RicardoSantos

[RS]Modified McClellan Oscilator V0

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study(title="[RS]Modified McClellan Oscilator V0")
//  ||----------------------------------------------------------------------------------------------------------------------------
//  source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:mcclellan_oscillator
//  Ratio Adjusted Net Advances (RANA): (Advances - Declines)/(Advances + Declines)
//
//    McClellan Oscillator: 19-day EMA of RANA - 39-day EMA of RANA
//
//  19-day EMA* = (Current Day RANA - Prior Day EMA) * .10 + Prior Day EMA)
//  39-day EMA* = (Current Day RANA - Prior Day EMA) * .05 + Prior Day EMA)
//
//  * The first EMA calculation is a simple average. 
//  ||----------------------------------------------------------------------------------------------------------------------------
fast_length = input(title='EMA - Fast Length:', type=integer, defval=19)
slow_length = input(title='EMA - Slow Length:', type=integer, defval=39)
USE_RANA = input(title='Use Ratio Adjustment Net Advancement:', type=bool, defval=true)

advance = cum(close > open ? close - open : 0)
decline = cum(close < open ? open - close : 0)

adv_dec = USE_RANA ? ((advance-decline)/(advance+decline)) : change(close)
ma_fast = ema(adv_dec, fast_length)
ma_slow = ema(adv_dec, slow_length)

mcl_osc = ma_fast-ma_slow
plot(mcl_osc)
hline(0, color=black)
jangseohee
a year ago
how diff is McClellan summation vs NYSE summation index?
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RicardoSantos PRO jangseohee
a year ago
from what im reading it looks to be McClellan, cant be sure.
https://en.wikipedia.org/wiki/McClellan_oscillator
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jangseohee RicardoSantos
a year ago
Gracia, i will come back with definition
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jangseohee
a year ago
here's the stockcharts explanation of McClellan summation index
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:mcclellan_summation

explanation on NYSE summation index
http://caps.fool.com/Blogs/the-single-greatest-tracking/253375
wow! The NYSE Summation Index is actually the summation of another index, the McClellan Summation Index
http://tradingsim.com/blog/how-to-use-the-nyse-summation-index-as-a-trading-guidepost/
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RicardoSantos PRO jangseohee
a year ago
looks like i made a mistake: basis on advance and decline stocks for the oscilator, i was basing it on current instrument and looks like i need to use securitys to get the adv / dec index's( $ISSU , $ADVN , $DECN )
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jangseohee RicardoSantos
a year ago
no worries, it is trial and error
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RicardoSantos PRO jangseohee
a year ago
just a update:
snapshot

see if i update it tonight :P
i like it as it is but its not incorporating the adv/dec index's yet
snapshot
Reply
jangseohee RicardoSantos
a year ago
that's weird
Reply
Temporal Open Differential V0 , do will release it ?
Reply
RicardoSantos PRO ChaschiPapraniku
a year ago
released:
[RS]Temporal Open Diferential V0
+2 Reply
Ricardo, in the Multiple Mov Avg Candle System V1 you have an option for the "Trading Vector"? I not sure I understand the basis for this. Can you explain? Thanks. Konrad.
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RicardoSantos PRO KXRTrading123
a year ago
is just a crude line tracking advances and declines
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jangseohee
a year ago
summation index is more suitable for indices?
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RicardoSantos PRO jangseohee
a year ago
i wouldnt know(no experience with indices/stocks/options), but so far the script works fine for forex.
perhaps the method im using for extracting advances/declines isnt much diferent from the index's (ADVN - DECN)
+1 Reply
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