More from ProRealCode
ProRealCode - Trading & Coding with ProRealTime™
The ProRealTime™ community on the web! Officially sharing ProRealTime knowledge to Worldwide users since 2015!
Indicators use 24hrs and NOT just Trade Hrs Bars > how fix these wrong signals ?
-
The indicators when applied to Indices would be using the bars from all the 24 hours to calculate (including the hours when no global equity markets open), and not just the bars from the trade hours (or the trade hours + pre/post market hours). Is there anyway to fix or adjust this for an indicators AND for automatic trading signals? As IG keep trading for 24 hours on markets, even if a specific market (+ its pre & post market, and its futures) are not being traded anywhere in globe. Would this be giving incorrect readings & incorrect long/short signals for a lot of indicators for any chart using a timeframe less than the daily? This would especially be a problem for Asian Markets, for example if we think of the Nikkei (TSE), or the Hang Seng (HKEX) there is 4 to 5 hours of no global equities market open before their respective markets open. The TSE opens at 0900am Tokyo Time, and its pre-market index futures only opens 15 minutes prior to that at 0845am. Meaning from US markets closing to TSE index futures opening in pre-markets there is 3 hours 45 minutes of no global equity markets open. The Hang Seng then opens later on, which does get about 1 hour of Tokyo and Australia markets trading for its calculations, but still those markets is in no way reflective of China’s current markets conditions though? This might only be an issue for IG users as i don’t see my futures or indices charts showing bars outside of open markets on other platforms charts i use. On this reasoning, if (as attached image) Hang Seng for example (14) on 15 minutes, start calculation 4.5 hours prior at New York time = 1600 (At market close) = calculations made up mostly of no global equities markets open. Now any calculations on more bar would be taking in futures movement (out of Hong Kong market hours) which is mostly related to USA and Europe markets conditions and not the Hong Kong markets. If used a (14) on a 1 hour chart, means we starting calculation 14 hours earlier, which also means after the Hong Kong markets closed.
- ADX(14) = calculates strength and movement relative to a period with no strength, and minimal trading occurring. So wouldn’t it make the start of trade almost everyday appear to be up-trending on the chart?
- Volume Calculations for detecting a trend (eg. Change in volumes, Oscillations, On-Balance Volume etc..) would all be suggesting a spike during trade hours, or a movement above average, or a movement upwards during trade hours relative to volumes occurring (none or minimal) during non-trade hours?
- Moving Averages, Ranges etc..: this (as you can see in the picture) would also be moving up and down with the out of market trades. So for example at the moment the USA markets have been performing well (for Longs), so generally all the indices futures follow them up during the USA market; but the HK market been more bearish / downwards moving. As such what happens is these averages and ranges moving upwards over the non-trade times, but then ‘relative’ to USA market times fall, so get Downtrends or Bearish/Short signals occurring at the start of the HK market even if the market doesn’t have any trend or is actually up (relative to itself). As is the case, you can see here, HK actually opened up from it’s yesterday close (in green), and was a relative flat market (relative to itself).
- Average True Range % or Volatility measures etc.. also these would all be suggesting things changes a lot at start of trades too.
