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Gapless indicators
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Gapless indicators

  #31 (permalink)
The Narrow Road
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Fat Tails View Post
Following request made by @Big Mike, I have modified the SuperSmoother and coded a gapless version for use with RTH session templates.

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this is good ... this is is good stuff ..

p

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  #32 (permalink)
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supermht View Post
Hi, Mike, how to embed roofing indicator in MACD ?

Change the input series of the MACD to the RoofingFilter.

Mike

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  #33 (permalink)
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GaplessSMA indicator with code borrowing from GaplessEMA.

Attached Thumbnails
Gapless indicators-adv-5-min-9_6_2013.jpg  
Attached Files
Register to download File Type: zip GaplessSMA.zip (2.1 KB, 50 views)
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  #34 (permalink)
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cory View Post
GaplessSMA indicator with code borrowing from GaplessEMA.

@cory: I am afraid that this does not work. Below attached is a chart with your indicator (red) compared to a gapless SMA. However, checking your code has led me to discover a potential bug in my own approach to coding gapless indicators, so it has been pretty useful.

Below attached is a gapless SMA, which has passed my testing.


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Attached Files
Register to download File Type: zip SMAGapless.zip (2.1 KB, 73 views)

Last edited by Fat Tails; September 11th, 2013 at 10:13 AM. Reason: Indicator file replaced
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  #35 (permalink)
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Fat Tails View Post
@cory: I am afraid that this does not work. Below attached is a chart with your indicator (red) compared to a gapless SMA. However, checking your code has led me to discover a potential bug in my own approach to coding gapless indicators, so it has been pretty useful.

Below attached is a gapless SMA, which has passed my testing.


...

thanks FT for fixing it, there is always gap in ^ADV so this is very useful.

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  #36 (permalink)
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Using gap-adjusted input series and gap-adjusted value series


cory View Post
thanks FT for fixing it, there is always gap in ^ADV so this is very useful.


The problem that I have had with the SMA occurred when the period of the SMA covered more than two sessions. In this case the gap logic needs to be applied twice for the value that drops out of the SMA. This can best be achieved by creating a new gap-adjusted input series, and applying the indicator logic to that series.

Unlike for the backadjusted charts which need to adjust all prior values, after a gap the new internal input series only needs to be adapted for the N prior values, which are used for computing the SMA.

For the gapless EMA no such gap-adjusted input series was needed, because it only calls the prior value of itself.

However, if I look at the SuperSmoother, the indicator values are calculated by using a chain of prior indicator values. I therefore need to create a gap-adjusted value series, which can be used for computing the current values. The gap-adjusted input series is not needed, as the current indicator value does not use prior input values.

For oscillators, the logic is again different.

As a result I need to review the gapless SuperSmoother and the gapless RoofingFilter to make them fit for periods that cover three sessions or more.

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  #37 (permalink)
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I have reviewed and updated the gapless indicators that I had coded.

The new versions can also be used with periods that cover two or more gaps.

Please report any bugs.

Attached Files
Register to download File Type: zip EMAGapless.zip (2.0 KB, 204 views)
Register to download File Type: zip SMAGapless.zip (2.1 KB, 190 views)
Register to download File Type: zip SuperSmootherGapless.zip (2.5 KB, 200 views)
Register to download File Type: zip RoofingFilterGapless.zip (2.5 KB, 170 views)
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  #38 (permalink)
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Great job @cory and @Fat Tails!

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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  #39 (permalink)
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Fat Tails View Post
I have reviewed and updated the gapless indicators that I had coded.

The new versions can also be used with periods that cover two or more gaps.

Please report any bugs.

@Fat Tails

Do you know if there is a way with Ninjatrader to compare two charts of the same symbol where one would use as policy for the rollover merge back adjusted while the other chart would use merge non back adjusted. In other words, i'd like to see the GAP on a chart that occurs at the rollover time period and the effect of the merge policy on the other chart. Is that possible? Thanks.

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  #40 (permalink)
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trendisyourfriend View Post
@Fat Tails

Do you know if there is a way with Ninjatrader to compare two charts of the same symbol where one would use as policy for the rollover merge back adjusted while the other chart would use merge non back adjusted. In other words, i'd like to see the GAP on a chart that occurs at the rollover time period and the effect of the merge policy on the other chart. Is that possible? Thanks.

This should be possible:

(1) Set your merge policy to "MergeBackAdjusted".
(2) Open a new chart, it should be backadjusted.
(3) Now change the merge policy to "MergeNonBackAdjusted".
(4) Open another chart, it should be non-backadjusted.
(5) Compare the two charts.

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