Floor/Ceiling - Min/Max Of custom function for 100 bars back

[arbor03]

I have used Alexis's Linear Regression study and only slightly modified it. This takes the log of hlc3(inv("D")) for the past 3 bars and returns a linear regression. I need both the result for this daily on the chart I am using and also the min & max values for the result of this code for the past 100 bars. Any suggestions an an efficient way to do this. (Sidenote: Apologize, have not used Javascript since 00 and and very new with eSignal)

Best Regards and Thanks,

Tim

function preMain(){
    setPriceStudy(false);
    setCursorLabelName("LRS", 0);
}
function main(length,source){ 
    if(length==null) length = 4;
    if(source==null) source = hlc3(inv("D"));
    else source = eval(hlc3(inv("D")));//see Notes
    if(getCurrentBarCount()<length) return;
    var Sum1 = 0;
    var Sum2 = 0;
    var SumBars = length*(length-1)*.5;   
    var SumSqBars = (length-1)*length*(2*length-1)/6;
   
    for(var i=0; i<length; i++) {
        test = Math.log(source.getValue(-i))
        Sum1 = Sum1+i*test;
        Sum2 += test;
    }
var Sum3 = SumBars*Sum2;
var Num = length*Sum1-Sum3;   
var Den = SumBars*SumBars-length*SumSqBars;    
if (Den != 0) {
        var LRS = Num/Den;
        LRS     = LRS
        
        LRS      =  Math.atan(LRS)/( Math.PI/180 ); 
 }
 return (LRS);
} 

[buzzhorton]

This should get you closer...

Haven't figured out the 100 bars part yet.

function preMain(){
    setPriceStudy(false);
    setCursorLabelName("LRS", 0);

    setCursorLabelName("MaxLRS", 1);
    setCursorLabelName("MinLRS", 2);


    setDefaultBarFgColor(Color.green,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.blue,2);
}


    var MaxLRS = null;
    var MinLRS = null;

function main(length,source){ 
    if(length==null) length = 4;
    if(source==null) source = hlc3(inv("D"));
    else source = eval(hlc3(inv("D")));//see Notes
    if(getCurrentBarCount()<length) return;
    var Sum1 = 0;
    var Sum2 = 0;
    var SumBars = length*(length-1)*.5;   
    var SumSqBars = (length-1)*length*(2*length-1)/6;
   
    if(MaxLRS == null) MaxLRS = 0;
    if(MinLRS == null) MinLRS = 999999999;


    for(var i=0; i<length; i++) {
        test = Math.log(source.getValue(-i))
        Sum1 = Sum1+i*test;
        Sum2 += test;
    }
var Sum3 = SumBars*Sum2;
var Num = length*Sum1-Sum3;   
var Den = SumBars*SumBars-length*SumSqBars;    
if (Den != 0) {
        var LRS = Num/Den;
        LRS     = LRS
        
        LRS      =  Math.atan(LRS)/( Math.PI/180 ); 


 }



if(LRS > MaxLRS) { MaxLRS = LRS} ;

if(LRS < MinLRS) { MinLRS = LRS} ;


 return new Array(LRS, MaxLRS, MinLRS );
} 

[buzzhorton]

I AM STUMPED


I read the knowledgebase but can't seem to get this to work!


MaxLRS = highest( iNumBars, LRS ) ;
MinLRS = lowest( iNumBars, LRS ) ;

Shouldn't that create a series?

iNumbars IS defined and set = 100.

So why does this hang?

The first version runs fine.

THIS IS SO FRUSTRATING!

I can't wait until I know this stuff.

All the little "gotcha's"

GRRRRRRRRRRRRRRRRRRRR!!!!!!!!!!!!!!!!!!!!!!

function preMain(){
    setPriceStudy(false);
    setCursorLabelName("LRS", 0);

    setCursorLabelName("MaxLRS", 1);
    setCursorLabelName("MinLRS", 2);


    setDefaultBarFgColor(Color.green,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.blue,2);
}

    var MaxLRS = null;
    var MinLRS = null;

function main( iNumBars , length,  source){ 

 
    var xInterval = getInterval()    ;


    if(iNumBars==null) iNumBars = 100;
    if(length==null) length = 4;
    if(source==null) source = hlc3(inv("D"));
    else source = eval(hlc3(inv("D")));//see Notes
    if(getCurrentBarCount()<length) return;
    var Sum1 = 0;
    var Sum2 = 0;
    var SumBars = length*(length-1)*.5;   
    var SumSqBars = (length-1)*length*(2*length-1)/6;
   
    if(MaxLRS == null) MaxLRS = 0;
    if(MinLRS == null) MinLRS = 999999999;


    for(var i=0; i<length; i++) {
        test = Math.log(source.getValue(-i))
        Sum1 = Sum1+i*test;
        Sum2 += test;
    }
var Sum3 = SumBars*Sum2;
var Num = length*Sum1-Sum3;   
var Den = SumBars*SumBars-length*SumSqBars;    
if (Den != 0) {
        var LRS = Num/Den;
        LRS     = LRS
        
