Switch Function Issue

Optuma Scripting
1

I tried creating a binary switch using variables from Swing Percentages, but am getting 0 values in the Show View.

BullPct = PERCENTSWING(PERCENT = -5.0);
BearPct = PERCENTSWING(PERCENT = 7.0);
Bear = SwingUp(BearPct);
Bull = SWINGDOWN(BullPct);
SWITCH(Bull < -0.050, Bear > 0.070);

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However, if I do something like:

If ( Bull < -0.05, 1, Bear > 0.07, -1, 0 ))

If works fine. The only issue is that I need to use switch so that the values are either 1 or 0.

What could I be missing?

Thanks,

EK

2

The PercentSwing can only be a positive number, so the BullPct should be 5, with the direction determined by the SwingDown. However, I would use TurnsDown and TurnsUp to get the signal days (so they occur once the required % moves have been made, ie not at the high and the low).

The Switch itself is true when the first condition is met (5% move from a high), and stays true until a 7% move off a low.

Does this do what you need?

BullPct = PERCENTSWING(PERCENT = 5.0);
BearPct = PERCENTSWING(PERCENT = 7.0);
Bear = BearPct TurnsUp;
Bull = BullPct TurnsDown ;
SWITCH(Bull, Bear);
3

Thank you for the assistance as always.

When I do the above and compare the ShowView below with the following code in the BackTester against SPX ( 2005 - 2022 ), I am holding cash at different times than the ShowView would indicate. Specifically in 2019.

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Buy Signal

BullPct = PERCENTSWING(PERCENT = 5);
BearPct = PERCENTSWING(PERCENT = 11);

Bull = BullPct TurnsDown;
Bear = BearPct TurnsUp;

Bull

Sell Signal

BullPct = PERCENTSWING(PERCENT = 5);
BearPct = PERCENTSWING(PERCENT = 11);

Bull = BullPct TurnsDown;
Bear = BearPct TurnsUp;

Bear

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This leads me to believe I am not representing the script from the ShowView correctly within BackTester.

Also, is there a way to display the PercentSwings in the top panel to verify the values? I only see one value option in Percent Swing Chart Overlay, but the high and low percentages are different in this case.

Thanks

Eric

4

Hi Eric,

Scripting and testing with swings can be quite complex because of the underlying data exposed in the testing engine (for a detailed explanation see here).

However, I think the issue may be that you are using different swing lengths, so the 11% swing won’t turn down after every 5% move as the 11% swing may not have turned up yet…

To display both swing values on the chart you would need to apply the overlay tool twice, one using 5% and the other 11%.