MACD Percentile

November 13th, 2015, 07:54 AM

Dear Coders,

I'm looking to use Percentile and Percent rank indicators on MACD ..

Please refer to the print screen below

Screenshot by Lightshot

I know Percentile and Percent Rank both are in built function in EL but I'm not able to figure out to use it effectively.

Can anyone help me with this?

Appreciate your soonest response

ABCTG · November 14th, 2015, 06:04 AM

ilu007,

the screenshot is to small to see anything meaningful. What exactly seems to be the problem you are running into?
You could post the code that is giving you issues, so we can see what might be wrong with it.

Regards,

ABCTG

November 17th, 2015, 02:17 AM

Dear ABCTG,

Thank you for your reply..

I'm finding difficulty in coding the percentile rank function in EL...

What I would like to have is :

I would like to have a LookBack Period of the Highs and Lows and plotting lines at 90% of those levels and color coding the Histogram when it exceeded the 90 Percentile of the Highs or Lows of the LookBack period which I call the Threshold Lines. If that condition is TRUE for MACD I found the optimal entry was when the Histogram crossed the 50% level of the ZERO line and the Threshold lines, So I created a rule that plots a Visual Cross. Therefore we have to filterout the signals by waiting for the Histogram to Exceed the 90th Percentile of the LookBack period, then waiting for a confirmation of the reversal by waiting for the Histogram to cross the Mid-Threshold line.

There are two lower indicators.. May this screenshot will be visible for you

Screenshot by Lightshot

I can have those indicators coded in Trade Navigator as well which is

MACD Highest High Percentile
Highest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * (Percentile / 100)

MACD Lowest Low Percentile
Lowest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * ((100 - Percentile) / 100)

MACD Percent Rank
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False)

MACD PercentRank_HT
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False) > HT Pct

MACD percent Rank_LT
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False) < LT Pct

ABCTG · November 17th, 2015, 03:48 AM

Hi ilu007,

why do you need the percentile rank function at all?
Assuming "Percentile" is an input, you already have the thresholds lines computed with this

Code

Highest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * (Percentile / 100) 

Lowest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * ((100 - Percentile) / 100)

Then you can just check for your cross over conditions and you should be good to go.

Regards,

ABCTG

ilu007

Dear ABCTG,

Thank you for your reply..

I'm finding difficulty in coding the percentile rank function in EL...

What I would like to have is :

I would like to have a LookBack Period of the Highs and Lows and plotting lines at 90% of those levels and color coding the Histogram when it exceeded the 90 Percentile of the Highs or Lows of the LookBack period which I call the Threshold Lines. If that condition is TRUE for MACD I found the optimal entry was when the Histogram crossed the 50% level of the ZERO line and the Threshold lines, So I created a rule that plots a Visual Cross. Therefore we have to filterout the signals by waiting for the Histogram to Exceed the 90th Percentile of the LookBack period, then waiting for a confirmation of the reversal by waiting for the Histogram to cross the Mid-Threshold line.

There are two lower indicators.. May this screenshot will be visible for you

Screenshot by Lightshot

I can have those indicators coded in Trade Navigator as well which is

MACD Highest High Percentile
Highest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * (Percentile / 100)

MACD Lowest Low Percentile
Lowest (MACD (Close , Fast Period , Slow Period , False) , LookBack) * ((100 - Percentile) / 100)

MACD Percent Rank
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False)

MACD PercentRank_HT
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False) > HT Pct

MACD percent Rank_LT
Percentile Rank (MACD (Close , Fast Period , Slow Period , False) , LB_Prd , True , False) < LT Pct

November 17th, 2015, 06:15 AM

Dear ABCTG,

Thank you for your input...

I have coded an indicator based upon your code but it is giving me some kind of error...

Here is the code

inputs:
FastLength( 12 ),
SlowLength( 26 ),
MACDLength( 9 ) ,
LookBack(100);

variables: var0( 0 ),
var1( 0 ),
var2( 0 ),
HighPrct(0),
LowPrct(0);

var0 = MACD( Close, FastLength, SlowLength ) ;
var1 = XAverage( var0, MACDLength ) ;
var2 = var0 - var1 ;
HighPrct = Highest (MACD (Close , FastLength , SlowLength, False) , LookBack) * (Percentile / 100);
LowPrct = Lowest (MACD (Close, FastLength, SlowLength, False), LookBack) * ((100 - Percentile / 100));

Plot1( var0, "MACD" ) ;
Plot2( var1, "MACDAvg" ) ;
Plot3( var2, "MACDDiff" ) ;
Plot4( 0, "ZeroLine" ) ;
Plot5(HighPrct, "LoPrct");
Plot6(LowPrct, "HiPrct");

Will it be possible to correct this....

ABCTG · November 17th, 2015, 09:42 AM

ilu007,

most likely it will be, but without an error description it's hard to tell you what to correct.
My guess is that you need to get rid of the boolean input for the MACD function, as it only needs three.

Instead of calling the same function three times, you could as well just use the var0 as input for the Highest/Lowest function directly.

Regards,

ABCTG

ilu007

Dear ABCTG,

Thank you for your input...

I have coded an indicator based upon your code but it is giving me some kind of error...

Here is the code

inputs:
FastLength( 12 ),
SlowLength( 26 ),
MACDLength( 9 ) ,
LookBack(100);

variables: var0( 0 ),
var1( 0 ),
var2( 0 ),
HighPrct(0),
LowPrct(0);

var0 = MACD( Close, FastLength, SlowLength ) ;
var1 = XAverage( var0, MACDLength ) ;
var2 = var0 - var1 ;
HighPrct = Highest (MACD (Close , FastLength , SlowLength, False) , LookBack) * (Percentile / 100);
LowPrct = Lowest (MACD (Close, FastLength, SlowLength, False), LookBack) * ((100 - Percentile / 100));

Plot1( var0, "MACD" ) ;
Plot2( var1, "MACDAvg" ) ;
Plot3( var2, "MACDDiff" ) ;
Plot4( 0, "ZeroLine" ) ;
Plot5(HighPrct, "LoPrct");
Plot6(LowPrct, "HiPrct");

Will it be possible to correct this....

MACD Percentile

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MACD Percentile