        LRS      =  Math.atan(LRS)/( Math.PI/180 ); 

 }


MaxLRS = highest( iNumBars, LRS ) ;  
MinLRS = lowest( iNumBars, LRS ) ;



 if ( isLastBarOnChart() == true ) { 

debugPrint( "MaxLRS: " + formatPriceNumber( MaxLRS ) + "\n" ); 
 
debugPrint( "MinLRS: " + formatPriceNumber( MinLRS ) + "\n" ); 

debugPrint( "iNumBars: " + formatPriceNumber( iNumBars ) + "\n" ); 
}

 return new Array(LRS, MaxLRS, MinLRS );
} 

[buzzhorton]

I THINK I FIGURED IT OUT

var vaLRV = ( LRS , inv(xInterval) ) ;

MaxLRS = highest( iNumBars, vaLRV ) ;
MinLRS = lowest( iNumBars, vaLRV ) ;

Seems to have done it!

function preMain(){
    setPriceStudy(false);
    setCursorLabelName("LRS", 0);

    setCursorLabelName("MaxLRS", 1);
    setCursorLabelName("MinLRS", 2);


    setDefaultBarFgColor(Color.green,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.blue,2);
}

    var MaxLRS = null;
    var MinLRS = null;

function main( iNumBars , length,  source){ 

 
    var xInterval = getInterval()    ;


    if(iNumBars==null) iNumBars = 100;
    if(length==null) length = 4;
    if(source==null) source = hlc3(inv("D"));
    else source = eval(hlc3(inv("D")));//see Notes
    if(getCurrentBarCount()<length) return;
    var Sum1 = 0;
    var Sum2 = 0;
    var SumBars = length*(length-1)*.5;   
    var SumSqBars = (length-1)*length*(2*length-1)/6;
   
    if(MaxLRS == null) MaxLRS = 0;
    if(MinLRS == null) MinLRS = 999999999;


    for(var i=0; i<length; i++) {
        test = Math.log(source.getValue(-i))
        Sum1 = Sum1+i*test;
        Sum2 += test;
    }
var Sum3 = SumBars*Sum2;
var Num = length*Sum1-Sum3;   
var Den = SumBars*SumBars-length*SumSqBars;    
if (Den != 0) {
        var LRS = Num/Den;
        LRS     = LRS
        
        LRS      =  Math.atan(LRS)/( Math.PI/180 ); 

 }

var vaLRV = ( LRS , inv(xInterval) ) ;

MaxLRS = highest( iNumBars, vaLRV ) ;  
MinLRS = lowest( iNumBars, vaLRV ) ;


 
 if ( isLastBarOnChart() == true ) { 

debugPrint( "MaxLRS: " + formatPriceNumber( MaxLRS ) + "\n" ); 
 
debugPrint( "MinLRS: " + formatPriceNumber( MinLRS ) + "\n" ); 

debugPrint( "iNumBars: " + formatPriceNumber( iNumBars ) + "\n" ); 
}

 return new Array(LRS, MaxLRS, MinLRS );
} 

[arbor03]

Many thanks for all of your hard work so far.

What I was hoping for and still has me stumped is this: I need the Maximum and Minimum values of the LRS(angle) that is being calculated for the past 100 bars, not of the price.

Any help that you could provide would be greatly appreciated.

Best Regards,

Tim

[buzzhorton]

What variable is the angle?

[arbor03]

The LRS variable ends up being the angle

LRS      =  Math.atan(LRS)/( Math.PI/180 ); 

But The Min and the Max return to me price figures

iNumBars: 100
MinLRS: 1223.69
MaxLRS: 1325.76
LRS: .2

.2 (LRS) value is the angle, this angle value is what I need the min and max of for the past 100 bars and is calculated off of hlc3 for 3 bars to return the Linear Regression. That 3 day linear regression is what I need the Max & Min of for a rolling 100 bars back

Again Many Thanks,

Tim

[arbor03]

buzzhorton:

Your First reply was the closest, just need to know how to do the rolling 100 bars in there

best,

Tim

[buzzhorton]

This is really frustrating... I can't seem to figure it out.

I know it is something simple!

But for some reason, I can't get the EFS to work properly...

