Moving Average of an Indicator

[ShaneAU]

Hey guys,

I am trying to standardise the results of a custom indicator, so it can be used in different markets. To do this, I need to create a moving average of that indicator for say the last 100 bars, so I have something to divide by... but as far as i could work out, I needed to add the indicator as a second data series in order to be able to create a SMA of it.

Below is my formula, it is not currently showing anything, the problem appears to be with setting the second data series ("SlopeData") as the slope value. I am wondering if maybe when I calculate the 'Slope' of this indicator, it is trying to access the first data series instead of the second...?

Thanks for any help/advice... cheers
Shane

namespace NinjaTrader.Indicator
{
/// <summary>
/// Measures the slope of an SMA
/// </summary>
[Description("Measures the slope of an SMA")]
public class SlopeSMA : Indicator
{
#region Variables
private int sMAPeriod = 200; // Default setting for SMAPeriod
private int startBarsAgo = 5; // Default setting for StartBarsAgo
private int endBarsAgo = 0; // Default setting for EndBarsAgo
private double slope;
private DataSeries SlopeData;

#endregion

protected override void Initialize()
{
SlopeData = new DataSeries (this);
Add(new Plot(Color.FromKnownColor(KnownColor.RoyalBlue), PlotStyle.Line, "Plot0"));
Overlay = false;
}
protected override void OnBarUpdate()
{
SlopeData.Set(Slope(SMA(sMAPeriod), startBarsAgo, endBarsAgo));
slope = SMA(SlopeData,100)[0];
Plot0.Set((Slope(SMA(sMAPeriod), startBarsAgo, endBarsAgo) / slope)*100);


}

#region Properties
[Browsable(false)] // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries Plot0
{
get { return Values[0]; }
}
public DataSeries Plot1
{
get { return Values[1]; }
}
public DataSeries Plot2
{
get { return Values[2]; }
}

[Description("Moving Aver Period")]
[GridCategory("Parameters")]
public int SMAPeriod
{
get { return sMAPeriod; }
set { sMAPeriod = Math.Max(1, value); }
}

[Description("Start Bars Ago")]
[GridCategory("Parameters")]
public int StartBarsAgo
{
get { return startBarsAgo; }
set { startBarsAgo = Math.Max(1, value); }
}

[Description("End Bars Ago")]
[GridCategory("Parameters")]
public int EndBarsAgo
{
get { return endBarsAgo; }
set { endBarsAgo = Math.Max(0, value); }
}
#endregion
}
}

[arbuthnot]

I think the problem is that every bar to which a plot is assigned must have access to all the previous bars needed to make the calculation, or it won't plot at all - for any bar. I've forgotten to do this many times!

So put this piece of code at the beginning of OnBarUpdate:

if (CurrentBar < SMAPeriod) // The longest length overload
        		return;

Hope this helps.

Cheers.

[ShaneAU]

Hi arbuthnot,

Thanks for your help on that - it seems to have got it

The indicator is displaying now, but not with the info I had aimed for though... it's late here so I'll tackle that problem tomorrow.

Thanks again!
Shane

[NinjaTrader_PatrickH]

Hello ShaneAU,

Thank you for your post.

What values are you seeing? What values are you expecting?

[arbuthnot]

Hi again Shaun

Looking at your Plot formula below, you have a problem of division by zero, which produces an infinity, which no system can handle.

Plot0.Set((Slope(SMA(sMAPeriod), startBarsAgo, endBarsAgo) / [B][COLOR="Blue"]slope[/COLOR][/B])*100);

Even when 'slope' is near zero, you'll find the result gets very large.

A way to avoid this is to use a difference rather than division, but the result will be very jagged.

[arbuthnot]

Another problem is when both slopes get very close to zero. You won't get an exact zero in either case given that your slope functions will be a 'double', but given that 0/0 is undefined mathematically, you'll often get close to this state.

I tried this once and my PC packed its bags and went into retirement!