Detrend Price Oscillator

• 08/01/2016 at 12:06 PM #11048
  Derek

  Hello!

  I have been trying the darvas boxes from the library and wanted to test an automated trading system.

  Unfortunately ProOrder won’t start because of the Detrend Price Oscillator being used for calculating the boxes.

  I have (kind of) recreated the DPO with past data moving averages but it appears the ProBuilder function DPO is referring to the lookahead moving average.

   

  What other moving average is PRT using and how can it be used in an automated trading system?

   

  Here is the Code for the “Past” DPO.

  // Parameter-must be a round number //periode = X d=(Average[periode](close)) e=d[periode/2+1] DeprO= close-e return Depro

  1 2 3 4 5 6 7 8

  // Parameter-must be a round number //periode = X   d=(Average[periode](close)) e=d[periode/2+1]   DeprO= close-e return Depro

  

  Derek

  Participant

  Topics: 6

  Replies: 240

  Been thanked: 60 times
  08/01/2016 at 12:22 PM #11052
  Nicolas

  Yes the built-in DPO in ProBuilder is always referring to the lookahead moving average value, that’s why it is so accurate. With Zigzag, DPO is another indicator that cannot be used in automated trading because of its “repaint” behaviour.

  You will find a lot of other moving average that can be used in automated trading in the “indicators” section of the documentation : http://www.prorealcode.com/documentation/category/indicators/

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  08/01/2016 at 12:28 PM #11054
  Derek

  Thank you for your reply Nicolas.

   

  

  Derek

  Participant

  Topics: 6

  Replies: 240

  Been thanked: 60 times
  08/01/2016 at 7:02 PM #11074
  Derek

  So, I did a screen recording and checked the situation again.

  The conclusion is: the repainting characteristics of this indicator seem to be no problem in this case.

  Furthermore using the TEMA and the Zero-Lag Moving Average from the library don’t lead to equal results in the calculation of the forward-looking DOP.

  I would like to reformulate my question:

   

  How can a user rebuild the forward looking DOP?

  Any ideas and support will be highly appreciated.

  

  Derek

  Participant

  Topics: 6

  Replies: 240

  Been thanked: 60 times
  08/01/2016 at 7:32 PM #11076
  Nicolas

  It is not possible since you need to know the future in advance. Because PRT don’t make loop of the bars history at each new candle, you’ll never what candlestick values will come next. Forward offset of Close like this “close[-1]” are also not possible.

  The DPO built-in into the platform is hard-coded to work in a way that cannot be reproducible by Probuilder code.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  08/01/2016 at 7:44 PM #11077
  Derek

  Thanks again Nicolas.

  Research starts here.

  

  Derek

  Participant

  Topics: 6

  Replies: 240

  Been thanked: 60 times
• Author
  Posts