Originally posted by arbor03
The LRS variable ends up being the angle

LRS      =  Math.atan(LRS)/( Math.PI/180 ); 

But The Min and the Max return to me price figures

iNumBars: 100
MinLRS: 1223.69
MaxLRS: 1325.76
LRS: .2

.2 (LRS) value is the angle, this angle value is what I need the min and max of for the past 100 bars and is calculated off of hlc3 for 3 bars to return the Linear Regression. That 3 day linear regression is what I need the Max & Min of for a rolling 100 bars back

Again Many Thanks,

Tim

[buzzhorton]

I still can't figure out SERIES.

I know that LRS needs to be a series!!

But, here's another way around ....

The study starts processing when getCurrentBarIndex() > -100 .

That means the last value plotted for MinLRS and MaxLRS should be of use to you.

I hope someone figures this out and posts it so we all can learn and benefit.

var xInit   = false;

var xOpen   = null;
var xHigh   = null;
var xLow    = null;
var xClose  = null;

var MaxLRS = null;
var MinLRS = null;


function preMain(){    setCursorLabelName("LRS", 0);

    setCursorLabelName("MaxLRS", 1);
    setCursorLabelName("MinLRS", 2);


    setDefaultBarFgColor(Color.green,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.blue,2);

}
function main(length,source){ 

    if(MaxLRS == null) MaxLRS = 0;
    if(MinLRS == null) MinLRS = 999999999;

    if(xInit==false){         


         xOpen   =  open( inv("D") ) ;

         
         xHigh   =  high( inv("D") ) ;

         xLow    =  low( inv("D") ) ;

         xClose  =  close( inv("D") ) ;

         xInit=true;

    } // xInit 


var zOpen   = xOpen.getValue(0) ;

var zClose1 = xClose.getValue(-1) ;

var zHigh   = xHigh.getValue(-1) ;

var zLow    = xLow.getValue(-1) ;

var zMid1   = rnd( ((zHigh + zLow) * .50) , 2 )   ;
var zGap    = rnd( (zOpen - zClose1) , 2) ;

    if(length==null) length = 4;
    if(source==null) source = hlc3(inv("D"));
    else source = eval(hlc3(inv("D")));//see Notes
    if(getCurrentBarCount()<length) return;
    var Sum1 = 0;
    var Sum2 = 0;
    var SumBars = length*(length-1)*.5;   
    var SumSqBars = (length-1)*length*(2*length-1)/6;
   
    for(var i=0; i<length; i++) {
        test = Math.log(source.getValue(-i))
        Sum1 = Sum1+i*test;
        Sum2 += test;
    }
var Sum3 = SumBars*Sum2;
var Num = length*Sum1-Sum3;   
var Den = SumBars*SumBars-length*SumSqBars;    
if (Den != 0) {
        var LRS = Num/Den;
        LRS     = LRS
        
        LRS      =  Math.atan(LRS)/( Math.PI/180 ); 
 }

 
if( getCurrentBarIndex() > -100 ) {


if(LRS > MaxLRS) { MaxLRS = LRS} ;

if(LRS < MinLRS) { MinLRS = LRS} ;


} // getCurrentBarIndex


debugPrint( "MinLRS                 : " + MinLRS  + "\n" ) 
debugPrint( "MaxLRS                 : " + MaxLRS  + "\n" ); 
debugPrint( "getOldestBarIndex()    : " + getOldestBarIndex()   + "\n" ); 
debugPrint( "getCurrentBarIndex()   : " + getCurrentBarIndex()  + "\n" ); 
debugPrint( "getCurrentBarCount()   : " + getCurrentBarCount()  + "\n" ); 


debugPrint( "--------------- " +  "\n" ); 

return new Array(LRS, MaxLRS, MinLRS );

}

//==rnd will round to N digits.
function rnd(value, N) {
    var n;
    var mult=1;
    for(n=0;n<N;n++) mult*=10;
    value*=mult;
    return Math.round( value,N)/mult;
} 

[buzzhorton]

I found this...

http://forum.esignalcentral.com/showthread.php?s=&postid=81978#post81978

I copied and modified the code to see if I code get it to work...

Dang, it seems I am so close..

function preMain() {
    setPriceStudy(false);
    setStudyTitle("IE2");



    setCursorLabelName("LRS", 0);

    setCursorLabelName("MaxLRS", 1);
    setCursorLabelName("MinLRS", 2);


    setDefaultBarFgColor(Color.green,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.blue,2);
}
 
//declare global variables
var bInit = false;
var xMA = null;
var xLRS = null;
var xLR = null;

var length = null;

var Source= null;


var MaxLRS = null;
var MinLRS = null;


