Distribution of returns using arrays in PRTv11

• 03/30/2020 at 1:51 PM #123957
  Vonasi

  I coded a distribution of returns indicator for v10.3 a while back and it was pretty slow and very clunky and I never really did get the auto scaling to work how I wanted it to plus the number of bars in the chart were limited by my patience for repetitive coding. Now that we have arrays in PRTv11 I decided to have another go. The results are much better!

  The indicator will analyse all of the history on the price chart and every time price is above or below price p bars ago it adds one to an array bucket for the exact percentage of price difference. The array buckets are 0.1% in size. Using LASTSET we are able to now easily auto scale the x axis and using ISLASTBARUPDATE the indicator is super fast to draw.

  The distribution of returns curve can be drawn as either a line chart or a histogram with the ‘LineChart’ setting.

  The current position on the curve that price is compared to price p bars ago is also displayed by a drawn point.

  I’ve put comments in the code to help everyone understand how the code works a little better. I will submit the indicator to the library.

  //Distribution of Returns //PRT v11 only //By Vonasi //Date: 20200330 defparam drawonlastbaronly = true //Settings //linechart = 0 // 0 = histogram 1 = line chart //Fill positive gain array if close > open[p] then riseperc = round((((close - open[p])/open[p])*100),1)*10 $rise[riseperc] = $rise[riseperc] + 1 count = count + 1 endif $risepercentage[riseperc] = ($rise[riseperc]/count)*100 //Fill negative loss array if close < open[p] then fallperc = round((((open[p]-close)/open[p])*100),1)*10 $fall[fallperc] = $fall[fallperc] + 1 count = count + 1 endif $fallpercentage[fallperc] = ($fall[fallperc]/count)*100 //Only do the following code on latest bar to speed things up if islastbarupdate then //Get the latest gain or loss position in arrays if close > open[p] then thisperc = round((((close - open[p])/open[p])*100),1)*10 endif if close < open[p] then thisperc = -round((((open[p]-close)/open[p])*100),1)*10 endif //Initiate drawing positions lastvalue = $risepercentage[1] falllastvalue = 0 //Get highest filled array for auto scaling of x axis lastbar = max(lastset($risepercentage),lastset($fallpercentage)) //draw negative side of chart for a = lastbar downto 1 b = a+(lastbar) //Display line or histogram depending on setting if linechart then drawsegment(barindex-b-1, falllastvalue,barindex-b ,$fallpercentage[a])coloured(128,0,0) else drawrectangle(barindex-b-1, 0,barindex-b ,$fallpercentage[a])coloured(128,0,0) endif //Draw x scale text if a mod 10 = 0 then mytext = a/10 drawtext("-#mytext#", barindex-a+1-lastbar,-0.05,sansserif,bold,10) endif //Draw current position on curve if negative if thisperc = -a then drawpoint(barindex-b ,$fallpercentage[a],3)coloured(128,0,0) endif //Store old value for drawing in next loop round so segment can be drawn falllastvalue = $fallpercentage[a] //Store highest array value for autoscaling of y axis maxval = max(falllastvalue,maxval) next //Connect gap between two sides of line chart if linechart then drawsegment(barindex-b, falllastvalue,barindex-b+2 ,$risepercentage[1])coloured(128,0,0) endif //draw positive side of chart for a = 1 to lastbar b = lastbar-a //Display line or histogram depending on setting if linechart then drawsegment(barindex-b, lastvalue,barindex-b+1 ,$risepercentage[a])coloured(0,128,0) else drawrectangle(barindex-b, 0,barindex-b+1 ,$risepercentage[a])coloured(0,128,0) endif //Draw x scale text if b mod 10 = 0 then mytext = b/10 drawtext("#mytext#", barindex-a+1,-0.05,sansserif,bold,10) endif //Draw current position on curve if positive if thisperc = a then drawpoint(barindex-b+1 ,$risepercentage[a],3)coloured(0,128,0) endif //Store old value for drawing in next loop round so segment can be drawn lastvalue = $risepercentage[a] //Store highest array value for autoscaling of y axis maxval = max(lastvalue,maxval) next endif //draw x axis label drawtext("%", barindex-(lastbar*2)-5,-0.05,sansserif,bold,10) return -0.1 coloured(0,0,0,0),maxval coloured(0,0,0,0)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108

