Fix Starting Point for Calculation

Optuma Scripting
1

Hi,

I want to calculate a breadth indicator using the S&P 500 Advancing and Declining issues with a fixed starting point.

The calculation is the following:
Suppose the oscillator stands at 100 at yesterdays close.
Suppose today there are 220 advancing issues and 385 declining issues of the S&P 500.

The calculation for yesterday was: N(yesterday) = 100;
N(today) = (0.9 * N(yesterday)) + (0.1 * (Advances(today) - Declines(today))

using the data from the above example:
N(today) = (0.9 * 100) + (0.1 * (220 – 385) = 73.5

Var1 = GETDATA(CODE=ADVSPX:BM); 
Var2 = GETDATA(CODE=DECSPX:BM); 

Var3 = (0.9 * 100) + (0.1 * (Var1 - Var2)); 
Var4 = (0.9 * Var3[1]) + (0.1 * (Var1 - Var2)); 
Var4

My script above is wrong because of the starting point. Var3 has to be a “different one” but I don’t know what is the right code.

Any help is very appreciated.

Thanks
Thomas

2

Hi Thomas,

The value of 100 is not needed.

Var3 = Var1 - Var2; 
Var4 = (0.9 * Var3[1]) + (0.1 * Var3);

Optuma will sort out the first value. You can use BarIndex to do an IF() and do a special case when it is 0, but it should not be necessary.

Hope that helps.
Mathew