## Signal Noise Ratio

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
HWG
Roundtable Fellow
Posts: 84
Joined: Fri Jun 04, 2010 10:21 am
Location: Omaha, NE
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### Signal Noise Ratio

I'm attempting to code up a Signal Noise Ratio as seen in Trend Following with Managed Futures by Greyserman and Kaminski

The formula is essentially:

Abs((Price(t) - Price(n)) / Sum of Abs(Price(t-k) - Price (t-k-1)

An example if N = 100 I'm looking at the \$ price change from today vs 100 days ago divided by the sum of all the absolute price changes for the same period.

I made an indicator with a parameter of lookbackdays for N then have two indicators

AbsPriceChange:

AbsoluteValue(instrument.close-instrument.close[1])

SNR

AbsoluteValue(instrument.close-instrument.close[lookbackdays])/sum(AbsPriceChanges,lookbackdays)

However, if I added to graph and ran a system with it in there I get the following error:

While evaluating the calculated indicator SNRindicator, there was a problem: element count for array is greater than the starting offset.

I'm not really sure what that means. Any thoughts/help? Thanks.

Benson
Full Member
Posts: 18
Joined: Sat Nov 14, 2015 1:44 am

### Re: Signal Noise Ratio

How did you go with this? I'm getting a divide by zero error when calculating the indicator (I assume due to an instance of zero price movement over the lookback period for an instrument).

I coded in :

IF absoluteValue(instrument.close-instrument.close[atrLookBackNoise]) =0 then
noisePriceMovement = -1
else
noisePriceMovement = absoluteValue(instrument.close-instrument.close[atrLookBackNoise])

noisePriceMovement obviously being the denominator of the indicator expression.

But it is still giving me the error

Roger Rines
Roundtable Knight
Posts: 1946
Joined: Wed Oct 06, 2004 10:52 am
Location: San Jose, CA

### Re: Signal Noise Ratio

A few years back, the following Blox was added to Blox Marketplace section: