Problem calculating Stochastic for multiple timeframes

[markdman]

Hello,

I have modified the CustomStoch.efs study to calculate the Stochastic for 4 time frames.
Below is a snippet of code in which the problem seems to occur.
For some reason, the Stochastics for interval 1 and 2 do not calculate.
I have confirmed that all variables are defined correctly.

As all four Stochastics are calculated in a similar manner, I have no idea what the cause is.

function main(KLength,KSmoothing,DLength,Symbol,Interval,Upper,Lower,Params) 
{
   chartInt = getInterval()

   if (debugLevel > 0) debugPrintln("CustStoch: AFTER: getInterval() = " + chartInt + "\tInterval = " + Interval) 

    if(bInit == false){
        if(Symbol == null) Symbol = getSymbol();
        if(Interval == null) Interval = chartInt;
        Interval_2  = Interval * 2;    
        Interval_3  = Interval * 3;        
        Interval_4  = Interval * 4;
        var vSymbol_1 = Symbol+","+Interval;
        var vSymbol_2 = Symbol+","+Interval_2;
        var vSymbol_3 = Symbol+","+Interval_3;
        var vSymbol_4 = Symbol+","+Interval_4;

        if (debugLevel > 0) debugPrintln("Interval: " + Interval + "\tInterval_2: " + Interval_2 + "\tInterval_3: " + Interval_3 + "\tInterval_4: " + Interval_4);        
        if (debugLevel > 0) debugPrintln("vSymbol_1: " + vSymbol_1 + "\tvSymbol_2: " + vSymbol_2 + "\tvSymbol_3: " + vSymbol_3 + "\tvSymbol_4: " + vSymbol_4);        
      
        xStochK_1 = stochK(KLength,KSmoothing,DLength,sym(vSymbol_1));        xStochD_1 = stochD(KLength,KSmoothing,DLength,sym(vSymbol_1));
        if (debugLevel > 0) debugPrintln("xStochK_1: " + xStochK_1 + "\txStochD_1: " + xStochD_1);
        
        xStochK_2 = stochK(KLength,KSmoothing,DLength,sym(vSymbol_2));        xStochD_2 = stochD(KLength,KSmoothing,DLength,sym(vSymbol_2));
        if (debugLevel > 0) debugPrintln("xStochK_2: " + xStochK_2 + "\txStochD_2: " + xStochD_2);
        
        xStochK_3 = stochK(KLength,KSmoothing,DLength,sym(vSymbol_3));        xStochD_3 = stochD(KLength,KSmoothing,DLength,sym(vSymbol_3));
        if (debugLevel > 0) debugPrintln("xStochK_3: " + xStochK_3 + "\txStochD_3: " + xStochD_3);
        
        xStochK_4 = stochK(KLength,KSmoothing,DLength,sym(vSymbol_4));        xStochD_4 = stochD(KLength,KSmoothing,DLength,sym(vSymbol_4));
        if (debugLevel > 0) debugPrintln("xStochK_4: " + xStochK_4 + "\txStochD_4: " + xStochD_4);
        
        addBand( Upper, PS_SOLID, 1, Color.black,"Upper");
        addBand( Lower, PS_SOLID, 1, Color.black,"Lower");
        setShowTitleParameters(eval(Params));
        bInit = true;
    }
} 

Output from the above code is

CustStoch: AFTER: getInterval() = 10      Interval = null
Interval: 10      Interval_2: 20          Interval_3: 30            Interval_4: 40
vSymbol_1: ES #F,10  vSymbol_2: ES #F,20     vSymbol_3: ES #F,30   vSymbol_4: ES #F,40
xStochK_1: null                     xStochD_1: null
xStochK_2: null                     xStochD_2: null
xStochK_3: 44.26229508196721        xStochD_3: 36.458169088334586
xStochK_4: 25.471698113207548       xStochD_4: 23.642081189251016 

Thank you
Mark

[waynecd]

Hi markdman,

The problem is that Interval is defined as a string and to perform your calculation it must be a number. Intervals that won't work are "D, W, M", Tick, and Volume intervals.