without ’24hr charting extensions’ that IG does
Have you tried using separate data display settings for each Instrument you Trade … see attached at red arrowhead?SkippyTrader thanked this postseparate data display settings for each Instrument you Trade
Thanks, that actually would be a lot easier then re-coding every single indicator. BUT will come with an extra cost of 0.5% fee’s when using the US Indices instrument in your example ( aka USD-based chart), instead of ‘CFDA’ instrument choice (Australian/AUD based CFDs) : “CFDs traded in a currency other than your account’s base currency incurs a currency conversion charge of 0.5%” . – IG Australia But changing to a USA-denominated Futures Chart does indeed make the technical indicators look more accurate, with both my coded above and the in-built look more similar now (image-1 attached). Although they are still different at some points, unsure why this difference is there if the functions are calculating correctly thus giving the same values ¯\_(ツ)_/¯.‘CFDA’ instrument choice (Australian/AUD based CFDs) :
Adjusting times isn’t possible for the CFDA’s instrument neither, because for some odd reason CFDA’s Local market time-zone on PRT is UTC +1:00 (London time) > which in itself is just useless (and creates a big problem) as Australian AEST is 9 hours ahead of London time. So even if i could adjust it, i cant because most of the Asian pre-markets start before the 00:00 (UTC +1:00). Doing this way i could, changing the display/market data to start from 00:00 London time, could probably be the best option?The US Indicies only has USD Currency option, i cant find any other option using the US Indicies (see attached). All the AUD currency options, are under “CFDA”, as shown. If i can manage a way to as such use a US Indices chart but not change currency ?Have you tried and what, you get a message saying
Working through OBV (and other volume-based indicators) it seems i might still be doing something wrong in my computing ? Looking at attached image 1 and you can see there was a few random extreme spikes (circled) occurred for the Trade-Times Adjusted OBV Moving Average, and also for the OBV oscillation – mostly appears related to calculations of the ‘TTSMA’. Also attached image 2, can see these occurring for DI+ in my earlier ADX example too on the 27th of July, which that spike is definitely an error because the corresponding price chart above has very little movement so definitely isn’t corresponding to some sudden strong uptrend? In my mind as far as i think whats occurring is something wrong with the very first bars (at StartTime) calculation?Periods = 100 YesterdayObvClose = 0 //Only regular markets hours: StartTime = 093000 EndTime = 160000 //If want to use bars from Futures Markets also: FuturesStartTime = 040000 FuturesEndTime = 200000 TradeTimes = ( time => StartTime AND time <= EndTime ) // The functions that compute On-Balance Volume Value IF opentime >= StartTime AND opentime <= EndTime THEN //IF opentime >= FuturesStartTime AND opentime <= FuturesEndTime THEN IF close > close[1] then OBVol = OBVol[1] + Volume[1] elsif close < close[1] then ObVol = ObVol[1] - Volume[1] elsif close = close[1] then OBVol = ObVol[1] endif endif // Start the counting for the average of the OBV from within trade time bars, for the oscillator i = 0 TTSMA = 0 FOR j = 0 TO 3000 IF opentime >= StartTime[j] AND opentime <= EndTime[j] THEN //IF opentime >= FuturesStartTime[j] AND opentime <= FuturesEndTime[j] THEN i = i + 1 TTSMA = TTSMA + OBVol[j] IF i = Periods THEN BREAK ENDIF ENDIF NEXT IF opentime >= StartTime AND opentime <= EndTime THEN TTSMA = (TTSMA / Periods) endif //Out of trade times need to keep the OBV value from Close time until the next days Start Time OBVClose = 0 OBVClosen = (17.5)*4 //17.5 hrs from close to next day open, Bars Back for a 15min chart OBVClosei = 1 If opentime >= EndTime OR opentime <= Starttime THEN WHILE OBVClosei < OBVClosen DO IF opentime[OBVClosei] = EndTime THEN OBVol = OBVol[OBVClosei] // Save the CLOSE value for OBV TTSMA = TTSMA[OBVClosei] // Save the Close value of SMA of OBV BREAK ENDIF OBVClosei = OBVClosei + 1 // Keep counting WEND endif // OBV Oscillator options: Diff = OBVol - TTSMA //Perc = Diff/TTSMA*100 RETURN Diff STYLE(histogram,2) AS "OBV Oscillation", 0Hi Skippy… Been working on a solution using a different way, looks promising, but still in bits. I compared the results from your ADX code version to an ADX version I wrote for my code. From the image, the top panel shows the session candles and 2 SMA(10) ‘s. The pink uses 24hr data while the green calculates on, in session periods Though the green SMA uses out of session values at the beginning of the session, it doesn’t take too much