Problem with Bollinger ( IDataSeries, double stdev ,int period )

[neo_trader]

Hi ,

I have tried using Indicators for DataSeries, but am getting incorrect values.

As an example please see the attached ninjascript code: I create a simple ratio dataseries ( last close / 10 ) and use the print command to check the values. The first SMA ( Bollinger (ratio,2,10).Middle) seems to divide the last close price by 100 and the subsequent Bollinger Middle, Lower & Upper values seem to take some garbage values. Could you please help me out with this.

Thank you,

Neo

[NinjaTrader_Ben]

Hello,

Yes, I can. Do you mind posting the critical parts of your code on the forum? Thanks.

Just in case you haven't seen these links already:

http://www.ninjatrader-support.com/HelpGuideV6/IDataSeries.html

http://www.ninjatrader-support2.com/vb/showthread.php?t=7299

[neo_trader]

Hi Ben,

Yes, here is the code ( I had attached a zip file earlier ) :

protected override void Initialize()
{
ratio=new DataSeries(this);
CalculateOnBarClose = true;
TraceOrders=false;
}


/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
Print(Close[0]);
Print( Close[0] + " " + Time[0]);
Print(Bollinger(ratio,2,10).Lower[0]+ " " + Bollinger(ratio,2,10).Middle[0]+ " "+Bollinger(ratio,2,10).Upper[0]);
Print( " " );
// Condition set 1
if (CrossBelow(Close, Bollinger(1.5, 10).Lower, 3))
{
EnterShort(DefaultQuantity, "");
}

// Condition set 2
if (CrossAbove(Close, Bollinger(1.5, 10).Upper, 3))
{
EnterLong(DefaultQuantity, "");
}

// Condition set 3
if (CrossBelow(Low, SMA(10), 20))
{
ExitLong("", "");
}

// Condition set 4
if (CrossAbove(High, SMA(10), 20))
{
ExitShort("", "");
}
}

#region Properties
[Description("Lower Bollinger ")]
[Category("Parameters")]
public double Lowerbl
{
get { return lowerbl; }
set { lowerbl = Math.Max(1, value); }
}

[Description("Upper Bollinger ")]
[Category("Parameters")]
public double Upperbl
{
get { return upperbl; }
set { upperbl = Math.Max(1, value); }
}

[Description("10 day EMA")]
[Category("Parameters")]
public double Movingaverage
{
get { return movingaverage; }
set { movingaverage = Math.Max(1, value); }
}
#endregion
}
}

Thanks,

Neo

[neo_trader]

Hey Ben,

I used the links that you provided me and seem to have made some progress. But I have a small query from this link :http://www.ninjatrader-support.com/H...ataSeries.html ,

if I use return Bollinger (ratio, 1.5,10). Middle [0] in a method, where ratio is a dataseries computed from Closes [0][0] / Closes[1][0], is their a way I can reference the ratio to start from the element in index 1 ( ratio [1] ), so that the Bollinger method would than compute the SMA for ratio [1] to ratio [10]. Please see the code below :

parts of my code are :

protected override void Initialize()
{
Add(Instrument2, BarsPeriod.Id, BarsPeriod.Value); // Adding secondary instrument

CalculateOnBarClose = true;

ratio = new DataSeries(this);
value = new DataSeries(this);

TraceOrders=true;

}

private double BollMiddle(IDataSeries priceData)
{
return Bollinger(priceData,1.5,10).Middle[1];
}

private double BollUpper(IDataSeries priceData)
{
return Bollinger(priceData,1.5,10).Upper[1];
}


private double BollLower(IDataSeries priceData)
{
return Bollinger(priceData,1.5,10).Lower[1];
}

protected override void OnBarUpdate()
{

if ( BarsInProgress==0 )
{
inst1close=Closes[0][0];
Print(Closes[0][0]+" " + Time[0]);

if (CurrentBar >= BarsRequired+ratio_period)
{

for(int i=0;i<=9;i++)
{
Print(ratio[i]);
}

Print(BollUpper ( ratio )+" "+ BollMiddle ( ratio )+" "+ BollLower(ratio));

From the last statement that I print, the Bollupper, middle, lower values are incorrect because in the methods BollMiddle etc. Bollinger ( pricedata ,... ) computes the ratios from ratio [0] which happens to be zero during Barsinprogress==0 . Bottomline is how do I reference the pricedata array from index 1 ?

Thanks,

Neo

[NinjaTrader_Ben]

Hello,

I'm not sure what you are after here. I am afraid you'll need to debug it.

[neo_trader]

Hi

Hi Ben,

I guess I confused you by giving too much.

One simple question -- how do I reference a dataseries array from INDEX [1] when I use the overloaded indicator method.
eg : Bollinger ( IDataSeries, double stdev, int period ) .

so how do I use this in a way such that Bollinger (myDataSeries,1.5,10) is applied from DataSeries[1] ?

Thank you,

Neo

[NinjaTrader_JoshP]

Bollinger(Closes[1],......)
Bollinger(Highs[1],....)
etc.

[neo_trader]

Hi Josh,

I used it as follows and commented those lines in upper case. However, I get the following compilation errors:

The best overloaded method match for 'NinjaTrader.Strategy.Strategy.Bollinger(NinjaTrad er.Data.IDataSeries) has invalid arguments
Argument '1': cannot convert from 'double' to 'NinjaTrader.Data.IDataSeries'

Here is part of the code :

protected override void Initialize()
{
Add(Instrument2, BarsPeriod.Id, BarsPeriod.Value); // Adding secondary instrument

CalculateOnBarClose = true;

ratio = new DataSeries(this);
value = new DataSeries(this);

TraceOrders=true;

}

private double BollMiddle(IDataSeries priceData)
{
return Bollinger(priceData[1],1.5,10).Middle[1]; // USED INDEX [1] HERE
}

private double BollUpper(IDataSeries priceData)
{
return Bollinger(priceData [1],1.5,10).Upper[1]; // USED INDEX[1] HERE
}


private double BollLower(IDataSeries priceData)
{
return Bollinger(priceData[1],1.5,10).Lower[1]; // USED INDEX[1] HERE
}

protected override void OnBarUpdate()
{

if ( BarsInProgress==0 )
{
inst1close=Closes[0][0];
Print(Closes[0][0]+" " + Time[0]);

if (CurrentBar >= BarsRequired+ratio_period)
{

for(int i=0;i<=9;i++)
{
Print(ratio[i]);
}

Print(BollUpper ( ratio )+" "+ BollMiddle ( ratio )+" "+ BollLower(ratio));

Thanks,

Neo

[NinjaTrader_Bertrand]

neo_trader, the way you have it setup now you pass a double into the Bollinger overload, while it expects a dataseries - http://www.ninjatrader-support.com/H...BarSeries.html

[neo_trader]

I understand that the overloaded method requires a dataseries input and not a double value. But since mydataseries ( ratio ) is being computed using Closes[0][0]/Closes[1][0] in the BarsInProgress loop, I can't use the BarsArray. This is because I can't do a
Add(mydataseries).I hope you understood what I am trying to say here. Please let me know if this not the correct line of thinking.

Thanks,

Neo

[NinjaTrader_Bertrand]

Then please try this, just don't access a double object via the index from the pricedata dataseries you created -

 
private double BollMiddle(IDataSeries priceData) 
{
return Bollinger(priceData, 1.5, 10).Middle[1]; // USED INDEX [1] HERE 
}