Mathew

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  • in reply to: Last report date of financials (Fundamental field) #54135
    Mathew
    Mathew
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    • Posts: 1,046

    Hi Karen,

    We double checked our Fundamental supplier and that date is not listed in what they give us. I have no solution on this in the short term.

    All the best

    Mathew

    in reply to: Using a dynamic POWER function calculation #54133
    Mathew
    Mathew
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    Hi Dean,

    The way we set up variables was to treat them as single numbers (not an array of numbers). Because of that the prior values are ignored and it will only show as the last value.

    Something to keep in mind with Optuma is that we do not run each line in the script for each bar but we fully calculate each line. So this line

    $months = FLOOR((BARDATE() – startDate) / daysPerMonth) + 1;

    is fully calculated before the final line is calculated.

    The use of the variables was so we can have $a = 50 and that would allow me to have bars=$a through my code.

    Side note: if you make it #$a = 50; then the “a” will show up in the properties panel.

    So what is the solution?

    Have a running total of the number of months:
    M1 = FLOOR((BARDATE() – startDate) / daysPerMonth) + 1;
    This is an array instead of a single value.

    Use an IF to compound when the month changes
    CMGRTotal = If(M1 <> M1[1], CMGRTotal[1] * CMGR, CMGRTotal[1]);

    What that is saying is if M1 is different from the previous value (M1<>M1[1])
    then multiply our previous value by the CMGR (CMGRTotal[1] * CMGR)
    else Set the value to the same value as last time (CMGRTotal[1]).

    Then you can multiply that by the start value.

    All of this is untested but it should set you in the right direction.

    All the best

    Mathew

    in reply to: Natal Chart Functionality #54113
    Mathew
    Mathew
    • Topics: 16
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    • Posts: 1,046

    Hi Trevor,

    I am hoping to spend some time focusing on these later in the year, I can mark it as something to investigate then.

    All the best

    Mathew

    in reply to: Last report date of financials (Fundamental field) #54071
    Mathew
    Mathew
    • Topics: 16
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    • Posts: 1,046

    Hi Karen,

    After doing a quick check through the data we are getting I don’t see the last reporting date listed. Unless it goes by a different name I do not think that we have it.

    All the best

    Mathew

    in reply to: Automatically calculate public holidays from 1900-2203 #54069
    Mathew
    Mathew
    • Topics: 16
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    That’s Awesome Dean, thanks so much for sharing.

    in reply to: Negative percentage #54067
    Mathew
    Mathew
    • Topics: 16
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    Hi Dean,

    That is legacy from years ago when we started the scripting engine. In the tiles we use in the scanning manager and testers, it used to expose the property into a menu. It was causing us so many issues that we abandoned the concept. The scripting engine still knows how to parse scripts with them in there.

    I did not realise that the default scripts still had them. I’ll have to set aside time to run through them all.

    All the best

    Mathew

    in reply to: Addition of Regular Deductions in Back Tests #54039
    Mathew
    Mathew
    • Topics: 16
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    Hi Lester,

    We are working on a whole new engine for testing. Even as I was putting together the course I would keep reading about ideas/methods which were too hard to achieve in the existing testers. So it is back to the drawing board to build a much more powerful tester.

    The project will take months but we will make sure that we consider this too.

    All the best

    Mathew

    in reply to: Timeframe override: value and plot seem to disagree #54001
    Mathew
    Mathew
    • Topics: 16
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    • Posts: 1,046

    Hi Dean,

    You are touching on something which has been the bane of my life for the past 24 years. The problem is that the weekly bar just has 4 data points and is dated as Friday. There is a lot of detail missing. Inside of Optuma, you can think of a weekly bar as happening on Fridays with 4 blanks in between.

    Because of that, the big issue is when we are mixing Daily and Weekly time frames. In this case displaying a weekly script on a daily chart. It is something that we have to be really careful about.

    When you look at Monday in your images, you see that the value of the weekly line is already set to Friday’s value. It’s not that there was a value on Monday, it is just that the algorithm for drawing is joining all the dots (the closes of the week) and that line passes through all the other 4 days.

    With the cross hair, the spaces are not filled, so there is no data to return a price for on Mon-Thu. So the software goes backwards to find the last price. In this case it is last week Friday.

