Most Active Months – Range v2
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Manel suggested that basing my Most Active Months – Range indicator on range as a percentage of opening price would give a more useful output – especially when applied on indices where range and price historically increase with time so I have modified it slightly to do this.
You can now toggle between the original output and an output shown as a percentage of price by ticking or unticking the Percentage box.
Here is the ITF to download and import:
[attachment file=”Most Active Months – Range v2.itf”]
…and the code:
//Most Active Months - Range v2 //By Vonasi //20012019 //Percentage = 1 if percentage then IF openmonth = 1 THEN H1 = (H1 + (((High - Low) / Open) * 100)) H1Count = (H1Count + 1) ThisMonth = (H1 / H1Count) drawvline(barindex) coloured(0,0,255) ELSIF openmonth = 2 THEN H2 = (H2 + (((High - Low) / Open) * 100)) H2Count = (H2Count + 1) ThisMonth = (H2 / H2Count) ELSIF openmonth = 3 THEN H3 = (H3 + (((High - Low) / Open) * 100)) H3Count = (H3Count + 1) ThisMonth = (H3 / H3Count) ELSIF openmonth = 4 THEN H4 = (H4 + (((High - Low) / Open) * 100)) H4Count = (H4Count + 1) ThisMonth = (H4 / H4Count) ELSIF openmonth = 5 THEN H5 = (H5 + (((High - Low) / Open) * 100)) H5Count = (H5Count + 1) ThisMonth = (H5 / H5Count) ELSIF openmonth = 6 THEN H6 = (H6 + (((High - Low) / Open) * 100)) H6Count = (H6Count + 1) ThisMonth = (H6 / H6Count) ELSIF openmonth = 7 THEN H7 = (H7 + (((High - Low) / Open) * 100)) H7Count = (H7Count + 1) ThisMonth = (H7 / H7Count) ELSIF openmonth = 8 THEN H8 = (H8 + (((High - Low) / Open) * 100)) H8Count = (H8Count + 1) ThisMonth = (H8 / H8Count) ELSIF openmonth = 9 THEN H9 = (H9 + (((High - Low) / Open) * 100)) H9Count = (H9Count + 1) ThisMonth = (H9 / H9Count) ELSIF openmonth = 10 THEN H10 = (H10 + (((High - Low) / Open) * 100)) H10Count = (H10Count + 1) ThisMonth = (H10 / H10Count) ELSIF openmonth = 11 THEN H11 = (H11 + (((High - Low) / Open) * 100)) H11Count = (H11Count + 1) ThisMonth = (H11 / H11Count) ELSIF openmonth = 12 THEN H12 = (H12 + (((High - Low) / Open) * 100)) H12Count = (H12Count + 1) ThisMonth = (H12 / H12Count) ENDIF endif if not percentage then IF openmonth = 1 THEN H1 = (H1 + (High - Low)) H1Count = (H1Count + 1) ThisMonth = (H1 / H1Count) drawvline(barindex) coloured(0,0,255) ELSIF openmonth = 2 THEN H2 = (H2 + (High - Low)) H2Count = (H2Count + 1) ThisMonth = (H2 / H2Count) ELSIF openmonth = 3 THEN H3 = (H3 + (High - Low)) H3Count = (H3Count + 1) ThisMonth = (H3 / H3Count) ELSIF openmonth = 4 THEN H4 = (H4 + (High - Low)) H4Count = (H4Count + 1) ThisMonth = (H4 / H4Count) ELSIF openmonth = 5 THEN H5 = (H5 + (High - Low)) H5Count = (H5Count + 1) ThisMonth = (H5 / H5Count) ELSIF openmonth = 6 THEN H6 = (H6 + (High - Low)) H6Count = (H6Count + 1) ThisMonth = (H6 / H6Count) ELSIF openmonth = 7 THEN H7 = (H7 + (High - Low)) H7Count = (H7Count + 1) ThisMonth = (H7 / H7Count) ELSIF openmonth = 8 THEN H8 = (H8 + (High - Low)) H8Count = (H8Count + 1) ThisMonth = (H8 / H8Count) ELSIF openmonth = 9 THEN H9 = (H9 + (High - Low)) H9Count = (H9Count + 1) ThisMonth = (H9 / H9Count) ELSIF openmonth = 10 THEN H10 = (H10 + (High - Low)) H10Count = (H10Count + 1) ThisMonth = (H10 / H10Count) ELSIF openmonth = 11 THEN H11 = (H11 + (High - Low)) H11Count = (H11Count + 1) ThisMonth = (H11 / H11Count) ELSIF openmonth = 12 THEN H12 = (H12 + (High - Low)) H12Count = (H12Count + 1) ThisMonth = (H12 / H12Count) ENDIF endif avg = (h1 + h2 + h3 + h4 + h5 + h6 + h7 + h8 + h9 + h10 + h11 + h12)/(h1count + h2count + h3count + h4count + h5count + h6count + h7count + h8count + h9count + h10count + h11count + h12count) c = 155 if ThisMonth > Avg then c = 255 endif RETURN ThisMonth coloured (100,149,237,c) style(histogram, 2) as "Average Range", avg coloured(0,0,255) style(line,1) as "All Time Average"[attachment file=89156]
manel thanked this postI decided to use Manel’s idea and also modify my DOWAR(OAC) Day Of Week Average Range (On Any Chart) indicator to be able to calculate each days range as a percentage of the opening price each day and then use this percentage value to calculate an average range for each day of the week.
Here is the modified ITF file:
[attachment file=”DOWAR(OAC) Bands v2.itf”]
…and the code:
//DOWAROAC Bands - Day Of Week Average Range (On Any Chart) Bands v2 //By Vonasi //20012019 //Multiple = 1 //Offset = 1 //Bands = 0 //Candles = 1 //StartDate = 0 //Percentage = 1 if opendate >= StartDate or startdate = 0 then if opendayofweek[0] <> opendayofweek[1] then rnge = (dHigh(1) - dLow(1)) //close if offset = 1 then if pricetype < 1 or pricetype > 4 then start = close[1] endif //medianprice if pricetype = 1 then start = ((rnge)/2) + dlow(1) endif //totalprice if pricetype = 2 then start = (dopen(1) + close[1] + dHigh(1) + dLow(1))/4 endif //typicalprice if pricetype = 3 then start = (close[1] + dHigh(1) + dLow(1))/3 endif //weightedprice if pricetype = 4 then start = ((2*close[1]) + dHigh(1) + dLow(1))/4 endif endif if percentage then if opendayofweek[1] = 0 THEN W0 = (W0 + (rnge / Dopen(1))) W0Count = (W0Count + 1) endif IF opendayofweek[1] = 1 THEN W1 = (W1 + (rnge / Dopen(1))) W1Count = (W1Count + 1) endif IF opendayofweek[1] = 2 THEN W2 = (W2 + (rnge / Dopen(1))) W2Count = (W2Count + 1) endif IF opendayofweek[1] = 3 THEN W3 = (W3 + (rnge / Dopen(1))) W3Count = (W3Count + 1) endif IF opendayofweek[1] = 4 THEN W4 = (W4 + (rnge / Dopen(1))) W4Count = (W4Count + 1) endif IF opendayofweek[1] = 5 THEN W5 = (W5 + (rnge / Dopen(1))) W5Count = (W5Count + 1) endif if opendayofweek = 0 then ThisDay = (W0 / W0Count) * start endif if opendayofweek = 1 then ThisDay = (W1 / W1Count) * start endif if opendayofweek = 2 then ThisDay = (W2 / W2Count) * start endif if opendayofweek = 3 then ThisDay = (W3 / W3Count) * start endif if opendayofweek = 4 then ThisDay = (W4 / W4Count) * start endif if opendayofweek = 5 then ThisDay = (W5 / W5Count) * start endif endif if not percentage then if opendayofweek[1] = 0 THEN W0 = (W0 + (rnge)) W0Count = (W0Count + 1) endif IF opendayofweek[1] = 1 THEN W1 = (W1 + (rnge)) W1Count = (W1Count + 1) endif IF opendayofweek[1] = 2 THEN W2 = (W2 + (rnge)) W2Count = (W2Count + 1) endif IF opendayofweek[1] = 3 THEN W3 = (W3 + (rnge)) W3Count = (W3Count + 1) endif IF opendayofweek[1] = 4 THEN W4 = (W4 + (rnge)) W4Count = (W4Count + 1) endif IF opendayofweek[1] = 5 THEN W5 = (W5 + (rnge)) W5Count = (W5Count + 1) endif if opendayofweek = 0 then ThisDay = (W0 / W0Count) endif if opendayofweek = 1 then ThisDay = (W1 / W1Count) endif if opendayofweek = 2 then ThisDay = (W2 / W2Count) endif