ww58
- ago
I am trying to implement WillVal indicator. It seems to work, but there is one problem. When I change benchmark symbol in the parameters, the indicator value does not change. Why can this be?

CODE:
using WealthLab.Core; using System; using System.Drawing; using WealthLab.Indicators; namespace WealthLab.MyIndicators {    public class WillVal : IndicatorBase    {       //parameterless constructor       public WillVal() : base()       {          OverboughtLevel = 85;          OversoldLevel = 15;       }       //for code based construction       public WillVal(TimeSeries source, String benchmark, Int32 ema1, Int32 ema2, Int32 period)          : base()       {          Parameters[0].Value = source;          Parameters[1].Value = benchmark;          Parameters[2].Value = ema1;          Parameters[3].Value = ema2;          Parameters[4].Value = period;          OverboughtLevel = 85;          OversoldLevel = 15;          Populate();       }       //static Series method       public static WillVal Series(TimeSeries source, String benchmark, Int32 ema1, Int32 ema2, Int32 period)       {          return new WillVal(source, benchmark, ema1, ema2, period);       }       //name       public override string Name       {          get          {             return "Will Val";          }       }       //abbreviation       public override string Abbreviation       {          get          {             return "WillVal";          }       }       //description       public override string HelpDescription       {          get          {             return "Larry William's WillVal. Benchmark TLT, GLD, UUP.";          }       }       //price pane       public override string PaneTag       {          get          {             return "WillVal";          }       }       //default color       public override WLColor DefaultColor       {          get          {             return WLColor.Navy;          }       }       //default plot style       public override PlotStyle DefaultPlotStyle       {          get          {             return PlotStyle.Oscillator;          }       }       //populate       public override void Populate()       {          TimeSeries source = Parameters[0].AsTimeSeries;          String benchmark = Parameters[1].AsString;          Int32 ema1 = Parameters[2].AsInt;          Int32 ema2 = Parameters[3].AsInt;          Int32 period = Parameters[4].AsInt;          DateTimes = source.DateTimes;          if (period <= 0 || ema1 <= 0 || ema2 <= 0 || benchmark == "")             return;          TimeSeries price = new TimeSeries(DateTimes);          TimeSeries value = new TimeSeries(DateTimes);          TimeSeries wv = new TimeSeries(DateTimes);          BarHistory bBenchmark = WLHost.Instance.GetHistory(benchmark, source.DetermineScale(), DateTime.MinValue, DateTime.MaxValue, 0, null);          TimeSeries bPrice = TimeSeriesSynchronizer.Synchronize(bBenchmark.Close, source);          TimeSeries ma1 = EMA.Series(source, ema1);          TimeSeries ma2 = EMA.Series(source, ema2);          price = bPrice / source;          value = ma1 - ma2;          // Calculate WV series          for (int i = source.FirstValidIndex; i < source.Count; i++)          {             int start = Math.Max(0, i - period + 1);             double min = value[start];             double max = value[start];             for (int j = start; j <= i; j++)             {                if (value[j] < min) min = value[j];                if (value[j] > max) max = value[j];             }             if (max != min)                Values[i] = 100.0 * (value[i] - min) / (max - min);             else                Values[i] = double.NaN;          }       }       //generate parameters       protected override void GenerateParameters()       {          AddParameter("Source", ParameterType.TimeSeries, PriceComponent.Close);          AddParameter("Benchmark", ParameterType.String, "GLD");          AddParameter("EMA1", ParameterType.Int32, 2);          AddParameter("EMA2", ParameterType.Int32, 22);          AddParameter("Period", ParameterType.Int32, 65);       }    } }
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- ago
#1
You have:

price = bPrice / source;

Hence, via bPrice, price is based on your benchmark symbol. But, you never use price after you assign its values.
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ww58
- ago
#2
QUOTE:
Hence, via bPrice, price is based on your benchmark symbol. But, you never use price after you assign its values.
That's right, error in calculations

It seems the correct one is
CODE:
         price = bPrice / source;                    TimeSeries ma1 = EMA.Series(price, ema1);          TimeSeries ma2 = EMA.Series(price, ema2);
and
CODE:
AddParameter("EMA1", ParameterType.Int32, 22); AddParameter("EMA2", ParameterType.Int32, 2);
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