Summation (SUM)

[jcash]

the definition of SUM in help s as follows:

Returns the sum over the specified period.


i am using SUM in a strategy on a 1 tick chart with a defined dataseries assigning each occurance a value of 1. like this:


mydata.Set( 1 );
SUM (mydata, 6)[0]


printing the values to the output window the first value for the SUM is 6 but then each value after the first is one less going to an infinite negative number with each tick printed.


my understanding of SUM (mydata, 6)[0] is that it should always be 6...the sum of the last 6 periods of mydata using a 1 tick chart. basically the same as adding mydata[0] + mydata[1]+ mydata[2]+.......mydata[5]. i printed the values of mydata from [0] to [5] and all equal 1.



what am i missing?

[NinjaTrader_Bertrand]

Hi jcash, could you please post your code so we can try reproducing this? Thanks!

[jcash]

code and output window

Hi jcash, could you please post your code so we can try reproducing this? Thanks!

here is a code example:

[Description("written for a 1 tick chart")]
    public class MyCustomStrategy : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int length = 1; // Default setting for Length
        // User defined variables (add any user defined variables below)
        private DataSeries MyData;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = false;
            
            MyData = new DataSeries(this);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            MyData.Set (1);
            
            double sumnum = SUM(MyData, 6)[0];
            
            Print ("sumnum:            "+sumnum);
            Print ("MyData [0]:  "+MyData[0]+"MyData [1]:  "+MyData[1]+"MyData [2]:  "+MyData[2]+"MyData [3]:  "+MyData[3]+"MyData [4]:  "+MyData[4]+"MyData [5]:  "+MyData[5]);
            
            
        }

here is the output window print results:

sumnum:            6
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            5
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            4
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            3
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            2
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            1
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            0
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -1
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -2
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -3
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -4
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -5
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -6
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -7
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -8
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -9
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -10
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -11
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -12
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -13
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -14
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -15
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -16
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -17
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -18
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -19
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -20
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -21
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -22
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -23
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -24
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -25
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -26
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -27
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -28
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -29
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -30
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -31
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -32
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -33
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -34
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -35
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -36
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -37
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -38
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -39
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -40
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -41
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -42
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -43
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -44
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1
sumnum:            -45
MyData [0]:  1MyData [1]:  1MyData [2]:  1MyData [3]:  1MyData [4]:  1MyData [5]:  1

[NinjaTrader_JoshP]

jcash,

You should only check a period of 6 when you actually have 6 bars of data set.

MyData.Set (1);
    if (CurrentBar < 6)
return;
double sumnum = SUM(MyData, 6)[0];
Print ("sumnum:            "+sumnum);

Also, I was actually unable to reproduce your behavior with your code. I get prints of 6 all the way through.

[jcash]

SUM used in strategy

i am using SUM in a strategy NOT an indicator.

when SUM is used in a strategy i get the progressively more negative number.

when i use SUM (the same exact code as posted) in an indicator i do get the constant result of 6 also.

[jcash]

i added the if (CurrentBar < 6) return; code with the same results of progressively negative number in a strategy.

[NinjaTrader_JoshP]

Not able to reproduce. All 6s once enough data points have been set.

Output:

1
2
3
4
5
6
6
6
6
6

Please try the attached strategy.

[jcash]

output window from your code - ds

yes, there are many instances of the correct result 6, but if you let it run for a while, like i did, i becomes progressively negative. go to the bottom of the following window.

6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
-11
-12
-13
-14
-15
-16
-17
-18
-19
-20
-21
-22
-23
-24
-25
-26
-27
-28
-29
-30
-31
-32
-33
-34
-35
-36
-37
-38
-39
-40
-41
-42
-43
-44
-45
-46
-47
-48
-49
-50
-51
-52
-53
-54
-55
-56
-57
-58
-59
-60
-61

[NinjaTrader_JoshP]

jcash,

Unfortunately I am not able to reproduce. All 6s on my end. Please provide exact steps.