    We wrestle with this all the time because every solution creates a new set of problems. It is particularly dangerous in testing when I have seen incredible results when mixing daily and weekly, but they were because Friday’s close was known on Monday. I wrote about it in this blog post https://www.optuma.com/the-danger-of-weekly-scripting/

    Hope that helps

    Mathew.

    in reply to: Multiple criteria over several bars #53799
    Mathew
    Mathew
    • Topics: 16
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    Hi Steve,

    You can use the “TimeSinceSignal()” function to get how many bars since the event occurred. So with this we just need to make sure that each TimeSince is less than 4 bars.

    eg

    Sig1 = {Signal Script 1};
    Sig2 = {Signal Script 2};

    (TimeSinceSignal(Sig1) < 4) AND (TimeSinceSignal(Sig2) < 4)

    This will only trigger if they are both within 3 days of each other. Note that you may get multiple results. If that is the case you can use a NoRepeat() function to limit it to 1.

    See https://help.optuma.com/kb/faq.php?id=1030 for more info on the function.

    Hope that helps

    Mathew

    in reply to: Ability to Normalise / Rank a script #53757
    Mathew
    Mathew
    • Topics: 16
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    • Posts: 1,046

    Hi Mandeep,

    This is something that we have been thinking about. We have a plan for “Group” functions where you can specify a group of securities and then perform some action. eg this is one example from our spec on this :

    c1 =jdkrs();
    g1 = GroupAverge(LIST=MyWatchList, jdkrs(), DATERANGE=10 Years, TIMEFRAME=1 Week );
    c1 / g1

    That would compare this RRG value (c1) to the average of the group.

    We are planning for GroupSum, GroupAverage, GroupProduct

    My main driver was so that we could do risk adjusted position sizing in a watchlist.

    The project has been put on hold because it is really hard and early tests were grinding Optuma to a halt. If there is a lot of interest then we can revive it for Optuma 1.6 (1.5’s work is almost done and it will go into Beta by September).

    ————————————

    A small point though. What I wrote above is more for comparison than normalization. When I think of normalization I think of it more as a way of converting all values into a comparable scale. When we teach CMT3, we talk about the COT Oscillator which is a long stochastic applied to the three commitment of traders values for a commodity. It is telling us how the current levels compare to the history. Since that is a number from 0 to 100, it is easy for us to compare a basket of securities to find what we want. You can add a long stochasitc to any indicator.

    Another way is to add a moving average and take the percentage deviation above and below:

    i1 = {My Indicator};
    m1 = MA(i1);

    (i1-m1) / m1 * 100

    For reference, a couple of slides on the COT Data. First is the raw data and the second is the COT Oscillator.

    Hope that helps

    Mathew

    Behavioral Techniques

    Behavioral Techniques (1)

     

    in reply to: Diffusion Index #53661
    Mathew
    Mathew
    • Topics: 16
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    Hi Duke,

    As the diffusion index is an AD line on the %up breadth measure we can just Accumulate the difference in that value.

    You can do this in a ShowView tool.

    Hope that helps

    Mathew

    in reply to: Backtesting Suggestions #53161
    Mathew
    Mathew
    • Topics: 16
    • Replies: 1,030
    • Posts: 1,046

    Hi Mandeep,

    Thanks so much for your suggestions. I am planning a very big rewrite of the backtester later this year. In doing research for the quant course I learned so much more which I want to build in and really took the time to look at some of the features we currently have.

    I’ll add your suggestions to the list that I’m compiling.

    All the best

    Mathew

    in reply to: Hurst – FLD median #53093
    Mathew
    Mathew
    • Topics: 16
    • Replies: 1,030
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    Hi Joao,

    Thanks for that, I’ll have a look and see what we can do.

    All the best

    Mathew

    in reply to: Exporting Data for Ephemeris Chart #52991
    Mathew
    Mathew
    • Topics: 16
    • Replies: 1,030
    • Posts: 1,046

    Hi Barbara,

    Thanks for your post. Is it possible to attach some screen shots of what you are seeing? If you did in the original post but they did not come through, please email the images to support@optuma.com.

    All the best

    Mathew

    in reply to: André Barbault's Cyclic Index #52957
    Mathew
    Mathew
    • Topics: 16
    • Replies: 1,030
    • Posts: 1,046

    Hi Ciro,

    That looks very interesting. You can build this with the Analysis Clusters tool. You would have to add all the individual components in but it can be done.

    See this page for more information https://help.optuma.com/kb/faq.php?id=444 Each script would be built to measure the difference in the angles.

    It is also Similar to the Bradley Sideograph (https://help.optuma.com/kb/faq.php?id=895) and the work of Richard Scott (https://help.optuma.com/kb/faq.php?id=893)

    All the best

    Mathew

     

Viewing 15 posts - 1 through 15 (of 80 total)

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