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Help with moving average code
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Created: by guspenskiy13 Attachments:0

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Help with moving average code

  #1 (permalink)
Trading Apprentice
Boston, MA USA
Futures Experience: Intermediate
Platform: Thinkorswim
Favorite Futures: Stocks
Posts: 2 since May 2014
Thanks: 0 given, 0 received

Help with moving average code

Hey everybody, I have a little problem with my thinkorswim script.

I tweaked the Symbol Relation study from TOS and added a simple moving average to it.

However, SMA is not displayed right after the open - and the higher is the length of SMA - the longer it takes to appear on the chart.

I would really appreciate, if someone could help me with this and fix it....



declare lower;
input price = FundamentalType.CLOSE;
input relationWithSecurity = "VXX";
input length = 9;
input displace = 0;
def price1 = fundamental(price);
def price2 = fundamental(price, relationWithSecurity);
plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
plot SMA = Average(Relation[-displace], length);

screenshot (can't post links - remove the spaces...)

ht t p : // tinypic. com /r / migl94 /8

On the left side I have SPY chart with SMA(60); on the right SMA(9)

I want SMA to be displayed right off the open - for some reason it does not appear.



Each +1 in length of SMA shortens it. I wonder what's the reason for that.

For some reason 5-minute chart gets the longest MA...

Last edited by guspenskiy13; May 14th, 2014 at 07:54 PM. Reason: addition
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  #2 (permalink)
1.Fibs 2.??? 3.Profit
Puerto Rico
Futures Experience: Intermediate
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: ES
rmejia's Avatar
Posts: 384 since Oct 2010
Thanks: 3,597 given, 426 received

There are some gaps in the candles of the premarket VXX "relation" line; each blank space it is restarting the MA length count. The Moving Average is an average of the defined length. If using a length of 9, after the first gap count 9 candles and then the MA starts. With 60, it needs a length of 60 candles to average before the MA line plot starts.

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  #3 (permalink)
Trading Apprentice
Boston, MA USA
Futures Experience: Intermediate
Platform: Thinkorswim
Favorite Futures: Stocks
Posts: 2 since May 2014
Thanks: 0 given, 0 received

I see.

But then, I get (VXX)/(SPY) in Prophet with any average and it seems to be... fine...?

and why 5 minute chart gets better results than 1 minute?

Last edited by guspenskiy13; May 15th, 2014 at 02:10 AM.
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