the image below. This is how you'll need to set it up once 12.1.6 comes out, and what you'll see as a result. You can use 60 minute bars as the basis of the pivots, or ANY other periodicity for that matter (30 min, 120 min, volume bars, range bars, weekly or monthly bars). And by checking the "Text on Right" checkbox, each level will be label accordingly on the right (R1, PP, S2, etc). I will get back to you soon on the Vervoort.

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  #3 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
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Posts: 150 since Apr 2010
Thanks: 2 given, 135 received

Heiken Ashii - Vervoort


As far as Vervoort, let me 1st show you how to plot Heiken Ashii on Investor/RT charts and then you can help guide me where we need to go from there to get Vervoort. See the image below. Just double-click on the bars to bring up the instrument preferences. Check the "Layer" checkbox and choose Heiken Ashii. You can have the HA bars layered and built upon any periodicity (I've chosen 5-minutes here). Now, what do we need to do with this to build Vervoort?

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  #4 (permalink)
Trading for Fun
Nicosia, Cyprus
 
Futures Experience: Advanced
Platform: X_Trader Pro, TWS, CQG, Sierra Charts
Broker/Data: Interactive Brokers, Data: CQG, TTNEt
Favorite Futures: crude arbitrage, spreads, energy, grains
 
Posts: 191 since Dec 2013
Thanks: 28 given, 104 received

Thank you Chad! Sounds good.

Re Vervoort.

I know how to plot HA in IRT but I do never apply the crossover to HA charts. The question is just how to reference HAopen, HAclose, HAmin and HAmax in a formula. With CQG I use this code


Quoting 
TEMA study

TEMA: (3* MA(@,Exp,Period))-(3* MA( MA(@,Exp,Period),Exp,Period))
+ MA( MA( MA(@,Exp,Period),Exp,Period),Exp,Period)

Crossover study

Curve 1

HAOpen:=((((( Open(@)+ High(@)+ Low(@)+ Close(@))/4))[-n])+HAOpen[-n])/2;
HACLose:=(( Open(@)+ High(@)+ Low(@)+ Close(@))/4+HAOpen
+ Maximum( High(@),HAOpen)+ Minimum( Low(@),HAOpen))/4;
TEMA1:= TEMA.c1^(HACLose,Period);
TEMA2:= TEMA.c1^(TEMA1,Period);
Diff:=TEMA1-TEMA2;
TEMA1+Diff

Curve 2

TEMA1:= TEMA.c1^(@,Period);
TEMA2:= TEMA.c1^(TEMA1,Period);
Diff:=TEMA1-TEMA2;
TEMA1+Diff

where n is a variable # of a bar back.


Last edited by Alphachase; January 23rd, 2015 at 04:04 PM. Reason: Corrected formula
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  #5 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
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Posts: 150 since Apr 2010
Thanks: 2 given, 135 received

Well, I believe what you're looking for at this point, haClose would just be the close of the HA bar. haMax would just be the high of the bar, etc.

So for haClose, use CL
for haMax, use HI
for haMin, use LO
for haOpen, use OP

Give that a try and let me know.

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  #6 (permalink)
Trading for Fun
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So, simply like (OHLC.1 + OP.2)/2 for HAOpen and so on? How to set parameter "period" in a formula in RTL? Or it will be pre-defined by token? Sorry my ignorance, I'm not familiar with RTL so far.

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  #7 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 150 since Apr 2010
Thanks: 2 given, 135 received

I took a 1st stab at this. Import this definition: Vervoort_150123172230 | ChartHub

This should give you the 3 "Curve 1" values. You'll need to click the button at the top of the chart and enter your period. You can adjust period anytime with that button (Period is actually using V#31 user variable).
Blue line is TEMA1. Gold line is TEMA2. And Pink line is TEMA1 + Diff.

Let me know how those line up and we'll move on from there to the Curve 2.

In the end, if this is an important enough indicator, we could just develop it as a RTX Extension to simplify things.

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  #8 (permalink)
Trading for Fun
Nicosia, Cyprus
 
Futures Experience: Advanced
Platform: X_Trader Pro, TWS, CQG, Sierra Charts
Broker/Data: Interactive Brokers, Data: CQG, TTNEt
Favorite Futures: crude arbitrage, spreads, energy, grains
 
Posts: 191 since Dec 2013
Thanks: 28 given, 104 received

Hi Chad,
thank you very much for your fast response to the inquiry. First off, as I understood, the script posted on Friday is slightly misguiding due to differences between systems. Below is a ToS script that’s clearly showing how the indicator has to be plotted. I dropped ToS couple of years ago, so I can't provide a screenshot.

