Unusual Financial Function Calculations

[dave]

I am in the process of implementing some of your built in financial funcitons. Today I started with Stochastics and Relative Strength. I found that both of them seem to calculate one value every "Period" number of bars. I have tried setting PeriodStyle to both Range and NumPoints. Neither will do what I am expecting.

Let's look at the RSI study and assume we want to do a 14 bar analysis. On a standard RSI chart in TradeStation, ESignal, etc. a 14-bar RSI will have a data point for every bar beginning at the 14th bar (since you need 14 data points to make your first calculation). On TeeCharts, I get one point every 14 days. Here is a picture of what I get:

RSI Chart

RSI.gif (27.88 KiB) Viewed 8991 times

If you export the data to a spreadsheet and view it, you see 42 RSI data points out of 582 bars. That spreadsheet is attached.

Is there some way to set the RSI (or Stochastic or others like this) function so it looks at every "N" number of bars when doing the calculation (N = 14 in this case) while showing an RSI point for every day?

I want to create a function that lets the user drag a Cursor tool across the screen and show data points from the candel series and studies for that bar. I have it working for the candle series, moving averages, CCI, and ADX. I found, however, that the data stored internally seems to be aligned with the first data points in the Candle series, not the last data points. If you export the data to a spreadsheet and scroll to the bottom you will see where the last few records of the study are blank. This is generally equal to the period value used. I can cope with adjusting backwards for the period, but it would be better if the data aligned with the bars on the screen. In the case of the RSI and Stochastics as they are now, it is next to impossible to find the value for a given day.

I am using

sValue = TChart1.Series(x).YValues(xIndex - Period)

to find the study value for a given bar in the CandleSeries. Do you have a more reliable way to get the value of a study for a given bar in the candle chart?

[Sandra]

Hello dave,

Is there some way to set the RSI (or Stochastic or others like this) function so it looks at every "N" number of bars when doing the calculation (N = 14 in this case) while showing an RSI point for every day?

I think you can do something how do in the demo project, concretely in the All Features\Welcome !\Functions\Financial\RSI or use custom labels adding value are you want in the bottom axes.

I want to create a function that lets the user drag a Cursor tool across the screen and show data points from the candel series and studies for that bar. I have it working for the candle series, moving averages, CCI, and ADX. I found, however, that the data stored internally seems to be aligned with the first data points in the Candle series, not the last data points. If you export the data to a spreadsheet and scroll to the bottom you will see where the last few records of the study are blank. This is generally equal to the period value used. I can cope with adjusting backwards for the period, but it would be better if the data aligned with the bars on the screen. In the case of the RSI and Stochastics as they are now, it is next to impossible to find the value for a given day.

I am using

sValue = TChart1.Series(x).YValues(xIndex - Period)

to find the study value for a given bar in the CandleSeries. Do you have a more reliable way to get the value of a study for a given bar in the candle chart?

I am not sure that understand what you get. Could you please send us a simple code because we can help you find a good solution?

Thanks,

[dave]

All Features\Welcome !\Functions\Financial\RSI has the same problem with it. It only calculates the RSI once every "N" number of bars, where "N" is the period specified in the study.

My question really has nothing to do with the horizontal scale. It has to do with the underlying method used to calculate the financial study (which affects both RSI and Stochastics). If you caluculate a 14 day moving average, it will calculate and display an average on the 14th bar. It will then calculate the average on the 15th bar, 16th bar, and every bar up to the end of the chart. That is a "Moving Average". With RSI and Stochastics if you do a 14 bar study, it calculates on the 14th bar as expected. The next calculation is not displayed until the 28th bar. Subsequent calculations appear on the 14-bar boundries. RSI, Stochastics, and any other financial functions, are commonly displayed with new calculations done on every bar, just like the moving avearage calculation. (If this is something that is supposed to be controlled by setting Line.Style = NumberOfPoints or Range, that is not working).

The second question has to do with the way the results of the data are stored in the YValues array. If I have a candle chart on the screen, I can find the X value for any given bar and use that to look up the Open, High, Low, or Close for that bar. If I have a moving average on that chart, if I look at the YValue(X) for any given day, I will not find the right moving average value. I have to do something like YValue(X - Period) to get it. As long as that is consistant, I am OK with it. Finding the RSI value for any given bar "X" is next to impossible. All the data for the RSI results is stored at the very beginning of the YValues array. I would think that the value of any study shown would be stored in the same "X" slot in the array as it appears on the chart.

