Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


TASC 2018-10 | Probability - Probably A Good Thing To Know (Ehlers)

RSS

Traders' Tip text

In October 2018 Traders' Tips, author John Ehlers has shared an interesting technique of charting the probability density of an oscillator to evaluate its applicability to swing trading. However, exporting the data into a text file to be used by Excel for plotting as a bar chart is something we'd like to avoid. What we call the "Wealth-Lab way" would be to conveniently build the chart on-the-fly.

To approach this we’ll leverage the power of .NET framework (preinstalled on any Windows PC) which comes with a powerful charting control under the hood. Its broad feature set can be easily used to extend Wealth-Lab's ability to plot various objects, images and text. Let's employ it to overlay a stock chart with a nice histogram of an oscillator's probability density. Below you can have a look at the short sample code in C# which takes RocketRSI for example (but can be adjusted to accept any oscillator).

Image

Figure 1 shows the histogram of the oscillator’s probability density overlaid on a Daily chart of SPY (10 years of data).

Bottom line: Wealth-Lab lets a trader build some complex logic or visualization without having to resort to 3rd party applications.

Code

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using TASCIndicators;	//required
using System.IO;		//required for plotting
using System.Windows.Forms.DataVisualization.Charting;
//1. Click "References...", then "Other Assemblies..." > "Add a reference"
//2. In "C:\Windows\Microsoft.NET\Framework64\v4.0.30319\" (or "Framework" on 32-bit systems),
//choose and okay "System.Windows.Forms.DataVisualization.dll"

namespace WealthLab.Strategies { public class MyStrategy : WealthScript { protected override void Execute() { var rrsi = RocketRSI.Series(Close,8,10); ChartPane paneRocketRSI = CreatePane(40,true,true); PlotSeries(paneRocketRSI,rrsi,Color.DarkBlue,LineStyle.Solid,2); double[] bin = new double[61]; for(int bar = GetTradingLoopStartBar(10 * 3); bar < Bars.Count; bar++) { for(int i = 1; i <= 60; i++) //Bin the indicator values in Bins from -3 to +3 { double j = (i - 31) / 10d; double k = (i - 30) / 10d; if( rrsi[bar] > j && rrsi[bar] <= k) bin[i] = bin[i] + 1; } }

Chart chart = new Chart(); //Histogram chart chart.Width = 600; string name = "Bins"; chart.ChartAreas.Add(name); chart.ChartAreas[0].AxisX.MajorGrid.Enabled = chart.ChartAreas[0].AxisY.MajorGrid.Enabled = false; chart.ChartAreas[0].AxisX.Title = "Deviation"; //Custom axis titles chart.ChartAreas[0].AxisY.Title = "Occurences"; chart.Series.Add(name); chart.Series[name].ChartType = SeriesChartType.Column;

for(int b = 0; b < bin.GetLength(0); b++) chart.Series[name].Points.AddXY( (b - 31)/10d, bin[b]); using (MemoryStream memStream = new MemoryStream()) { chart.SaveImage(memStream, ChartImageFormat.Png); Image img = Image.FromStream(memStream); DrawImage( PricePane, img, Bars.Count-50, Close[Bars.Count-50], false ); } } } }

Eugene (Gene Geren)
Wealth-Lab team
www.wealth-lab.com

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.