Try the code below:

Wayne

debugClear();
var aFPArray = new Array(); 
function preMain() {
var x=0; 
    aFPArray[x] = new FunctionParameter( "KLength", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%K (Fast)" );
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 5 ); 
        addOption( 14 ); 
        setDefault( 5 );
    }  
    aFPArray[x] = new FunctionParameter( "KSmoothing", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%K Smooth");
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 1 ); 
        addOption( 3 ); 
        setDefault( 3 );
    }  
    aFPArray[x] = new FunctionParameter( "DLength", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%D (slow)" );
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 3 ); 
        setDefault( 3 );
    }  
    aFPArray[x] = new FunctionParameter( "vSymbol", FunctionParameter.STRING); 
    with( aFPArray[x++] ) { 
        setName( "Symbol" ); 
        setDefault( "" ); 
    }   
    aFPArray[x] = new FunctionParameter( "Interval", FunctionParameter.NUMBER); 
    with( aFPArray[x++] ) { 
        setName( "Price Interval" ); 
        addOption( 1 );
        addOption( 3 );
        addOption( 10 );
        addOption( 15 );
        addOption( 30 );
        addOption( 60 );
        addOption( 120 );
        addOption( 240 );
        setDefault( 5 ); 
    }   
    aFPArray[x] = new FunctionParameter( "Upper", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "Top Band" );
        setLowerLimit(50);        
        setUpperLimit(100);
        addOption( 70 );
        addOption( 80 ); 
        setDefault( 80 );
    }  
    aFPArray[x] = new FunctionParameter( "Lower", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "Bottom Band" );
        setLowerLimit(1);        
        setUpperLimit(50);
        addOption( 20 ); 
        addOption( 30 ); 
        setDefault( 20 );
    }  

    aFPArray[x] = new FunctionParameter( "Params", FunctionParameter.BOOLEAN); 
    with( aFPArray[x++] ) { 
        setName( "Show Parameters" ); 
        setDefault( false ); 
    }       
}
var debugLevel = 1;
var bInit = false;

function  main(KLength,KSmoothing,DLength,Symbol,Interval,Upper,Lower,Params){

//   if (debugLevel > 0) debugPrintln("CustStoch: AFTER: getInterval() = " + chartInt + "\tInterval = " + Interval) 

    if(bInit == false){
        chartInt = getInterval()
        if(Symbol == null) Symbol = getSymbol();
        if(Interval == null) Interval = chartInt;
        Interval_2  = Interval * 2;    
        Interval_3  = Interval * 3;        
        Interval_4  = Interval * 4;
        var vSymbol_1 = Symbol+","+Interval;
        var vSymbol_2 = Symbol+","+Interval_2;
        var vSymbol_3 = Symbol+","+Interval_3;
        var vSymbol_4 = Symbol+","+Interval_4;

        if (debugLevel > 0) debugPrintln("Interval: " + Interval + "\tInterval_2: " + Interval_2 + "\tInterval_3: " + Interval_3 + "\tInterval_4: " + Interval_4);        
        if (debugLevel > 0) debugPrintln("vSymbol_1: " + vSymbol_1 + "\tvSymbol_2: " + vSymbol_2 + "\tvSymbol_3: " + vSymbol_3 + "\tvSymbol_4: " + vSymbol_4);        
      
        xStochK_1 =  stochK(KLength,KSmoothing,DLength,sym(vSymbol_1));        xStochD_1 =  stochD(KLength,KSmoothing,DLength,sym(vSymbol_1));
        if (debugLevel > 0) debugPrintln("xStochK_1: " + xStochK_1 + "\txStochD_1: " + xStochD_1);
        
        xStochK_2 =  stochK(KLength,KSmoothing,DLength,sym(vSymbol_2));        xStochD_2 =  stochD(KLength,KSmoothing,DLength,sym(vSymbol_2));
        if (debugLevel > 0) debugPrintln("xStochK_2: " + xStochK_2 + "\txStochD_2: " + xStochD_2);
        
        xStochK_3 =  stochK(KLength,KSmoothing,DLength,sym(vSymbol_3));        xStochD_3 =  stochD(KLength,KSmoothing,DLength,sym(vSymbol_3));
        if (debugLevel > 0) debugPrintln("xStochK_3: " + xStochK_3 + "\txStochD_3: " + xStochD_3);
        
        xStochK_4 =  stochK(KLength,KSmoothing,DLength,sym(vSymbol_4));        xStochD_4 =  stochD(KLength,KSmoothing,DLength,sym(vSymbol_4));
        if (debugLevel > 0) debugPrintln("xStochK_4: " + xStochK_4 + "\txStochD_4: " + xStochD_4);
        
        addBand( Upper, PS_SOLID, 1, Color.black,"Upper");
        addBand( Lower, PS_SOLID, 1, Color.black,"Lower");
        setShowTitleParameters(eval(Params));
        bInit = true;
    }//debugPrintln(chartInt);
} 

[waynecd]

I should have added that if you need to use "D, W, M", Tick, and Volume intervals you can calculate the other intervals using something like:

if(Interval == null) Interval = getInterval();
if(Interval == "D") Interval_2 = "W";
else if(...

Wayne

[markdman]

Thank you Wayne for your replies.