  //Distribution of Returns //PRT v11 only //By Vonasi //Date: 20200330   defparam drawonlastbaronly = true   //Settings //linechart = 0 // 0 = histogram 1 = line chart   //Fill positive gain array if close > open[p] then riseperc = round((((close - open[p])/open[p])*100),1)*10 $rise[riseperc] = $rise[riseperc] + 1 count = count + 1 endif $risepercentage[riseperc] = ($rise[riseperc]/count)*100   //Fill negative loss array if close < open[p] then fallperc = round((((open[p]-close)/open[p])*100),1)*10 $fall[fallperc] = $fall[fallperc] + 1 count = count + 1 endif $fallpercentage[fallperc] = ($fall[fallperc]/count)*100   //Only do the following code on latest bar to speed things up if islastbarupdate then //Get the latest gain or loss position in arrays if close > open[p] then thisperc = round((((close - open[p])/open[p])*100),1)*10 endif if close < open[p] then thisperc = -round((((open[p]-close)/open[p])*100),1)*10 endif   //Initiate drawing positions lastvalue = $risepercentage[1] falllastvalue = 0   //Get highest filled array for auto scaling of x axis lastbar = max(lastset($risepercentage),lastset($fallpercentage))   //draw negative side of chart for a = lastbar downto 1 b = a+(lastbar) //Display line or histogram depending on setting if linechart then drawsegment(barindex-b-1, falllastvalue,barindex-b ,$fallpercentage[a])coloured(128,0,0) else drawrectangle(barindex-b-1, 0,barindex-b ,$fallpercentage[a])coloured(128,0,0) endif   //Draw x scale text if a mod 10 = 0 then mytext = a/10 drawtext("-#mytext#", barindex-a+1-lastbar,-0.05,sansserif,bold,10) endif   //Draw current position on curve if negative if thisperc = -a then drawpoint(barindex-b ,$fallpercentage[a],3)coloured(128,0,0) endif   //Store old value for drawing in next loop round so segment can be drawn falllastvalue = $fallpercentage[a] //Store highest array value for autoscaling of y axis maxval = max(falllastvalue,maxval) next   //Connect gap between two sides of line chart if linechart then drawsegment(barindex-b, falllastvalue,barindex-b+2 ,$risepercentage[1])coloured(128,0,0) endif   //draw positive side of chart for a = 1 to lastbar b = lastbar-a   //Display line or histogram depending on setting if linechart then drawsegment(barindex-b, lastvalue,barindex-b+1 ,$risepercentage[a])coloured(0,128,0) else drawrectangle(barindex-b, 0,barindex-b+1 ,$risepercentage[a])coloured(0,128,0) endif   //Draw x scale text if b mod 10 = 0 then mytext = b/10 drawtext("#mytext#", barindex-a+1,-0.05,sansserif,bold,10) endif   //Draw current position on curve if positive if thisperc = a then drawpoint(barindex-b+1 ,$risepercentage[a],3)coloured(0,128,0) endif   //Store old value for drawing in next loop round so segment can be drawn lastvalue = $risepercentage[a] //Store highest array value for autoscaling of y axis maxval = max(lastvalue,maxval) next endif   //draw x axis label drawtext("%", barindex-(lastbar*2)-5,-0.05,sansserif,bold,10)   return  -0.1 coloured(0,0,0,0),maxval coloured(0,0,0,0)

   

   

  5 users thanked author for this post.

  Pepsmile, Kovit, Oliviertrader2020, Monobrow, Nicolas

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  01/05/2021 at 8:24 PM #156511
  Gianluca

  This is one of the most usefull instrument of the forum!

  Can i ask if is possible to do this distribution of returns in Standard Deviation?

  1 user thanked author for this post.

  Oliviertrader2020

  

  Gianluca

  Participant

  Topics: 60

  Replies: 409

  Been thanked: 54 times
  01/05/2021 at 10:11 PM #156528
  Vonasi

  Thanks for the compliments. I just replied to your comment on the library post saying that it didn’t work! I assume all is good now and it was user error?

  As for basing the curves on standard deviations I will have to consider how to do this. I coded this almost ten months ago so I will have to remind myself of how the code works first! Strangely I found myself coding something similar yesterday before realising that I had already created an indicator to do almost the same thing. I must be losing some brain cells!

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  01/06/2021 at 3:23 PM #156609
  Oliviertrader2020

  That’s exactly what I’m looking for, an indicator with lines (like the pivot point indicator) that would indicate 1, 2 and 3 standard deviations (https://www.prorealcode.com/topic/movement-indicator/)

  

  Oliviertrader2020

  Participant

  Topics: 22

  Replies: 49

  Been thanked: 4 times
  01/06/2021 at 5:01 PM #156634
  Vonasi

  Oliviertrader2020 – Yes you have already asked for that in the link that you have given. Asking twice is just double posting!

  • Do not double post. Ask your question only once and only in one forum. All double posts will be deleted anyway so posting the same question multiple times will just be wasting your own time and will not get you an answer any quicker. Double posting just creates confusion in the forums.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
• Author
  Posts