TSM5 Regression with bands code conversion request.

This topic has 6 replies, 3 voices, and was last updated 4 years ago by Nicolas.

Viewing 7 posts - 1 through 7 (of 7 total)

04/17/2020 at 1:29 PM #126538

tapetkabinett

{ TSM5 Regression with bands
	Copyright 2011, P.J.Kaufman. All rights reserved. }
	
	inputs: 	period(20), bandwidth(2.0);
	vars:		slope(0), lrvalue(0), resid(0), sdresid(0), angle(0),
				intercept(0), upperband(0), lowerband(0), size(0), investment(25000);
	
	Value1 = LinearReg( close, period, currentbar, slope, angle, intercept, 
 				lrvalue ) ;
{	slope = LinearRegSlope(close,period);
	lrvalue = linearRegValue(close,period,currentbar);}
	resid = Close - lrvalue;
	
	If Currentbar > period then begin
{ position size }
		size = investment / (avgtruerange(30)*bigpointvalue);
		size = maxlist(size,1);
		sdresid = stddev(close,period);
		Upperband = lrvalue + slope + bandwidth*sdresid;
		Lowerband = lrvalue + slope - bandwidth*sdresid;
{		plot1(upperband,"UB");
		Plot2(lowerband,"LB");
}		plot3(lrvalue,"LR");
		
{		If Close > upperband[1] then buy size contracts this bar on close
			Else if Close < lowerband[1] then sell short size contracts this bar on close; }
		end;

{ TSM5 Regression with bands

inputs: period(20), bandwidth(2.0);

vars: slope(0), lrvalue(0), resid(0), sdresid(0), angle(0),

intercept(0), upperband(0), lowerband(0), size(0), investment(25000);

Value1 = LinearReg( close, period, currentbar, slope, angle, intercept,

lrvalue ) ;

{ slope = LinearRegSlope(close,period);

lrvalue = linearRegValue(close,period,currentbar);}

resid = Close - lrvalue;

If Currentbar > period then begin

{ position size }

size = investment / (avgtruerange(30)*bigpointvalue);

size = maxlist(size,1);

sdresid = stddev(close,period);

Upperband = lrvalue + slope + bandwidth*sdresid;

Lowerband = lrvalue + slope - bandwidth*sdresid;

{ plot1(upperband,"UB");

Plot2(lowerband,"LB");

} plot3(lrvalue,"LR");

{ If Close > upperband[1] then buy size contracts this bar on close

Else if Close < lowerband[1] then sell short size contracts this bar on close; }

end;

Hello

tapetkabinett

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04/17/2020 at 2:23 PM #126554

Vonasi

There are some simple rules that everyone using the forums is expected to follow. Your post has broken one or more of these rules.

The forum rules are as follows. I have highlighted in bold the rule/rules that you have not followed:

Post your topic in the correct forum.

ProRealTime Platform Support only platform related issues.
ProOrder only strategy topics.
ProBuilder only indicator topics.
ProScreener only screener topics
General Discussion any other topics.
Welcome New Members for new forum members to introduce themselves.

Only post in the language of the forum that you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.
Always use the ‘Insert PRT Code’ button when putting code in your posts to make it easier for others to read.
Do not double post. Ask your question only once and only in one forum. All double posts will be deleted anyway so posting the same question multiple times will just be wasting your own time and will not get you an answer any quicker. Double posting just creates confusion in the forums.
Be careful when quoting others in your posts. Only use the quote option when you need to highlight a particular bit of text that you are referring to or to highlight that you are replying to a particular member if there are several involved in a conversation. Do not include large amounts of code in your quotes. Just highlight the text you want to quote and then click on ‘Quote’.
Give your topic a meaningful title. Describe your question or your subject in your title. Do not use meaningless titles such as ‘Coding Help Needed’.
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Always be polite and courteous to others.
Have fun.

I have edited your post where required. Please ensure that your future posts meet these few simple forum rules. 🙂

Vonasi

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04/17/2020 at 2:26 PM #126556

Vonasi

Roberto already told you in your first ever topic how to request a free code conversion from here:

Ask for a Free C ode Conversion

Why did you completely ignore him?

Please add the missing information to this topic.