Looking at my output at the bottom of my initial post, the intervals were calculated correctly and hence the 4 Symbol vars were set to the expected values.

I have not been able to find any JavaScript reference that defines the outcome of multiplying a number by a string.

It seems that
number + string ==> string
number * sting ==> number.

If I change the code to

 var vSymbol_4 = Symbol+","+Interval * 4; 

this still produces the correct string i.e. ES #F, 40 and that is with the Interval parameter defined as a string.

The problem still remains - why do some of the calculations of the Stochastic return a value and some don't.

If it were the longer timeframes, then it may be due to a lack of data, but it seems to be the smaller timeframes that don't work.

Thank you
Mark

[waynecd]

hi markdman,

Here is a link that explains the string to number conversion:

http://javascript.about.com/od/variablesandoperators/a/vop10.htm

If the "Interval" variable is a string that can be converted to a number then the following script will plot all 4 stochastic conbinations. However, tick (55T), volume (500V), and letter ("D") intervals will not convert.

Here is code that charts all 4 sets of stochastic plots with the "Interval" set as STRING as you originally had it:

debugClear();
var aFPArray = new Array(); 
function preMain() {
var x=0; 
    aFPArray[x] = new FunctionParameter( "KLength", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%K (Fast)" );
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 5 ); 
        addOption( 14 ); 
        setDefault( 5 );
    }  
    aFPArray[x] = new FunctionParameter( "KSmoothing", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%K Smooth");
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 1 ); 
        addOption( 3 ); 
        setDefault( 3 );
    }  
    aFPArray[x] = new FunctionParameter( "DLength", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "%D (slow)" );
        setLowerLimit( 1 );
        setUpperLimit( 200 );
        addOption( 3 ); 
        setDefault( 3 );
    }  
    aFPArray[x] = new FunctionParameter( "vSymbol", FunctionParameter.STRING); 
    with( aFPArray[x++] ) { 
        setName( "Symbol" ); 
        setDefault( "" ); 
    }   
    aFPArray[x] = new FunctionParameter( "Interval", FunctionParameter.STRING); 
    with( aFPArray[x++] ) { 
        setName( "Price Interval" ); 
        addOption( 1 );
        addOption( 3 );
        addOption( 5 );
        addOption( 10 );
        addOption( 15 );
        addOption( 30 );
        addOption( 60 );
        addOption( 120 );
        addOption( 240 );
        setDefault( 3 ); 
    }   
    aFPArray[x] = new FunctionParameter( "Upper", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "Top Band" );
        setLowerLimit(50);        
        setUpperLimit(100);
        addOption( 70 );
        addOption( 80 ); 
        setDefault( 80 );
    }  
    aFPArray[x] = new FunctionParameter( "Lower", FunctionParameter.NUMBER);
    with( aFPArray[x++] ) {
        setName( "Bottom Band" );
        setLowerLimit(1);        
        setUpperLimit(50);
        addOption( 20 ); 
        addOption( 30 ); 
        setDefault( 20 );
    }  

    aFPArray[x] = new FunctionParameter( "Params", FunctionParameter.BOOLEAN); 
    with( aFPArray[x++] ) { 
        setName( "Show Parameters" ); 
        setDefault( false ); 
    }       
}
var debugLevel = 1;
var bInit = false;

function   main(KLength,KSmoothing,DLength,Symbol,Interval,Upper,Lower,Params){

//   if (debugLevel > 0) debugPrintln("CustStoch: AFTER: getInterval() = " + chartInt + "\tInterval = " + Interval) 
    if(bInit == false){
        chartInt = getInterval()
        if(Symbol == null) Symbol = getSymbol();
        if(Interval == null) Interval = chartInt;
        Interval_2  = Interval * 2;    
        Interval_3  =  Interval * 3;        
        Interval_4  =  Interval * 4;
        var vSymbol_1 = Symbol+","+Interval;
        var vSymbol_2 = Symbol+","+Interval_2;
        var vSymbol_3 = Symbol+","+Interval_3;
        var vSymbol_4 = Symbol+","+Interval_4;

        if (debugLevel > 0) debugPrintln("Interval: " + Interval + "\tInterval_2: " + Interval_2 + "\tInterval_3: " + Interval_3 + "\tInterval_4: " + Interval_4);        
        if (debugLevel > 0) debugPrintln("vSymbol_1: " + vSymbol_1 + "\tvSymbol_2: " + vSymbol_2 + "\tvSymbol_3: " + vSymbol_3 + "\tvSymbol_4: " + vSymbol_4);        
      