//end declaring global variables
 
function main(length,Source){
 
    //intialize the parameters and studies


    if(MaxLRS == null) MaxLRS = 0;
    if(MinLRS == null) MinLRS = 999999999;

    if(length==null) length = 4;
    if(Source==null) Source = hlc3(inv("D"));
    else Source = eval(hlc3(inv("D")));//see Notes
    
    if(bInit==false){
        xMA = sma(length, Source);
        xLR = efsExternal("LR.efs",length,Source);//call the efs and pass the parameters
        xLRS = efsExternal("LRS.efs",length,Source);//call the efs and pass the parameters
        bInit=true;
    }
    //end intializing parameters and studies
    
    //declare the local variables and assign the values
    var nMA = xMA.getValue(0);
    var nLRS = xLRS.getValue(0);
    var nLR = xLR.getValue(0);
    //end declaring local variables
    
    if(nMA==null || nLRS==null || nLR==null) return;//null check
    
    var IE2 = ((nLRS+nMA)+nLR)/2;//calculate the IE/2 average
    


MaxLRS = highest( 100, nLRS ) ;  
MinLRS = lowest( 100, nLRS ) ;

 return new Array(nLRS, MaxLRS, MinLRS );
}
 
//Notes:
//When inputting a Source in Edit Studies use high(), hl2(), etc.
//Because these will be strings ie "high()", "hl2()" etc we use the eval() function 
//in line 19 to evaluate that string in other words to read it as if it were written
//without the quotes "". For more information on the eval() function see the article
//in the Core JavaScript Guide in the EFS KnowledgeBase (link provided below) 

[ACM]

Tim
The enclosed efs should do what you want. It computes the highest and lowest values of the LRS angle over the user defined period.
All inputs are user definable through Edit Studies and the efs is enabled to use external symbols and/or intervals (which means that you can for example run this on a 15 minute chart of ES while calculating the daily value of the LRS angle of NQ).
Alex

[buzzhorton]

Ok Alexis:

Can you explain how and why this works?

Specifically:

1) You turned the LRS calc into an internal function.. what is the reason?

2) You used:
xLRSH = upperDonchian(Lookback,xLRS);
xLRSL = lowerDonchian(Lookback,xLRS);

to get the highest high/ lowest low... what is the reason?

3) You used:


return new Array(getSeries(xLRSH),getSeries(xLRS),getSeries(x LRSL));

What is the reason?

Nothing is obvious to me.

This series stuff still hasn't clicked for me.

THANKING YOU IN ADVANCE.

Originally posted by Alexis C. Montenegro
Tim
The enclosed efs should do what you want. It computes the highest and lowest values of the LRS angle over the user defined period.
All inputs are user definable through Edit Studies and the efs is enabled to use external symbols and/or intervals (which means that you can for example run this on a 15 minute chart of Es while calculating the daily value of the LRS angle of NQ).
Alex

[buzzhorton]

Alexis, I hope you can tell that I am NOT lazy.

I don't mind looking stuff up and figuring it out.

But SOMETIMES, things just don't make sense to me.

Part of the problem comes from knowing other systems.

Now, I found this getseries example:

var myStudy1 = null; 
var myStudy2 = null; 
var bInit = false; 

function main() { 

   if ( bInit == false ) { 
       
      //create a 20-period EMA using 30-min bars 
      myStudy1 = ema( 20, inv(30) ); 

      //create a 20-period EMA using 60-min bars 
      myStudy2 = ema( 20, inv(60) ); 

      bInit = true; 

   } 

   //use getSeries() to assure that the actual series is being returned, rather than the values 
   return new Array( getSeries( myStudy1 ), getSeries( myStudy2 ) ); 
   
   } 

But that just doesn't seem intuitive.

It says "actual series"... doesn't that mean more than one value at a time or does it mean the most recent value of the series?

So I made a little modification:

var myStudy1 = null; 
var myStudy2 = null; 
var bInit = false; 

function main() { 

   if ( bInit == false ) { 
       
      //create a 20-period EMA using 30-min bars 
      myStudy1 = ema( 20, inv(30) ); 

      //create a 20-period EMA using 60-min bars 
      myStudy2 = ema( 20, inv(60) ); 

      bInit = true; 

   } 
   
   zmyStudy1  = myStudy1.getValue(0) ;
   zmyStudy2  = myStudy2.getValue(0) ;

  
    return new Array( zmyStudy1 , zmyStudy2);   
   } 

This is OBVIOUS. zmyStudy1 contains the most recent occurence of myStudy1. And returning:

return new Array( zmyStudy1 , zmyStudy2);

is obvious.

But to me,

return new Array( getSeries( myStudy1 ), getSeries( myStudy2 ) );

is NOT obvious.

One day, this series stuff will sink in... sooner than later, I hope!

[arbor03]

Alexis,

Many thanks!

Can't thank you enough for your hard work.

This is exactly what I was looking for.

Best Regards,

Tim