if opendayofweek = 3 then ThisDay = (W3 / W3Count) endif if opendayofweek = 4 then ThisDay = (W4 / W4Count) endif if opendayofweek = 5 then ThisDay = (W5 / W5Count) endif endif endif if offset <> 1 then if pricetype < 1 or pricetype > 4 then start = close[1] endif //medianprice if pricetype = 1 then start = ((dhigh(0) - dlow(0))/2) + dlow(0) endif //totalprice if pricetype = 2 then start = (dopen(0) + close[0] + dHigh(0) + dLow(0))/4 endif //typicalprice if pricetype = 3 then start = (close[0] + dHigh(0) + dLow(0))/3 endif //weightedprice if pricetype = 4 then start = ((2*close[0]) + dHigh(0) + dLow(0))/4 endif endif upper = start + ((ThisDay * multiple)/2) lower = start - ((ThisDay * multiple)/2) middle = ((upper -lower)/2) + lower if candles then drawcandle(lower,upper,lower,upper) COLOURED(100,149,237,20) BORDERCOLOR(0,0,0,150) drawtext("-",barindex,middle) COLOURED(0,0,0) endif c = 0 if bands then c = 255 endif else upper = close lower = close middle = close c = 0 endif RETURN upper coloured (100,149,237,c) style(line, 1) as "Upper Band", lower coloured (100,149,237,c) style(line, 1) as "Lower Band", middle coloured (100,149,237,c) style(line, 1) as "Middle Band"[attachment file=89163]
manel thanked this postHere you go manel – it was very simple to do but I think gives some interesting output. Tick or untick ‘EachMonth’ to turn on and off the current or historical closing range for each individual month. It works better in percentage.
[attachment file=”Most Active Months – Range v3.itf”]
//Most Active Months - Range v3 //By Vonasi //20190122 //Percentage = 1 //EachMonth = 1 if percentage then IF openmonth = 1 THEN H1 = (H1 + (((High - Low) / Open) * 100)) H1Count = (H1Count + 1) ThisMonth = (H1 / H1Count) drawvline(barindex) coloured(0,0,255) ELSIF openmonth = 2 THEN H2 = (H2 + (((High - Low) / Open) * 100)) H2Count = (H2Count + 1) ThisMonth = (H2 / H2Count) ELSIF openmonth = 3 THEN H3 = (H3 + (((High - Low) / Open) * 100)) H3Count = (H3Count + 1) ThisMonth = (H3 / H3Count) ELSIF openmonth = 4 THEN H4 = (H4 + (((High - Low) / Open) * 100)) H4Count = (H4Count + 1) ThisMonth = (H4 / H4Count) ELSIF openmonth = 5 THEN H5 = (H5 + (((High - Low) / Open) * 100)) H5Count = (H5Count + 1) ThisMonth = (H5 / H5Count) ELSIF openmonth = 6 THEN H6 = (H6 + (((High - Low) / Open) * 100)) H6Count = (H6Count + 1) ThisMonth = (H6 / H6Count) ELSIF openmonth = 7 THEN H7 = (H7 + (((High - Low) / Open) * 100)) H7Count = (H7Count + 1) ThisMonth = (H7 / H7Count) ELSIF openmonth = 8 THEN H8 = (H8 + (((High - Low) / Open) * 100)) H8Count = (H8Count + 1) ThisMonth = (H8 / H8Count) ELSIF openmonth = 9 THEN H9 = (H9 + (((High - Low) / Open) * 100)) H9Count = (H9Count + 1) ThisMonth = (H9 / H9Count) ELSIF openmonth = 10 THEN H10 = (H10 + (((High - Low) / Open) * 100)) H10Count = (H10Count + 1) ThisMonth = (H10 / H10Count) ELSIF openmonth = 11 THEN H11 = (H11 + (((High - Low) / Open) * 100)) H11Count = (H11Count + 1) ThisMonth = (H11 / H11Count) ELSIF openmonth = 12 THEN H12 = (H12 + (((High - Low) / Open) * 100)) H12Count = (H12Count + 1) ThisMonth = (H12 / H12Count) ENDIF Now = ((High - Low) / Open) * 100 endif if not percentage then IF openmonth = 1 THEN H1 = (H1 + (High - Low)) H1Count = (H1Count + 1) ThisMonth = (H1 / H1Count) drawvline(barindex) coloured(0,0,255) ELSIF