TASC 2011-11 | Put/Call Ratio Indicators (Vervoort)

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Traders' Tip text

Wealth-Lab users should install the CBOE Provider extension from Wealth-Lab.com to easily access and update Put/Call Ratio data directly from the CBOE website. The script simply plots the now-formalized PCRI indicators from our ever-expanding TASCIndicator Library. TransformSeries is a routine required only to plot an unscaled version of the Slow PCRI in the 0 to 100 oscillator range of the Fast PCRI and IFT versions of the indicator.

Figure 1. Plots of the raw, but “clipped” P/C Ratio data (bottom) and the three PCRI indicators presented in the article.

Note: The indicators were added to the TASCIndicators library, version 2011.10.0.0

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;
//Requires CBOE provider extensions from www.wealth-lab.com

namespace WealthLab.Strategies
{
	public class PutCallRatioIndicator : WealthScript
	{
		StrategyParameter _rsiPeriod;
		StrategyParameter _wmaPeriod;
		StrategyParameter _devs;
		StrategyParameter _slowRainbowPeriod;
		StrategyParameter _wmaSlow;
		StrategyParameter _rsiPer;
		
		public PutCallRatioIndicator()
		{
			_rsiPeriod = CreateParameter("Fast RSI Period", 5, 2, 30, 1);
			_wmaPeriod = CreateParameter("Fast WMA Period", 5, 2, 10, 1);
			_devs = CreateParameter("SD Multiple", 1.3, 1, 2, 0.1);
			_slowRainbowPeriod = CreateParameter("Slow Rbw Period", 4, 1, 10, 1);
			_wmaSlow = CreateParameter("Slow Smooth Period", 2, 1, 10, 1);
			_rsiPer = CreateParameter("Slow IF RSI Period", 8, 1, 20, 1);
		}	
		
		
		// Transforms a series for unscaled plotting (translated from WL4 Code Library, Dexter Brunet)
		public DataSeries TransformSeries( DataSeries ds, double a1, double a2, double b1, double b2)
		{
			string sName = ds.Description + "(No Scale)";			
			if (Math.Abs(a1 - a2) > 0.00001)
			{
				double a = (b1 - b2)/(a1 - a2);
				double b = (b2 * a1 - a2 * b1)/(a1 - a2);
				DataSeries s = ds * a;
				s += b;				
				s.Description = sName;
				return s;
			}
			else
				return ds;
		}
		
		protected override void Execute()
		{						
			// Access the raw P/C Ratio data
			//DataSeries pcrEQ = GetExternalSymbol("CBOE Put/Call Ratio", "EQUITYPC", true).Close;
			DataSeries pcrEQ = GetExternalSymbol("EQUITYPC", true).Close;
			
			/* Create and plot indicators */			
			HideVolume();	
			DataSeries fastPCRI = PCRiFast.Series(pcrEQ, _rsiPeriod.ValueInt, _wmaPeriod.ValueInt);
			DataSeries uBand = BBandUpper.Series(fastPCRI, 200, 1.3);
			DataSeries lBand = BBandLower.Series(fastPCRI, 200, 1.3);
			DataSeries slowPCRI = PCRiSlow.Series(pcrEQ, _slowRainbowPeriod.ValueInt, _wmaSlow.ValueInt);
			
			ChartPane rsiPane = CreatePane(40, false, true);
			PlotSeries(rsiPane, fastPCRI, Color.Black, LineStyle.Solid, 2);			
			PlotSeries(rsiPane, uBand, Color.Blue, LineStyle.Dashed, 1);
			PlotSeries(rsiPane, lBand, Color.Blue, LineStyle.Dashed, 1);
			
			// Transform slowPCRI for plotting in same pane as fastPCRI
			int n = Bars.Count - 1;
			DataSeries slowT = TransformSeries(slowPCRI, Lowest.Value(n, slowPCRI, n - 30), Highest.Value(n, slowPCRI, n - 30), 0, 100);
			PlotSeries(rsiPane, slowT, Color.Red, LineStyle.Solid, 2);
			
			DataSeries pcri_IF = PCRiSlowIFT.Series(pcrEQ, _slowRainbowPeriod.ValueInt, _wmaSlow.ValueInt, _rsiPer.ValueInt);
			PlotSeries(rsiPane, pcri_IF, Color.Blue, LineStyle.Solid, 2);
			
			ChartPane pcPane = CreatePane(40, false, true);
			PlotSeries(pcPane, pcrEQ, Color.Black, LineStyle.Solid, 2, "P/C Ratio (raw, clipped)");	
		}
	}
}