Quoting 
# RH_Vervoort_Channel_V2
# Buy scan - RH_Vervoort_Channel_V2().signalBuy #buy scan
# Sell scan - RH_Vervoort_Channel_V2().signalSell # sell scan
# Scan both - RH_Vervoort_Channel_V2().signalBuy or RH_Vervoort_Channel_V2().signalSell #scan for either
# Alerts added - option added to be turned on and off

input period = 55;
input alertsOn = yes;


def price = (high+low+close)/3;

#-----Typical Price ZeroLag Triple Exponential Moving Average

def TMA1 = 3 * ExpAverage(price, period)
- 3 * ExpAverage(ExpAverage(price, period), period)
+ ExpAverage(ExpAverage(ExpAverage(price, period)
, period), period);

def TMA2 = 3 * ExpAverage(TMA1, period)
- 3 * ExpAverage(ExpAverage(TMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(TMA1, period)
, period), period);

def difference = TMA1 - TMA2;
plot TypicalPriceZeroLagTEMA = TMA1 + difference;
TypicalPriceZeroLagTEMA.SetDefaultColor(color.green);

#------Heikin-Ashi Close ZeroLag Triple Exponential Moving Average

rec haopen = compoundValue(1, ((open[1] + high[1]
+ low[1] + close[1]) / 4 + haopen[1]) / 2, hl2);
def haclose = ((open + high + low + close) / 4 + haopen
+ Max(high, haopen) + Min(low, haopen)) / 4;

def HATMA1 = 3 * ExpAverage(haclose, period)
- 3 * ExpAverage(ExpAverage(haclose, period), period)
+ ExpAverage(ExpAverage(ExpAverage(haclose, period)
, period), period);

def HATMA2 = 3 * ExpAverage(HATMA1, period)
- 3 * ExpAverage(ExpAverage(HATMA1, period), period)
+ ExpAverage(ExpAverage(ExpAverage(HATMA1, period)
, period), period);

def HAdifference = HATMA1 - HATMA2;

plot HeikinAshiZeroLagTEMA = HATMA1 + HAdifference;
HeikinAshiZeroLagTEMA.SetDefaultColor(color.plum);

def buySignal = if TypicalPriceZeroLagTEMA > HeikinAshiZeroLagTEMA and TypicalPriceZeroLagTEMA[1] <= HeikinAshiZeroLagTEMA[1] then 1 else 0;

def sellSignal = if TypicalPriceZeroLagTEMA < HeikinAshiZeroLagTEMA and TypicalPriceZeroLagTEMA[1] >= HeikinAshiZeroLagTEMA[1] then 1 else 0;

plot signalBuy = if buySignal then TypicalPriceZeroLagTEMA * 0.999 else double.nan;
signalBuy.SetDefaultColor( Color.UPTICK );
signalBuy.SetLineWeight(3);
signalBuy.SetPaintingStrategy( PaintingStrategy.ARROW_UP );

plot signalSell = if sellSignal then TypicalPriceZeroLagTEMA * 1.0015 else double.nan;
signalSell.SetDefaultColor( Color.DOWNTICK );
signalSell.SetLineWeight(3);
signalSell.SetPaintingStrategy( PaintingStrategy.ARROW_DOWN );


alert( buySignal, "BUY", Alert.BAR, Sound.Bell );
alert( sellSignal, "SELL", Alert.BAR, Sound.Chimes );

I like your idea about applying the indicator to HA layer. The “curve1” (which is in fact just a “TEMA_Curve1”) seems plotting in the chart correctly.
Please also note, once periodicity and/or symbol of the chart are changed to anything else, additional elements will appear. Until I remove them manually, the study often will be plotted incorrectly. (Please see screenshot below; it's a modified chart, HA bars are hidden, standard bars are shown)

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  #9 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
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Posts: 150 since Apr 2010
Thanks: 2 given, 135 received

Well, from looking at the CQG code, we appear to calculate the open and close of HA a little differently.

Essentially, CQG computes like this...

HAOpen:=(OHLC[-n] + HAOpen[-n]) / 2
HACLose:= (OHLC/4 + HAOpen + Max(HI, HAOpen) + Min(Lo, HAOpen) / 4

On our end, we currently don't offer the n options, we just hard code that as 1.
And then we compute as follows:

HAClose = OHLC/4; // just the OHLC average for current bar
HAOPen = (HAOpen[-1] + HAClose[-1]) / 2; // average of previous bars HAOpen and HAClose

So pretty significant difference from how we compute HA it appears. Upon searching the web I did find some sources that agree with how we're currently computing HA including this one: Heikin-Ashi [ChartSchool]

So in your experience, do other software platforms offer an option as to which way the method is used? Also, is it important to provide the user with an option for "n" or is 1 almost always used here?

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  #10 (permalink)
Trading for Fun
Nicosia, Cyprus
 
Futures Experience: Advanced
Platform: X_Trader Pro, TWS, CQG, Sierra Charts
Broker/Data: Interactive Brokers, Data: CQG, TTNEt
Favorite Futures: crude arbitrage, spreads, energy, grains
 
Posts: 191 since Dec 2013
Thanks: 28 given, 104 received



Quoting 
So pretty significant difference from how we compute HA it appears. Upon searching the web I did find some sources that agree with how we're currently computing HA including this one: Heikin-Ashi [ChartSchool]


Chad,

No, it isn't a difference in HA calculation. The formula for HA calculation you referred to is absolutely correct. Everything is okay with HA itself.
HAclose is always (O+L+H+C)/4 which is equal to your OLHC/4 (or average OHLC)
HAopen is always (HAopen [previous] + HAclose[previous])/2 and this matches your calculation of HAOpen.

But calculation of HAOpen and HAClose for purposes of building that particular indicator differs from the standard HA formula. The reason behind that is to make the indicator as smooth as possible with "real" zero lag. I think option n isn't that important for an average user and it can be easily amended in the indicator formula (or in a source code of RTX extension). You can set [-1] for both n, but I would recommend to set [-1] for the first n and [-2] for the second one. It will slightly reduce false signals rate. Please also have a look at ToS script above. I believe it is more informative.


Last edited by Alphachase; January 26th, 2015 at 06:37 PM.
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