Here is a chunk of data exported from a chart of the March 2011 ES contract today. The right-most column are the results of the RSI calculation. Notice how they all appear at the very beginning of the data. In reality, they were calculated once every 14 bars. In a perfect world, there would be no RSI results for the first 13 bars and then there would be results appearing for every bar after that.

(This data does not format properly when displayed on the web site forum. The actual spreadsheet is attached.)


Index Text Close High Low Open Text Y Text Y
0 1/10/2011 0:00 1266.25 1266.25 1266 1266 46 57.14285714
1 1/10/2011 0:01 1266.25 1266.25 1266.25 1266.25 40 42.85714286
2 1/10/2011 0:02 1266.5 1266.5 1266.25 1266.25 24 33.33333333
3 1/10/2011 0:03 1266.25 1266.5 1266.25 1266.5 2 55.55555556
4 1/10/2011 0:04 1266.25 1266.5 1266.25 1266.5 0 42.85714286
5 1/10/2011 0:05 1266.75 1266.75 1266.5 1266.5 35 33.33333333
6 1/10/2011 0:06 1266.5 1266.75 1266.5 1266.75 18 25
7 1/10/2011 0:07 1266.5 1266.75 1266.5 1266.75 0 37.5
8 1/10/2011 0:08 1266.75 1266.75 1266.75 1266.75 5 40
9 1/10/2011 0:09 1266.75 1266.75 1266.75 1266.75 3 55.55555556
10 1/10/2011 0:10 1266.5 1266.5 1266.5 1266.5 1 27.27272727
11 1/10/2011 0:11 1266.5 1266.5 1266.5 1266.5 1 28.57142857
12 1/10/2011 0:12 1266.5 1266.5 1266.5 1266.5 0 61.53846154
13 1/10/2011 0:13 1266.5 1266.75 1266.5 1266.75 13 50
14 1/10/2011 0:14 1266.75 1266.75 1266.5 1266.75 75 62.5
15 1/10/2011 0:15 1266.75 1267 1266.75 1266.75 30 55.55555556
16 1/10/2011 0:16 1267 1267 1267 1267 8 42.85714286
17 1/10/2011 0:17 1267 1267 1267 1267 9 36.36363636
18 1/10/2011 0:18 1267.25 1267.25 1267 1267.25 21 55.55555556
19 1/10/2011 0:19 1267.25 1267.25 1267.25 1267.25 1 23.07692308
20 1/10/2011 0:20 1267.25 1267.25 1267.25 1267.25 14 55.55555556
21 1/10/2011 0:21 1267.25 1267.5 1267.25 1267.25 19 53.84615385
22 1/10/2011 0:22 1267.25 1267.25 1267.25 1267.25 20 100
23 1/10/2011 0:23 1266.75 1267.25 1266.75 1267.25 45 33.33333333
24 1/10/2011 0:24 1267 1267 1267 1267 1 40
25 1/10/2011 0:25 1267 1267 1267 1267 15 83.33333333
26 1/10/2011 0:26 1267 1267 1267 1267 0 42.85714286
27 1/10/2011 0:27 1266.5 1266.75 1266.25 1266.75 130 75
28 1/10/2011 0:28 1266.25 1266.25 1266.25 1266.25 68 25
29 1/10/2011 0:29 1266.25 1266.25 1266 1266.25 17 50
30 1/10/2011 0:30 1266 1266.25 1265.75 1266.25 334 50
31 1/10/2011 0:31 1265.75 1266.25 1265.75 1266 158 66.66666667
32 1/10/2011 0:32 1265.75 1266 1265.75 1266 12 61.53846154
33 1/10/2011 0:33 1265.75 1266 1265.75 1266 62 45.45454545
34 1/10/2011 0:34 1265.75 1265.75 1265.5 1265.75 198 55.55555556
35 1/10/2011 0:35 1265.75 1265.75 1265.5 1265.5 3 42.85714286
36 1/10/2011 0:36 1265.5 1265.75 1265.5 1265.5 128 42.30769231
37 1/10/2011 0:37 1265.5 1265.75 1265.5 1265.5 36 46.15384615
38 1/10/2011 0:38 1265.5 1265.75 1265.5 1265.5 116 39.13043478
39 1/10/2011 0:39 1265.5 1265.5 1265.5 1265.5 4 60.86956522
40 1/10/2011 0:40 1266 1266 1265.75 1265.75 74
41 1/10/2011 0:41 1265.75 1266 1265.75 1266 10 All the blank lines
42 1/10/2011 0:42 1265.5 1265.75 1265.5 1265.75 104 after this point
43 1/10/2011 0:43 1265.75 1265.75 1265.5 1265.5 193 is the problem!
44 1/10/2011 0:44 1265.5 1265.75 1265.25 1265.5 328
45 1/10/2011 0:45 1265.5 1265.5 1265.25 1265.5 29
46 1/10/2011 0:46 1265.25 1265.5 1265.25 1265.5 225
47 1/10/2011 0:47 1265.25 1265.5 1265.25 1265.25 97
48 1/10/2011 0:48 1265 1265.5 1265 1265.5 63
49 1/10/2011 0:49 1265.25 1265.25 1265.25 1265.25 16
50 1/10/2011 0:50 1265.5 1265.75 1265.25 1265.25 150
51... Data continues for another 500 or so bars, but is not shown here.