[jcash]

similar type of issue

i ran into a similar issue with SMA calculations in a strategy vs indicator...eventually the SMA calcs would drift off into results that could not possibly be correct using the data provided. i took the following advise mentioned in the attached post and wrote the SMA calculations in an indicator and referenced them in the strategy.

http://www.ninjatrader-support2.com/vb/showthread.php?t=10857

[NinjaTrader_JoshP]

jcash,

Please ensure you are on NT6.5.1000.10 and that you do not have a CalculateOnBarClose line set in your indicators.

[jcash]

?????

if i use SUM(MyData, 6)[0] i still get negative numbers after downloading .10 version of NT.

BUT, i cut and paste the actual formula from the SUM indicator and inserted MyData:

sumnum.Set ( MyData[0] + (CurrentBar > 0 ? sumnum[1] : 0) - (CurrentBar >= 6 ? MyData[6] : 0) );

and it now works, all results equal 6 even after many minutes of runtime.

[NinjaTrader_JoshP]

jcash,

I am not sure why this would happen on your end. Please try uninstall and when you do delete your My Documents\NinjaTrader 6.5 folder. That will get you a 100% clean reinstall. Be sure to backup anything you want to save too.

[saltminer]

SUM indicator BUGGY in realtime

Hi guys,
I see this too. It has wasted hours of my time trying to figure out why a strategy wouldn't work in realtime but historical was fine.
I can prove it with this printout.
I was using a call to LinReg from a strategy, and the values were going really wierd as soon as Historical finished and bars became realtime. I tracked it down to the SUM indicator (which LinReg uses).
I wrote a local method for SUM inside my strategy, and called both SUM and my local version and printed the results, including a print of the Historical boolean flag.
The results are IDENTICAL until realtime, then they are incorrect.

I have a very fresh install of Ninja on my machine (two weeks old). Up-to-date with .NET, and it also misbehaves on a second machine.
THIS MUST BE A BUG.
saltminer

My local SUM indicator is
private double LocalSUM(IDataSeries Series, int Period)
{
// using a local version of SUM
double SumResult = 0;
for (int q = 0; q < Period && CurrentBar-q >= 0; q++)
SumResult += Series[q];
return SumResult;
}

The OutputWindow results are
Historical=True
SUM Indicator = 65.246157629379 and local emulation is 65.246157629379
Historical=True
SUM Indicator = 31.8655711884876 and local emulation is 31.8655711884876
Historical=True
SUM Indicator = -6.77638797232066 and local emulation is -6.77638797232066
Historical=True
SUM Indicator = -35.6548272130512 and local emulation is -35.6548272130512
Historical=True
SUM Indicator = -52.4377008118063 and local emulation is -52.4377008118063
Historical=True
SUM Indicator = -58.9317293059175 and local emulation is -58.9317293059175
Historical=True
SUM Indicator = -53.7358503243995 and local emulation is -53.7358503243995
Historical=True
SUM Indicator = -39.2967217220739 and local emulation is -39.2967217220739
Historical=True
SUM Indicator = -30.8041767961586 and local emulation is -30.8041767961586
Historical=True
SUM Indicator = -20.3585409108091 and local emulation is -20.3585409108091
Historical=True
SUM Indicator = -0.931537014539572 and local emulation is -0.931537014539572
Historical=False
SUM Indicator = 1.40617264945831 and local emulation is 12.8119427011334
Historical=False
SUM Indicator = -6.83589955930438 and local emulation is 26.8417576819811
Historical=False
SUM Indicator = -13.6977744148535 and local emulation is 28.8449236170309
Historical=False
SUM Indicator = -16.6085183317773 and local emulation is 26.8120737487443
Historical=False
SUM Indicator = -6.908715208996 and local emulation is 36.4490191060067
Historical=False
SUM Indicator = -5.88270285981343 and local emulation is 50.7991125244826
Historical=False
SUM Indicator = -6.89488216293284 and local emulation is 69.2230065697713
Historical=False
SUM Indicator = -0.0963777228989784 and local emulation is 74.6541488012226
Historical=False
SUM Indicator = 13.3998881990374 and local emulation is 86.9608965344414

[NinjaTrader_JoshP]

saltminer,

Depending on what data series you are actually running the SUM you may see that behavior. This is especially true if you start changing historically held data series values.