Vonasi

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04/17/2020 at 3:41 PM #126577

Nicolas

Hello! PLEASE CODE. GoodBye! 😆

Nicolas

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04/20/2020 at 10:56 AM #127026

tapetkabinett

Hello! I am having trouble converting various metastock indicators into PRT. If possible, I would love some help with the following code, to use as a guideline for future conversions 🙂

{ TSM5 Regression with bands
	Copyright 2011, P.J.Kaufman. All rights reserved. }
	
	inputs: 	period(20), bandwidth(2.0);
	vars:		slope(0), lrvalue(0), resid(0), sdresid(0), angle(0),
				intercept(0), upperband(0), lowerband(0), size(0), investment(25000);
	
	Value1 = LinearReg( close, period, currentbar, slope, angle, intercept, 
 				lrvalue ) ;
{	slope = LinearRegSlope(close,period);
	lrvalue = linearRegValue(close,period,currentbar);}
	resid = Close - lrvalue;
	
	If Currentbar > period then begin
{ position size }
		size = investment / (avgtruerange(30)*bigpointvalue);
		size = maxlist(size,1);
		sdresid = stddev(close,period);
		Upperband = lrvalue + slope + bandwidth*sdresid;
		Lowerband = lrvalue + slope - bandwidth*sdresid;
{		plot1(upperband,"UB");
		Plot2(lowerband,"LB");
}		plot3(lrvalue,"LR");
		
{		If Close > upperband[1] then buy size contracts this bar on close
			Else if Close < lowerband[1] then sell short size contracts this bar on close; }
		end;

{ TSM5 Regression with bands

inputs: period(20), bandwidth(2.0);

vars: slope(0), lrvalue(0), resid(0), sdresid(0), angle(0),

intercept(0), upperband(0), lowerband(0), size(0), investment(25000);

Value1 = LinearReg( close, period, currentbar, slope, angle, intercept,

lrvalue ) ;

{ slope = LinearRegSlope(close,period);

lrvalue = linearRegValue(close,period,currentbar);}

resid = Close - lrvalue;

If Currentbar > period then begin

{ position size }

size = investment / (avgtruerange(30)*bigpointvalue);

size = maxlist(size,1);

sdresid = stddev(close,period);

Upperband = lrvalue + slope + bandwidth*sdresid;

Lowerband = lrvalue + slope - bandwidth*sdresid;

{ plot1(upperband,"UB");

Plot2(lowerband,"LB");

} plot3(lrvalue,"LR");

{ If Close > upperband[1] then buy size contracts this bar on close

Else if Close < lowerband[1] then sell short size contracts this bar on close; }

end;

Also, I would like to apologise to Nicolas aswell as Vonasi for being a nuisance last week – I theorize I pressed “submit” just before clocking out, without checking the posted content. Sorry about that mishap.

tapetkabinett

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04/20/2020 at 12:00 PM #127047

Vonasi

tapetkabinett – You seem to be having some issues with reading the rules and sticking to them.

Do not double post! I will merge this topic with your last one on exactly the same subject!

Vonasi

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Replies: 5088

Been thanked: 1811 times

04/20/2020 at 1:24 PM #127077

Nicolas

Please find below the code conversion from Metastock to ProRealTime about your strategy. It also plots on the chart the TSM regression bands.

period=20
bandwidth=2.0
investment=10

slope = LinearRegressionSlope[period](close)
lrvalue = linearRegression[period](close)
resid = Close - lrvalue
 
If barindex > period then 
size = investment / (averagetruerange[30]*pointvalue)
size = max(size,1)
sdresid = std[period](close)
Upperband = lrvalue + slope + bandwidth*sdresid
Lowerband = lrvalue + slope - bandwidth*sdresid
graphonprice upperband
graphonprice lowerband
graphonprice lrvalue
  
If Close > upperband[1] then 
buy size contracts at market 
Elsif Close < lowerband[1] then 
sellshort size contracts at market 
endif
endif

period=20

bandwidth=2.0

investment=10

slope = LinearRegressionSlope[period](close)

lrvalue = linearRegression[period](close)

resid = Close - lrvalue

If barindex > period then

size = investment / (averagetruerange[30]*pointvalue)

size = max(size,1)

sdresid = std[period](close)

Upperband = lrvalue + slope + bandwidth*sdresid

Lowerband = lrvalue + slope - bandwidth*sdresid

graphonprice upperband

graphonprice lowerband

graphonprice lrvalue

If Close > upperband[1] then

buy size contracts at market

Elsif Close < lowerband[1] then

sellshort size contracts at market

endif

Nicolas

Keymaster

Topics: 81

Replies: 20863

Been thanked: 4775 times

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