Concecutive Days without a 1% Decline

Optuma Scripting
1

Hi,

I am trying to write a script that counts the number of consecutive trading days that have passed without a 1% decline.

I have tried some script function combinations but none worked.

Var1 = CHANGE() >=1;
Var2 = ACCSINCESIGNAL(Vart1);
Var2

This one doesn’t worked, too.

Concerning the S&P 500, between 2019/10/08 and 2020/01/26 we had 74 consecutive trading days without a 1% decline. The 1% declines were on 2019/10/08 and on 2020/01/27.

I want use the script in a watch list and use the Show View tool to display the time period we had no 1% decline.

Thanks

Thomas

 

2

Hi Thomas,

There appears to be a typo on your scripts second line…

Var2 = ACCSINCESIGNAL(Vart1);

If you adjust this to VAR1 instead the script appears to work as expected…

Ex5

 

3

Hi Matthew,

always this typo errors!

But anyway the script does not what I want. The script seems to count the 1% days from the beginning of the data file.

I want some sort of count reset so that the script counts each period we had consecutive trading days without a 1% decline separately.

As in my first post mentioned we had 74 consecutive trading days without a 1% decline between 2019/10/08 and 2020/01/26. I “want” the number “74” and not a cumulative total since the start of the data file.

Thanks

Thomas

4

Hi Matthew,

I am here again. It seems that I was in some way not as clear as I thought I am.

Concerning the reset, it should be done on the first day we had a decline of at least 1%. The script above seems to ignore some of the minus 1% declines. See my screen shot.

count

I have created a 1 day ROC with the histogram colored in red when we had a decline of at least 1%.

As you can see some of the script counts do ignore some 1% declines.

I hope I made my issue no clear.

Thanks

Thomas

5

Hi Thomas,

Try this:

V1 = CHANGE()<-1;
TIMESINCESIGNAL(V1)

In a Show View (with the Plot Style set to Dots) it shows the 74 day stretch ending on Feb 27th:

Capture

6

Hi Darren

thanks for the script. It works perfectly. Again only two script lines, I thought so but didn’t got it.

Another perhaps not so intelligent question: How did you created the red lines in the price chart?

Thanks

Thomas

7

It’s a Show Bar set to display as a line:

Change()<-1