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Calculating weekly indicators

Posted: Wed May 12, 2010 4:02 pm
by mlvn23

I'm test driving TradingBlox by implementing one of the systems that I follow. I mainly trade in weekly time frame, but it seems like some indicators are not implemented as functions (ADX and ATR), so if I want a weekly version of it, then I need to implement my own? Or maybe load weekly prices instead of daily (that would be inconvenient)?



Posted: Wed May 12, 2010 4:49 pm
by Roger Rines
When using Weekly data Trading Blox's built-in indicators will provide the ATR and ADX without much more than addition of the length variable and an indicator name.

Weekly data is an approach used often when the entry and exit decisions are only made on the first and or last bar of each week. If you are using weekly data as the basis of your system control calculations, but are using daily data to enter and exit the market as the data appears each trade day, then you'll need to use daily data, and then apply your system control calculations to the weekly data Trading Blox creates when that preference option is enabled.

To work with weekly data when loading daily data, the built-in indicators won't be helpful if you need them to only use weekly data. In this later case, you'll need to use code that only works with weekly data. To understand how that might be done, consider this module in the Blox Marketplace: Weekly Bar Average True Range Calculation

Creating the ADX won't be much of an effort if you use the above module as a skeleton process that you mold into handling the DX+ & DX- calculations, and then the combining and averaging the ADX requires.

Posted: Wed May 12, 2010 4:58 pm
by Roger Rines
I didn't notice the forum you posted when I provided the link.

The above link won't work unless you are a TB customer. With that in mind, maybe getting a peek at the image that is shown in the posting might be helpful to give you confidence the effort isn't hard:
Image above shows the Weekly ATR values of the daily 10-Year Notes for the period displayed.

Posted: Thu May 13, 2010 4:04 pm
by mlvn23
Thanks for the tip, Roger. I went with the weekly data route and I got it to work last night.

Posted: Tue Jun 01, 2010 7:31 am
by Trentham
Hi Roger,

Many thanks for this generous contribution. Given my stock data vendor does not provide weekly data it will allow me to test and investigate weekly strategies that I otherwise would not be able to do.

I am however having a small problem in implementing the block in that I get the following error message. I can confirm that I have Process Weekly Bars checked but my problem seems to be at least somewhat related to the Years of Priming Data value located in Preferences. Regardless of the input value (in this case 5 years) I get the message that the week index for weekHigh is one greater than the maximum allowed (again, in this case it is 262 vs 261).

I understand that instrument priming requires the maximum bars required for indicators plus one, plus the maximum lookback parameter plus one so is there something I'm missing in relation to how this weekly ATR indicator is being primed? To give you some idea I have approx. 16 yrs of data available before this test's start date of 1 January 2008.

Please let me know if you need any further information and any assistance you can provide is much appreciated.

EDIT - made image narrower - Moderator

Posted: Tue Jun 01, 2010 11:53 am
by Roger Rines
Hello Trentham,

Thanks for the nice words, and I'm sorry I didn't remember to update the blox when I made the change to my local version of the _Weekly_AvgTrueRange indicator.

Line # 57 needs to have 2 instead of a 1 to prevent the out-of-bounds array error that is happening with the recent versions of Trading Blox.

That change is now described in the original blox posting, and a new version of the blox was upload and is now available here: TB_Weekly_ATR_Edits_20100601.gif

Posted: Thu Jun 03, 2010 2:59 am
by Trentham
Roger, your change has got it working. Thanks again.