Movement indicator

• 01/05/2021 at 6:50 PM #156496
  Oliviertrader2020

  Hello,

  The attached image shows the daily percentage movement of the S&P 500 over the last 10 years.

  Someone can help me create an indicator, similar to the pivot point and its SDs, that would indicate the levels on a daily basis: +1%, +2, +3%, -1%, 2% and -3%.

  Ideally, an indicator, also similar to the pivot point, would be created that would indicate the standard deviations (annualized) of daily return: 1, +2 and +3 standard deviations and -1, – 2 and -3 standard deviations:
  https://blogs.cfainstitute.org/investor/2012/08/27/fact-file-sp-500s-sigma-events/

  Thank you.

  

  Oliviertrader2020

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  01/06/2021 at 3:16 PM #156604
  Oliviertrader2020

  Here’s a picture that shows what I want:
  lines that are +/-1%, +/- 2% and +/-3% of the previous day’s close.
  No need to color the buying and selling areas, just to have an indicator with lines similar to the pivot points.

  

  Oliviertrader2020

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  01/06/2021 at 3:51 PM #156613
  Vonasi

  Something like this?

  if opendayofweek <> opendayofweek[1] then perc1 = close[1]*1.01 perc2 = close[1]*1.02 perc3 = close[1]*1.03 percd1 = close[1]*0.99 percd2 = close[1]*0.98 percd3 = close[1]*0.97 endif drawsegment(barindex,perc1,barindex+1,perc1) coloured(0,128,0) style(dottedline,1) drawsegment(barindex,perc2,barindex+1,perc2) coloured(0,128,0) style(dottedline,2) drawsegment(barindex,perc3,barindex+1,perc3) coloured(0,128,0) style(dottedline,3) drawsegment(barindex,percd1,barindex+1,percd1) coloured(128,0,0) style(dottedline,1) drawsegment(barindex,percd2,barindex+1,percd2) coloured(128,0,0) style(dottedline,2) drawsegment(barindex,percd3,barindex+1,percd3) coloured(128,0,0) style(dottedline,3) return

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  if opendayofweek <> opendayofweek[1] then perc1 = close[1]*1.01 perc2 = close[1]*1.02 perc3 = close[1]*1.03 percd1 = close[1]*0.99 percd2 = close[1]*0.98 percd3 = close[1]*0.97 endif   drawsegment(barindex,perc1,barindex+1,perc1) coloured(0,128,0) style(dottedline,1) drawsegment(barindex,perc2,barindex+1,perc2) coloured(0,128,0) style(dottedline,2) drawsegment(barindex,perc3,barindex+1,perc3) coloured(0,128,0) style(dottedline,3) drawsegment(barindex,percd1,barindex+1,percd1) coloured(128,0,0) style(dottedline,1) drawsegment(barindex,percd2,barindex+1,percd2) coloured(128,0,0) style(dottedline,2) drawsegment(barindex,percd3,barindex+1,percd3) coloured(128,0,0) style(dottedline,3)   return

   

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  Oliviertrader2020

  

  Vonasi

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  01/06/2021 at 3:53 PM #156614
  Nicolas

  So, roughly, that’s the standard deviation of an “all time” average of the SP500?

  

  Nicolas

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  01/06/2021 at 4:14 PM #156621
  Vonasi

  I just coded simple percentage of yesterdays closing price as that is what the second post described and showed in the image.

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  Razz

  

  Vonasi

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  01/06/2021 at 5:12 PM #156636
  Oliviertrader2020

  Yes, that’s exactly it! Thank you very much.

  

  Oliviertrader2020

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  01/06/2021 at 5:40 PM #156643
  Oliviertrader2020

  Is it possible to create the same indicator but this time using 1, 2 and 3 standard deviations ?

  The most commonly used calculation method is the standard deviations annualized of daily return.
  It would be ideal to have such an indicator because it would indicate the levels used by many mean reversion algorithms.

  But if it’s too difficult to program with PRT it will be easier to create an indicator with standard deviations of daily returns that takes into account the days displayed on the graph (as on your post).

  

  Oliviertrader2020

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  01/06/2021 at 5:44 PM #156644
  Oliviertrader2020

  Hello Nicolas. Not necessarily “all time” because the markets are much more volatile these last decades.
  The most commonly used calculation method is the standard deviations annualized of daily return.
  But if this is too difficult to program with PRT, an indicator with standard deviations of daily returns that take into account the days displayed on the chart is a good alternative.

  

  Oliviertrader2020

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  01/07/2021 at 7:13 AM #156684
  Oliviertrader2020

  Hello @Vonasi, I can’t call the indicator to use it in an algorithm.
  The idea is to buy when the price has rebounded close to the -2% level.
  I created a simplified version of the indicator with only this -2% level:

  Indicator

  if opendayofweek <> opendayofweek[1] then percd2 = close[1]*0.98 endif drawsegment(barindex,percd2,barindex+1,percd2) coloured(0,128,0) style(dottedline,2) return

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  if opendayofweek <> opendayofweek[1] then percd2 = close[1]*0.98   endif drawsegment(barindex,percd2,barindex+1,percd2) coloured(0,128,0) style(dottedline,2) return

  Mais lorsque je lance le backtest de l’algo,  aucuns trades ne ressort :

  Mean SD-2

  DEFPARAM Cumulateorders = False // Conditions pour ouvrir une position acheteuse StandardDeviation = Call "SD2" c1 = low[1] < StandardDeviation[1] c2 = close > StandardDeviation ConditionsAchat = C1 AND C2 IF NOT LongOnMarket AND ConditionsAchat THEN BUY 1 CONTRACTS AT MARKET ENDIF // Conditions pour fermer une position acheteuse C3 = close >= Average[20](close) ConditionsCloseAchat = C3 If LongOnMarket AND ConditionsCloseAchat THEN SELL AT MARKET ENDIF

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  DEFPARAM Cumulateorders = False   // Conditions pour ouvrir une position acheteuse   StandardDeviation = Call "SD2"   c1 = low[1] < StandardDeviation[1]   c2 = close > StandardDeviation   ConditionsAchat = C1 AND C2   IF NOT LongOnMarket AND ConditionsAchat THEN BUY 1 CONTRACTS AT MARKET ENDIF   // Conditions pour fermer une position acheteuse   C3 = close >= Average[20](close)   ConditionsCloseAchat = C3   If LongOnMarket AND ConditionsCloseAchat THEN SELL AT MARKET ENDIF

  Can you help me find the error?

  

  Oliviertrader2020

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  01/07/2021 at 9:02 AM #156703
  Nicolas

  Annualized Standard Deviation = Standard Deviation of Daily Returns * Square Root (250)

  Annualized Standard Deviation

  //Annualized Standard Deviation = Standard Deviation of Daily Returns * Square Root (250) //you can change the observed period with "period" setting below: period = 200 a=std[period](variation)*sqrt(250) return a as "annualized STD of a given period"

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  //Annualized Standard Deviation = Standard Deviation of Daily Returns * Square Root (250) //you can change the observed period with "period" setting below: period = 200 a=std[period](variation)*sqrt(250) return a as "annualized STD of a given period"

   

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  Nicolas

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  01/07/2021 at 9:20 AM #156710
  Vonasi

  Surely the SQRT(250) relates to 52 times 5 candle weeks minus holidays? On PRT’s 6 candle weeks something like 302 would be more accurate? Or perhaps we could use something like my days in year calculator from here:

  https://www.prorealcode.com/topic/how-many-bars-in-a-year-indicator/

  

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  01/07/2021 at 9:23 AM #156712
  Vonasi

  Oliviertrader2020 wrote:

  I can’t call the indicator to use it in an algorithm.

  Your indicator does not return a value to be used in the strategy – it just draws a segment.

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  Vonasi

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  01/07/2021 at 10:57 PM #156826
  Oliviertrader2020

  Thank you @Vonasi. I modified the last line of the indicator in several ways:

  return percd2 return percd2 as "SD2" return percd2 as "SD2", to as "0"

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  return percd2   return percd2 as "SD2"   return percd2 as "SD2", to as "0"

  There has been a change with a line that connects each daily segment.
  But on the other hand there is still no result when I run the algorithm.
  There is even an error report that is displayed at the end of the backtest regardless of the final line.

  Do you know how to return the result that will be taken into account by the algorithm?

  

  Oliviertrader2020

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  01/07/2021 at 10:59 PM #156828
  Oliviertrader2020

  Line 5 :

  return percd2 as "SD2", 0 as "0"

  1	return percd2 as "SD2", 0 as "0"

  

  Oliviertrader2020

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