- ago
Below is a new WL8 community indicator that could be useful in upcoming market situations and/or a top N rotation ranking system.

The Minervini Trend Ratio (MTR) combines several moving averages as well as closing prices in relation to the 52-week high / 52-week low and the Mansfield RS to determine a trend direction to show the current potential. A total of 10 criteria are used, which are compared with each other resulting in a ratio. The condition is considered to be met if the ratio is 90 or greater. Strong trends should be greater than 100.



CODE:
using System; using System.Collections.Generic; using System.Drawing; using System.Text; using WealthLab.Core; using WealthLab.Indicators; namespace WealthLab.Indicators { public class MinerviniTrendRatio : IndicatorBase { public MinerviniTrendRatio() : base() { } public MinerviniTrendRatio(BarHistory source, String rsSymbol, double sma200Up5MonthsMultiplier, double priceUp70Pctg52WeekLowMultiplier, double priceWithin25Pctg52WeekHighMultiplier) : base() { Parameters[0].Value = source; Parameters[1].Value = rsSymbol; Parameters[2].Value = sma200Up5MonthsMultiplier; Parameters[3].Value = priceUp70Pctg52WeekLowMultiplier; Parameters[4].Value = priceWithin25Pctg52WeekHighMultiplier; Populate(); } public static MinerviniTrendRatio Series(BarHistory source, String rsSymbol, double sma200Up5MonthsMultiplier, double priceUp70Pctg52WeekLowMultiplier, double priceWithin25Pctg52WeekHighMultiplier) { string key = CacheKey("MinerviniTrendRatio", rsSymbol, sma200Up5MonthsMultiplier, priceUp70Pctg52WeekLowMultiplier, priceWithin25Pctg52WeekHighMultiplier); if (source.Cache.ContainsKey(key)) return (MinerviniTrendRatio)source.Cache[key]; MinerviniTrendRatio mttr = new MinerviniTrendRatio(source, rsSymbol, sma200Up5MonthsMultiplier, priceUp70Pctg52WeekLowMultiplier, priceWithin25Pctg52WeekHighMultiplier); source.Cache[key] = mttr; return mttr; } protected override void GenerateParameters() { AddParameter("Source", ParameterType.BarHistory, PriceComponent.Close); AddParameter("Relative Strength Index", ParameterType.String, "$NDX"); AddParameter("Multiplier: SMA 200 trending up at least 5 months", ParameterType.Double, 1.1); AddParameter("Multiplier: Price at least 70% above 52 Week Low", ParameterType.Double, 1.2); AddParameter("Multiplier: Price within 25% of 52 Week High", ParameterType.Double, 1.2); } public override string Name { get { return "Minervini Trend Ratio"; } } public override string Abbreviation { get { return "MTR"; } } public override string HelpDescription { get { return "The Minervini Trend Ratio combines several moving averages as well as closing prices in relation to the 52-week high / 52-week low and the Mansfield relative strength to determine a trend direction to show the current potential. A total of 10 criteria are used, which are compared with each other resulting in a ratio. The condition is considered to be met if the ratio is 90 or greater. Strong trends should be greater than 100."; } } public override string PaneTag { get { return "Minervini Trend Ratio"; } } public override PlotStyle DefaultPlotStyle { get { return PlotStyle.Line; } } public override WLColor DefaultColor { get { return WLColor.CornflowerBlue; } } public override void Populate() { BarHistory bars = Parameters[0].AsBarHistory; String indexSymbol = Parameters[1].AsString; double sma200Up5MonthsMultiplier = Parameters[2].AsDouble; double priceUp70Pctg52WeekLowMultiplier = Parameters[3].AsDouble; double priceWithin25Pctg52WeekHighMultiplier = Parameters[4].AsDouble; DateTimes = bars.DateTimes; if (bars.Count == 0 || bars.Count < 200) return; BarHistory indexDailyBars = WLHost.Instance.GetHistory(indexSymbol, bars.Scale, DateTime.MinValue, DateTime.MaxValue, bars.Count, null); TimeSeries minerviniRatio = new TimeSeries(bars.DateTimes); TimeSeries mansfieldRs = new TimeSeries(bars.DateTimes); mansfieldRs = SMA.Series(((((bars.Close / indexDailyBars.Close) * 100) / SMA.Series(((bars.Close / indexDailyBars.Close) * 100), 200)) - 1) * 100, 5); Lowest minervini52WeeklsLow = new Lowest(bars.Low, 252); Highest minervini52WeeklsHigh = new Highest(bars.High, 252); SMA minerviniSma20 = new SMA(bars.Close, 20); SMA minerviniSma50 = new SMA(bars.Close, 50); SMA minerviniSma150 = new SMA(bars.Close, 150); SMA minerviniSma200 = new SMA(bars.Close, 200); ConsecUp minerviniConsecUpSma200 = new ConsecUp(minerviniSma200, 1); for (int idx = 0; idx < bars.Count; idx++) { bool condition1 = bars.Close[idx] > minerviniSma150[idx] && bars.Close[idx] > minerviniSma200[idx]; bool condition2 = minerviniSma150[idx] > minerviniSma200[idx]; bool condition3 = minerviniConsecUpSma200[idx] >= 21; bool condition4 = minerviniConsecUpSma200[idx] >= (5 * 21); bool condition5 = minerviniSma50[idx] > minerviniSma150[idx] && minerviniSma50[idx] > minerviniSma200[idx]; bool condition6 = bars.Close[idx] > minerviniSma50[idx]; bool condition7 = idx - 252 >= 0 && (bars.Close[idx] > minervini52WeeklsLow[idx] * (1.0 + (30.00 / 100.0))); bool condition8 = idx - 252 >= 0 && (bars.Close[idx] > minervini52WeeklsLow[idx] * (1.0 + (70.00 / 100.0))); bool condition9 = bars.Close[idx] >= (0.75 * minervini52WeeklsHigh[idx]); double cumulatedRatio = 0; int conditionCount = 10; cumulatedRatio += condition1 ? (100 / conditionCount) : 0; cumulatedRatio += condition2 ? (100 / conditionCount) : 0; cumulatedRatio += condition3 ? (100 / conditionCount) : 0; cumulatedRatio += condition4 ? (100 / conditionCount) * sma200Up5MonthsMultiplier : 0; cumulatedRatio += condition5 ? (100 / conditionCount) : 0; cumulatedRatio += condition6 ? (100 / conditionCount) : 0; cumulatedRatio += condition7 ? (100 / conditionCount) : 0; cumulatedRatio += condition8 ? (100 / conditionCount) * priceUp70Pctg52WeekLowMultiplier : 0; cumulatedRatio += condition9 ? (100 / conditionCount) * priceWithin25Pctg52WeekHighMultiplier : 0; double mrsRatio = mansfieldRs[idx] > 30 ? (100 / 10) * 1.3 : mansfieldRs[idx] > 20 ? (100 / 10) * 1.2 : mansfieldRs[idx] > 10 ? (100 / 10) * 1.1 : mansfieldRs[idx] > 0 ? (100 / 10) : 0; cumulatedRatio += mrsRatio; Values[idx] = cumulatedRatio; } } } }
2
712
Solved
5 Replies

Reply

Bookmark

Sort
- ago
#1
It's added to WL8ExtensionDemos (and soon to be included in B33):
https://github.com/LucidDion/WL8ExtensionDemos/commits/master

Many thanks for sharing your work with the community!
1
Best Answer
- ago
#2
Please add to Community Indicators also.
0
Cone8
 ( 21.65% )
- ago
#3
fwiw, there's a [lack of] synchronization error in the code above.
0
- ago
#4
Anyone else getting "Could not compile" when trying to use MTR in a system test?
When scrolling down through the available indicators using the block method MTR shows up twice.
The indicator works fine on an individual chart but not in a system as a filter.
0
- ago
#5
It's duplicated on your PC, perhaps you saved it as a custom indicator.
1

Reply

Bookmark

Sort