Derivative Oscillator - Wealth Lab Forum

Derivative Oscillator

Author: sofia

Creation Date: 12/30/2012 1:47 PM

Wealth Lab » Technical Indicators » Derivative Oscillator

sofia

12/30/2012 1:47 PM

Hello,

I am looking for derivative oscillator. It is a combination of RSI and 3 moving averages and has somewhat predictive properties. I couldn't find it on TASC, community or WL general indicators.
Is this something that can be coded or added to our set of indicators.

Thanks,

Sofia

Eugene

12/30/2012 2:13 PM

Check this out:

CODE:
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Here's the original article by the indicator's author Constance Brown: PDF file

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Check this out:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class DerivativeOscDemo : WealthScript
	{
		private StrategyParameter paramPeriodRSI;
		private StrategyParameter paramPeriod1;
		private StrategyParameter paramPeriod2;
		private StrategyParameter paramPeriod3;
		
		public DerivativeOscDemo()
		{
			paramPeriodRSI = CreateParameter("RSI Period", 14, 2, 30, 1);
			paramPeriod1 = CreateParameter("EMA Period 1", 5, 2, 20, 1);
			paramPeriod2 = CreateParameter("EMA Period 2", 3, 2, 10, 1);
			paramPeriod3 = CreateParameter("SMA Period", 9, 2, 20, 1);
		}
		
		protected override void Execute()
		{
			int perRSI = paramPeriodRSI.ValueInt;
			int perEMA1 = paramPeriod1.ValueInt;
			int perEMA2 = paramPeriod2.ValueInt;
			int perSMA = paramPeriod3.ValueInt;
			
			EMACalculation em = EMACalculation.Modern;
			RSI rsi = RSI.Series( Close, perRSI );
			EMA rsiEma1 = EMA.Series( rsi, perEMA1, em );
			EMA rsiEma2 = EMA.Series( rsiEma1, perEMA2, em );
			SMA rsiSma = SMA.Series( rsiEma2, perSMA );
			DataSeries derivOsc = rsiEma2 - rsiSma;
			derivOsc.Description = string.Concat("Derivative Oscillator(",perRSI,",",perEMA1,",",perEMA2,",",perSMA,")");

for(int bar = GetTradingLoopStartBar(perRSI * 3); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, derivOsc, 0 ) )
						SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if( CrossOver( bar, derivOsc, 0 ) )
						BuyAtMarket( bar+1 );
				}
			}
			
			ChartPane doPane = CreatePane( 40,true,true );
			PlotSeries( doPane, derivOsc, Color.Navy, LineStyle.Histogram, 4 );
			HideVolume();
		}
	}
}[/CODE]

Here's the original article by the indicator's author Constance Brown: [LINK=http://www.aeroinvest.com/chart%20Gallery/derivative.pdf]PDF file[/LINK]