This study was created using the following code:

Dim line1 As New Steema.TeeChart.Styles.Line(TChart1.Chart)
Dim RSI1 As New Steema.TeeChart.Functions.RSIFunction
RSI1.Style = Functions.RSIStyle.Close
line1.DataSource = CandleSeries1
line1.YValues.DataMember = "Close"
Dim Period As Double = 14
line1.Function.Period = Period
line1.Function.PeriodAlign = Functions.PeriodAligns.Last
line1.Function.PeriodStyle = Functions.PeriodStyles.NumPoints
line1.Function.PeriodAlign = Functions.PeriodAligns.Last

[Narcís]

Hi dave,

My question really has nothing to do with the horizontal scale. It has to do with the underlying method used to calculate the financial study (which affects both RSI and Stochastics). If you caluculate a 14 day moving average, it will calculate and display an average on the 14th bar. It will then calculate the average on the 15th bar, 16th bar, and every bar up to the end of the chart. That is a "Moving Average". With RSI and Stochastics if you do a 14 bar study, it calculates on the 14th bar as expected. The next calculation is not displayed until the 28th bar. Subsequent calculations appear on the 14-bar boundries. RSI, Stochastics, and any other financial functions, are commonly displayed with new calculations done on every bar, just like the moving avearage calculation. (If this is something that is supposed to be controlled by setting Line.Style = NumberOfPoints or Range, that is not working).

According to PeriodStyle documentation, this is how it works:

Default: NumPoints

The PeriodStyle property controls how the Period property is interpreted. By default it is NumPoints, meaning Period is specified in number of points. Range means Period property is specified in a range of values.

Being able to define Period as a range can be very useful when using Date-Time series and when you want to express the Period of the function in a date-time step like OneMonth or OneDay .

So, for example you can now plot the monthly average of sales function just using a normal Average function on a date-time source series and setting the function period to one month :

{ Place a Series1 and fill it with datetime data values at runtime (or from a database) }

Series2.SetFunction( TAverageTeeFunction.Create );
Series2.FunctionType.PeriodStyle = Range;
Series2.FunctionType.Period = DateTimeStep[ dtOneMonth ];
Series2.DataSource = Series1 ;



This will result in several points, each one showing the average of each month of data in Series1.
It's mandatory that points in the source Series1 should be sorted by date when calculating functions on datetime periods.

The range can also be used for non-datetime series:

Series2.SetFunction( TAverageTeeFunction.Create ) ;
Series2.FunctionType.PeriodStyle = Range;
Series2.FunctionType.Period = 100;
Series2.DataSource = Series1 ;

This will calculate an average for each group of points inside every 100 interval.

(Points with X >=0, X<100 will be used to calculate the first average, points with X >=100, X<200 will be used to calculate the second average and so on... )
Notice this is different than calculating an average for every 100 points.