        xStochK_1 =   stochK(KLength,KSmoothing,DLength,sym(vSymbol_1));
        xStochD_1 =   stochD(KLength,KSmoothing,DLength,sym(vSymbol_1));
        if (debugLevel > 0) debugPrintln("xStochK_1: " + xStochK_1 + "\txStochD_1: " + xStochD_1);
        
        xStochK_2 =   stochK(KLength,KSmoothing,DLength,sym(vSymbol_2));        
        xStochD_2 =   stochD(KLength,KSmoothing,DLength,sym(vSymbol_2));
        if (debugLevel > 0) debugPrintln("xStochK_2: " + xStochK_2 + "\txStochD_2: " + xStochD_2);
        
        xStochK_3 =   stochK(KLength,KSmoothing,DLength,sym(vSymbol_3));        
        xStochD_3 =   stochD(KLength,KSmoothing,DLength,sym(vSymbol_3));
        if (debugLevel > 0) debugPrintln("xStochK_3: " + xStochK_3 + "\txStochD_3: " + xStochD_3);
        
        xStochK_4 =   stochK(KLength,KSmoothing,DLength,sym(vSymbol_4));        
        xStochD_4 =   stochD(KLength,KSmoothing,DLength,sym(vSymbol_4));
        if (debugLevel > 0) debugPrintln("xStochK_4: " + xStochK_4 + "\txStochD_4: " + xStochD_4);
        
        addBand( Upper, PS_SOLID, 1, Color.black,"Upper");
        addBand( Lower, PS_SOLID, 1, Color.black,"Lower");
        setShowTitleParameters(eval(Params));
        bInit = true;
    }//debugPrintln(chartInt);
    return new Array(getSeries(xStochK_1),getSeries(xStochD_1),getSeries(xStochK_2),getSeries(xStochD_2),
                     getSeries(xStochK_3),getSeries(xStochD_3),getSeries(xStochK_4),getSeries(xStochD_4));
} 

wayne

[waynecd]

Just in case I missunderstood your question and you only want the ouput of single values then change your debugPrintln() statements to:

        if (debugLevel > 0) debugPrintln("xStochK_1: " + xStochK_1.getValue(0) + "\txStochD_1: " + xStochD_1.getValue(0));
        if (debugLevel > 0) debugPrintln("xStochK_2: " + xStochK_2.getValue(0) + "\txStochD_2: " + xStochD_2.getValue(0));
        if (debugLevel > 0) debugPrintln("xStochK_3: " + xStochK_3.getValue(0) + "\txStochD_3: " + xStochD_3.getValue(0));
        if (debugLevel > 0) debugPrintln("xStochK_4: " + xStochK_4.getValue(0) + "\txStochD_4: " + xStochD_4.getValue(0)); 

Notes:
1- Calling individual values are usually called from outside the "bInit" IF-THEN statement so they continually update instead of being called only once inside the "bInit".

2-
getValue(-1) gets the previous bar
getValue(-2) gets the value for 2 bars back, etc

3- To get individual values, the call to xStockK_?.getValue(0) etc should be outside of the bInit. As I understand it, if called within the "bInit" routine the xStoch... using the charts internal interval to call individual values will return null but if you use external intervals as the script does for vSymbol_2, etc. then you can retrive the most current value only once. The why this is this way I can only speculate that the external call initializes the series and for the internal interval the series is initialized on the second call of main.

Wayne

[ACM]

Mark

The problem still remains - why do some of the calculations of the Stochastic return a value and some don't.

The following screenshot should provide a graphical illustration as to why the study based on the chart interval will return a null on the first bar of the chart [ie when the bInit routine is executed] and instead return values when based on external intervals



Any time that a call is made to another symbol and/or interval [or to efsInternal() or efsExternal()] the main efs stops execution, and queues a delayed execution. The efs engine then executes the called symbol and/or interval first [and any efsInternal() or efsExternal() calls] and then re-executes the original main efs (this is to allow the efs engine to manage all the dependencies)
So when the bInit routine runs, the study based on the chart interval will return null as that study is not yet fully primed however the studies based on the external intervals will return a value if the data for the intervals they are based on starts enough back in time for the studies to be fully primed in correspondence of that first bar in the chart
Note that the Time Template can affect this behavior (see screenshot enclosed below). If for example I had set the Time Template in my chart to load only 100 bars for the 20 minute interval I would get null also on the external study because it would be returning data only after the first bar of the chart interval
If you are using a Dynamic Time Template then keep in mind that the chart engine will load whatever amount of bars is necessary to "fill" a chart or 300 bars by default [if those accomplish the task] which is why I used 300 bars in my example
Alex

[markdman]

Hi Alex

Thanks for the detailed reply.

Cheers
Mark