imagination to realise that if these beginning candle values were taken from the end of the prior session their would be some difference, but as the session continues, these sma’s would converge together on the 24hr path. I think in general most indicators would do something similar. Below that is the prt-ATR and then , the one I’ve coded, and then yours. Your ADX appears to follow the above mentioned beginning difference and later convergence. In comparing the cursor label values, both prt-ADX and mine give very close readings with each other but yours have higher values by some ~ 60%, If these higher value were at the beginning of a session I could understand that but, later doesn’t compute. It poses the question to me, why?. Now either, I’m comparing apples to oranges or theirs an issue somewhere. Since your having an issue with the OBV it could be an error parsing the data up, or integrating the indicators into it. These are some of the problems I’m encountering, apart from just general errors. As a suggestion, if you create a version which just uses a simple moving average, it would be easy to calculate the values manual to verify coded results. This would verify the parsing of data between sessions at least. An error there will affect all the indicator you write. That’s all I’ve got at the moment, I’ll post when I’ve got anything else.Hi Druby thanks, I added the SMA code as such (attached) and yes it did align along with the PRT’s inbuilt towards end of markets, and did manage get OBV to work (computation was as such not counting correctly > issue was i was doing too many things within the one loop, so broke each step into its own counting loop. The ADX is but still not matching, it looks similar overall general trend but even at some bars it goes opposite way to the inbuilt, eg. downwards vs upwards direction of the DI+ or the ADX lines vs the comparisions.// Time Range ADX - set for HK market: Periods = 14 StartTime = 093000 EndTime = 160000 //For markets with lunch breaks LunchStartTime = 120000 LunchEndTime = 130000 plusDM = max(high-high[1], 0) minusDM = max(low[1]-low, 0) IF plusDM > minusDM THEN minusDM = 0 ENDIF IF plusDM < minusDM THEN plusDM = 0 ENDIF IF plusDM = minusDM THEN plusDM = 0 minusDM = 0 ENDIF TTTR=max(abs(high-close),max(abs(low-close),range)) // Compute the directional indicators // Set intial values to 0 plusDI = 0 minusDI = 0 i = 0 TTATR = 0 // start counting plusDI and minusDI for [j] during trade times FOR j = 0 TO 3000 // Uncomment the time option used: // IF opentime[j] >= StartTime AND opentime[j]<=EndTime THEN // IF opentime >= FuturesStartTime[j] AND opentime <= FuturesEndTime[j] THEN IF opentime[j] >= StartTime AND opentime[j] <= LunchStartTime OR opentime[j]>=LunchEndTime and opentime[j]<=EndTime THEN plusDI = plusDI + plusDM[j] minusDI = minusDI + minusDM[j] TTATR= TTATR + TTTR[j] i = i + 1 IF i = Periods THEN BREAK ENDIF ENDIF NEXT // Compute the DI's using the periods during the trade hours from earlier TTATR=TTATR/Periods plusDI = 100*(plusDI / Periods)/TTATR minusDI = 100*(minusDI / Periods)/TTATR DirectionalIndex = plusDI-minusDI TTADX = 0 i2 = 0 // Compute the ADX's using the periods during the trade hours from earlier FOR j2 = 0 TO 3000 // Uncomment the time option used: // IF opentime >= FuturesStartTime[j] AND opentime <= FuturesEndTime[j] THEN //IF opentime[j2] >= StartTime AND opentime[j2]<=EndTime THEN IF opentime[j] >= StartTime AND opentime[j] <= LunchStartTime OR opentime[j]>=LunchEndTime and opentime[j]<=EndTime THEN TTADX = TTADX + (abs(plusDI - minusDI)/(plusDI + minusDI))[j2] i2 = i2 + 1 IF i2 = Periods THEN BREAK ENDIF ENDIF NEXT TTADX=100*(TTADX/Periods) i3 = 0 TTADXR = 0 FOR j3 = 0 TO 3000 // Uncomment the time option used: // IF opentime >= FuturesStartTime[j] AND opentime <= FuturesEndTime[j] THEN // IF opentime[j2] >= StartTime AND opentime[j2]<=EndTime THEN IF opentime[j] >= StartTime AND opentime[j] <= LunchStartTime OR opentime[j]>=LunchEndTime and opentime[j]<=EndTime THEN TTADXR = TTADXR + TTADX[j3] i3 = i3 + 1 IF i3 = Periods THEN BREAK ENDIF ENDIF NEXT TTADXR=TTADXR/Periods // Graph this data: if opentime>=StartTime AND opentime<=EndTime then backgroundcolor(10,255,10, 30) endif // To Compare to PRT Inbuilts: // PRTADX = ADX[14] // PRTDIPLUS = DIPLUS [14] // PRTDIMINUS = DIMINUS[14] Return plusDI as "DI+", minusDI as"DI-", DirectionalIndex style (histogram) as "DI", TTADX as "ADX", TTADXR as "ADXR", 23 as "23"
- You must be logged in to reply to this topic.
New Reply
Author
Summary
This topic contains 27 replies,
has 4 voices, and was last updated by
4 years, 2 months ago.
Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 08/04/2022 |
| Status: | Active |
| Attachments: | 21 files |
Loading...