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Converting Tradestation ELA to R
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Converting Tradestation ELA to R

  #1 (permalink)
Elite Member
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: Forex
Posts: 2 since Mar 2013
Thanks: 2 given, 0 received

Converting Tradestation ELA to R

Hi, I am trying to convert some ELA Indicators into R, early days..steep learning curve!
One issue have puzzled over for hours is storing a value in temp memory when a value is triggered and held there
until instructed otherwise by Value14:

EG in Tradestation:

if value18 > 0 then begin
value20 = 1;
if value14 < value14[1] and value14[1] < value14[2] then value20 = 0;

In R tried many combinations and would really appreciate if someone had any pointers:

#works exactly on some but random appearances outside of that
value19 <- ifelse({value14 < lag(value14,1)&lag(value14,1) < lag(value14,2)},-1,0)
value20 <- ifelse(value18 > 0 & lag(value18,-1 == 0),5,ifelse(value19 < 0,0, lag(value20,1)))


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  #3 (permalink)
Elite Member
Philadelphia + NJ/US
Futures Experience: Beginner
Platform: quantstrat
Favorite Futures: ETFs
Posts: 52 since Aug 2014
Thanks: 4 given, 39 received

value20 <- 1
value20[value14 < lag(value14) & lag(value14) < lag(value14,2)] <- 0
value20[1:18] <- NA

Or if they're all one data.frame (or better yet, xts), with two of the column names being value20 and value14:

tmp$value20[tmp$value14 < lag(tmp$value14) & lag(tmp$value14) < lag(tmp$value14,2)] <- 0

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