openmonth = 2 THEN H2 = (H2 + (High - Low)) H2Count = (H2Count + 1) ThisMonth = (H2 / H2Count) ELSIF openmonth = 3 THEN H3 = (H3 + (High - Low)) H3Count = (H3Count + 1) ThisMonth = (H3 / H3Count) ELSIF openmonth = 4 THEN H4 = (H4 + (High - Low)) H4Count = (H4Count + 1) ThisMonth = (H4 / H4Count) ELSIF openmonth = 5 THEN H5 = (H5 + (High - Low)) H5Count = (H5Count + 1) ThisMonth = (H5 / H5Count) ELSIF openmonth = 6 THEN H6 = (H6 + (High - Low)) H6Count = (H6Count + 1) ThisMonth = (H6 / H6Count) ELSIF openmonth = 7 THEN H7 = (H7 + (High - Low)) H7Count = (H7Count + 1) ThisMonth = (H7 / H7Count) ELSIF openmonth = 8 THEN H8 = (H8 + (High - Low)) H8Count = (H8Count + 1) ThisMonth = (H8 / H8Count) ELSIF openmonth = 9 THEN H9 = (H9 + (High - Low)) H9Count = (H9Count + 1) ThisMonth = (H9 / H9Count) ELSIF openmonth = 10 THEN H10 = (H10 + (High - Low)) H10Count = (H10Count + 1) ThisMonth = (H10 / H10Count) ELSIF openmonth = 11 THEN H11 = (H11 + (High - Low)) H11Count = (H11Count + 1) ThisMonth = (H11 / H11Count) ELSIF openmonth = 12 THEN H12 = (H12 + (High - Low)) H12Count = (H12Count + 1) ThisMonth = (H12 / H12Count) ENDIF Now = High - Low endif avg = (h1 + h2 + h3 + h4 + h5 + h6 + h7 + h8 + h9 + h10 + h11 + h12)/(h1count + h2count + h3count + h4count + h5count + h6count + h7count + h8count + h9count + h10count + h11count + h12count) c = 155 if ThisMonth > Avg then c = 255 endif c2 = 0 if EachMonth then c2 = 255 endif RETURN ThisMonth coloured (100,149,237,c) style(histogram, 2) as "Average Range", avg coloured(0,0,255) style(line,1) as "All Time Average", now coloured(0,0,0,c2) style(line,1) as "This Month"[attachment file=89333]
manel thanked this postSo, looking at the data in more detail for periods of exceptional vol especially, I encountered an issue with the data series. I specifically was looking for big market events at first and so chose the Dow but there is an error with the PRT chart data for the 87 crash. More specifically the intraday ranges for 19/20/21 Oct are all incorrect. People may know that on Monday the market fell 20%+ but the PRT chart only shows a range less than half that (even accounting for the opening gap from Friday close). This of course will skew any average calculations etc especially due to the magnitude of the move as it filters through and impacts future calculations.
In this particular case coincidentally as the index revisted the Monday lows in the following few days, it didn’t affect what we did here as the month ended up having the correct range – but thats just pure dumb luck (and wouldn’t be the case if we were looking at daily averages). Although granted this period is not especially important in the grand scheme of backtesting, a more important question is that – can the data set in the charts be relied upon with 100% confidence and accuracy ? Because without that, everything that we do here ends up being pretty meaningless. There may be more recent days over the last few years where data is also incorrect.
I have raised a ticket through IG about this data error, and asked them for an explanation and to of course corect it. Will let you know of the response.
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Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 01/20/2019 |
| Status: | Active |
| Attachments: | 7 files |