Having that in mind I think it works fine. Anyway, I'll add your request to the wish-list (TF02015354) to be considered for inclusion in future releases. In the meantime you may calculate RSI function manually calling its Calculate method providing first and last index values to be used. For example:

Code: Select all

    Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        TChart1.Dock = DockStyle.Fill
        TChart1.Aspect.View3D = False

        Dim CandleSeries1 As New Steema.TeeChart.Styles.Candle(TChart1.Chart)
        CandleSeries1.FillSampleValues(582)

        Dim RSI1 As New Steema.TeeChart.Functions.RSIFunction
        RSI1.Style = Steema.TeeChart.Functions.RSIStyle.Close

        Dim Period As Double = 14
        Dim line1 As New Steema.TeeChart.Styles.Line(TChart1.Chart)
        'line1.Function = RSI1
        'line1.DataSource = CandleSeries1
        'line1.YValues.DataMember = "Close"
        'line1.Function.Period = Period
        'line1.Function.PeriodAlign = Steema.TeeChart.Functions.PeriodAligns.Last
        'line1.Function.PeriodStyle = Steema.TeeChart.Functions.PeriodStyles.NumPoints
        'line1.Function.PeriodAlign = Steema.TeeChart.Functions.PeriodAligns.Last

        For index = Period To CandleSeries1.Count - 1 Step Period
            line1.Add(CandleSeries1.XValues(index), RSI1.Calculate(CandleSeries1, index - Period, index))
        Next
    End Sub

The second question has to do with the way the results of the data are stored in the YValues array. If I have a candle chart on the screen, I can find the X value for any given bar and use that to look up the Open, High, Low, or Close for that bar. If I have a moving average on that chart, if I look at the YValue(X) for any given day, I will not find the right moving average value. I have to do something like YValue(X - Period) to get it. As long as that is consistant, I am OK with it. Finding the RSI value for any given bar "X" is next to impossible. All the data for the RSI results is stored at the very beginning of the YValues array. I would think that the value of any study shown would be stored in the same "X" slot in the array as it appears on the chart.

Using code snippet below produces the Excel file which I attach. As you can see X values for RSI function series are included. Their columns are displayed according to the point indexes in the series but X values are correct.The code snippet below will display RSI value for the 100th point in the Candle series.

Code: Select all

    Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        TChart1.Dock = DockStyle.Fill
        TChart1.Aspect.View3D = False

        Dim CandleSeries1 As New Steema.TeeChart.Styles.Candle(TChart1.Chart)
        CandleSeries1.FillSampleValues(582)

        Dim RSI1 As New Steema.TeeChart.Functions.RSIFunction
        RSI1.Style = Steema.TeeChart.Functions.RSIStyle.Close

        Dim Period As Double = 14
        Dim line1 As New Steema.TeeChart.Styles.Line(TChart1.Chart)
        line1.Function = RSI1
        line1.DataSource = CandleSeries1
        line1.YValues.DataMember = "Close"
        line1.Function.Period = Period
        line1.Function.PeriodAlign = Steema.TeeChart.Functions.PeriodAligns.Last
        line1.Function.PeriodStyle = Steema.TeeChart.Functions.PeriodStyles.NumPoints
        line1.Function.PeriodAlign = Steema.TeeChart.Functions.PeriodAligns.Last

        TChart1.Export.Data.Excel.IncludeIndex = True
        TChart1.Export.Data.Excel.IncludeSeriesTitle = True
        TChart1.Export.Data.Excel.Save("C:\\temp\\ChartData\\RSIData.xls")

        Dim index As Integer = line1.XValues.IndexOf(CandleSeries1.XValues(100))
        If index <> -1 Then
            TChart1.Header.Text = line1.YValues(index).ToString()
        End If
    End Sub

[dave]

I appreciate the feedback. Your comments definitely helped. I created a new project and your code ran as expected. My code was almost identical, but would not produce the expected results. I finally found that I was really experiencing a TeeChart control version problem. Even though I had installed the latest 2010 version, dragged in a new control from the VB tool window (where the version information showed the newest version), when the control was dropped onto the WinForm, it reverted to a version 3.5 control. I had to manually remove the reference to the control from the project and then manually add the new dll to references. Once that was done, I could actually drop a newest version of TeeChart on my form. With the new version of the control, the problems I was experiencing went away. (As Homer S. would say, "D'Oh!")

While looking in to my version problems, I noticed that the demo code that is installed in my \program files\Steema folder area is for the Version 3 of TeeCharts. There is no updated demo code in the 2010 version folders. Is there an updated version of the demo files based on the newest copy of the control?

Thanks again...

