The Leavitt Convolution

[ashmanz80]

Hello coders,

Can someone change the EasyLanguage code here to Ninjascript? this is based on the article in S&C Nov '17 issue titled “Trading The Tech Emini With The Leavitt Convolution”.


inputs:
Price(numericseries),
Length(numericsimple) ;
LeavittProjection = LinearRegValue(Price, Length, -1) ;
// the -1 asks for the 1 bar projection; price given at time values [0], [1], [2], ...,[Length - 1]
================================================== ===========================
inputs:
Price(numericseries),
Length(numericsimple) ;

vars:
LenConv(0) ;

LenConv = IntPortion( SquareRoot(Length)) ; // this is how EasyLanguage extracts the integer portion of a variable

LeavittConv = LinearRegValue(LeavittProjection(Price, Length), LenConv, -1); //inline function call

Thanks in advance!

[NinjaTrader_Jim]

Hello ashmanz80,

Thanks for your inquiry.

As far as I am aware, the November 2017 S&C magazine entry is available here: http://traders.com/Documentation/FEE...ips.html#item8

and on our forums here: http://www.ninjatrader.com/support/f...catid=8&id=956

This indicator you have listed looks different, however. I won't be able to provide the conversion for you, but I have included some information that can be useful in showing you or another member of the forums how to do the conversion.

inputs: 
Price(numericseries), 
Length(numericsimple) ;

We have two input variables. The input series and an an input variable called Length. We can refer to the input series as Input and we will have to create a variable for "Length." An integer should suffice. These inputs are reused so we will only need to add the variable once.

LeavittProjection = LinearRegValue(Price, Length, -1) ;

We can use a call for the LinReg indicator in place of using this variable. The "-1" argument would be unused. I am not sure on the technicalities behind the EasyLanguage version.

inputs: 
Price(numericseries), 
Length(numericsimple) ;

vars: 
LenConv(0) ;

These input variables are already created. The variable LenConv can be an integer.

LenConv = IntPortion( SquareRoot(Length)) ; // this is how EasyLanguage extracts the integer portion of a variable

LeavittConv = LinearRegValue(LeavittProjection(Price, Length), LenConv, -1); //inline function call

The IntPortion() method can be done through a type cast. SquareRoot() can be done with Math.Sqrt. Indicators can be used as input for other indicators.

The resulting output would then have to be plotted. Please see the AddPlot() documentation for more information.

I have attached links to publicly available resources that can be used as reference for developing this indicator.

Valid Input for Indicators - https://ninjatrader.com/support/help..._indicator.htm

LinReg indicator - https://ninjatrader.com/support/help...regression.htm

Input (Series) - https://ninjatrader.com/support/help...n-us/input.htm

Type Casting - https://stackoverflow.com/a/1339499

Math.Sqrt - https://msdn.microsoft.com/en-us/lib...v=vs.110).aspx

AddPlot() - https://ninjatrader.com/support/help...us/addplot.htm

If you have any questions on the material provided, please don't hesitate to ask.

[ashmanz80]

Strategy Development

Thanks a lot Jim for the insight! The ATS is a bit complicated for me to translate to NT8. Hope someone can do this and share with the community. I attached the article for anyone interested in giving this a go.