[Narcís]

Hi dave,

I appreciate the feedback. Your comments definitely helped. I created a new project and your code ran as expected. My code was almost identical, but would not produce the expected results. I finally found that I was really experiencing a TeeChart control version problem. Even though I had installed the latest 2010 version, dragged in a new control from the VB tool window (where the version information showed the newest version), when the control was dropped onto the WinForm, it reverted to a version 3.5 control. I had to manually remove the reference to the control from the project and then manually add the new dll to references. Once that was done, I could actually drop a newest version of TeeChart on my form. With the new version of the control, the problems I was experiencing went away. (As Homer S. would say, "D'Oh!")

I'm glad you could solve the issue. To avoid version conflicts it may be worth cleaning TeeChart's AssemblyFolders entry as described here when you install a new version.

While looking in to my version problems, I noticed that the demo code that is installed in my \program files\Steema folder area is for the Version 3 of TeeCharts. There is no updated demo code in the 2010 version folders. Is there an updated version of the demo files based on the newest copy of the control?

Yes, you should have a new demo project with TeeChart 2010 .NET at C:\Program Files\Steema Software\TeeChart for .NET 2010\Examples\DemoProject and a shortcut to the executable at TeeChart 2010 program group.

[Narcís]

Hi dave,

We have been looking at TF02015354 and we think what you are looking for probably is a MARSI, a Moving Average RSI, which would be a new function in TeeChart. Could you please confirm that?

Thanks in advance.

[dave]

It has been a while since I originally left this message. I hope I recall the situation properly here. I am not sure about your terminology, but I am guessing that the answer is No. I am not looking for a moving average of the results of the RSI calculation. (That is to say, I am not looking to average the results over time in any way.)

TChart seems to have two concepts relating to time, Intervals and Ranges. If you do a 20 day Average, it will calculate a single number every 20 days. A Moving Average is the calculation of the average of the preceding 20 points, which is calculated on every bar.

Typical financial charts will calculate a new value on every bar, just like a moving average is calculated. A study that calculates one value only every 20 bars would be pretty much useless.

The Welles Wilder "Relative Strength" study compares the Average Gain / Average Loss for some "N" bar interval. If "N" is 20, the first calculation would be made on the 20th bar of the chart. At that bar, you would calculate the Average Gain for bars 1 to 20 and the Average Loss during that same time. After normalizing to 100, you have one point. When there is a new bar available, you make the same calculation, but you use bars 2 through 21. The next bar uses data from bars 3 to 22, etc. The result is that on any given bar there is an associated RSI value. (I think the current RSI study is calculating on bars 1 to 20, then on bars 21 to 40, then on 41 to 60, etc. Likewise with the Stochastics, instead of calculating a new Stochastic value on each bar, its being calculated on every 20th bar.)

Your question here asks about a Moving Average RSI. That is actually a valid study which takes the raw RSI values and then creates a moving average of them. That, however, is not what I am after here. I guess it all comes down to the way these studies are "normally" displayed. With each of these financial studies, for each bar you calculate a new value for the study. (Off hand, I can not think of any financial studies that are calculated only every "N" number of bars. Each that I know of is calculated AT each bar, FOR the preceding "N" number of bars.)

[Narcís]

Hi dave,

Thanks for the information.

I'm sorry but it's not clear to me what do you exactly need then. Could you please let us know the differences about what your needs and MARSI or send us some information about the exact specification of what you ar looking for?

Thanks in advance.

[Narcís]

Hi dave,

You could also create your custom function deriving from existing ones and overriding necessary methods, for example:

Code: Select all

  public class MyRSI : Steema.TeeChart.Functions.RSIFunction
  {
    public MyRSI()
    {

    }

    public override double Calculate(Steema.TeeChart.Styles.Series source, int first, int last)
    {
      return base.Calculate(source, first, last);
    }

    protected override void CalculateAllPoints(Steema.TeeChart.Styles.Series source, Steema.TeeChart.Styles.ValueList notMandatorySource)
    {
      base.CalculateAllPoints(source, notMandatorySource);
    }

    protected override void DoCalculation(Steema.TeeChart.Styles.Series source, Steema.TeeChart.Styles.ValueList notMandatorySource)
    {
      base.DoCalculation(source, notMandatorySource);
    }
  }

I recommend you to use Red Gate's .NET Reflector or Telerik's JustDecompile to disassemble TeeChart.dll and see how TeeChart functions are implemented so you can use them as a guide for your own function.