Dinapoli preferred Detrended-Price-Oscillator (DDPO)

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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Tue Jan 22, 2019 10:23 pm

Ok, useful to know this. Look forward to the revised version of the DDPO with the suggested alterations/modifications in my previous post. Thanks again!

Regards,
Fortcentral
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Thu Jan 24, 2019 12:59 pm

Dear Apprentice,
Any possibility of getting the final tweaks suggested in my "Tue Jan 22, 2019 9:11 pm" post completed, to get the DDPO Oscillator working perfectly? It is very close, but the oscillator is not yet generating the right signals due to some of the issues highlighed.

I can understand that there is always a big pipeline of requests, so just need to know if the suggested changes for the DDPO are also in the team's development pipeline somewhere? It would be great to have the oscillator operational!

Regards,
Fortcentral.
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby Apprentice » Fri Jan 25, 2019 8:32 am

Sorry for the delay, my team is busy with some other tasks.
Will post any updates here.
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Fri Jan 25, 2019 12:29 pm

Dear Apprentice,
Thank you for the update and it was fortunate to have the delay. I totally understand the reason for any delays - so no pressure and appreciate the great work that your team is doing! I have been in contact with the Dinapoli team and have now had further clarification, which makes the update job a little simpler.

Please disregard my request on my "Tue Jan 22, 2019 9:11 pm" post and replace with the following as the latest. Only Point (1) comment has been changed from my previous post and it is a very minor change now. It just seems that the OB/OS% values are displaying as inverted - the calculation basis does not need to change.

So again the revised comments detailed below:

Point (1)
It appears that the current "OB%" (60%.high) and the "OS%" (60%.low) values may be switched in the oscillator display, i.e. the high value is appearing as the (negative) low and the low value is appearing as the (positive) high. I have tried a few different settings and it is consistently inverted. Could you please check?

Point (2)
The current DDPO Oscillator calculation seems to be rounding off after 4 decimal places. Is there a way to retain upto 8 decimal calculation data to reduce rounding errors? Not sure if there is a default restriction in lua which limits this? Ofcourse if the scaling factor is increased then greater detail is captured, which helps reduce rounding errors. For example scaling at SF=1.0, the DDPO might return a value of 0.0028, however when scaling factor is increased to SF=10,000 the following data would be returned 27.7286. The extra data helps reduce rounding errors, which will help in increasing overall accuracy of the oscillator output.

Point (3)
With regards to the oscillator calculation, an error is also being introduced at the beginning when the SMA data is not (yet) available. As SMA calculation is not beginning until the specified SMA-period is reached, so for example at Bar no. 7 for a 7-day SMA -> the oscillator calculation is returning just the price as the oscillator value for these periods (as the SMA value is zero). In many cases the price value is significantly larger than the oscillator value. It would be good to begin oscillator calculation, once the SMA data is available also from the price chart - e.g. at the 7th data point where a 7-day SMA is specified for the oscillator calculation. Can this please be fixed?

Point (4) - has 4 parts
It would also be very nice to have a display of the "calculated values" in the indicator panel, which displays the current values of:

(i) Oscillator value and settings (current period value, instrument, price source, scaling factor, lookback period, starting date for lookback) - first three are already displaying. The starting date (or this could be a vertical line in the panel), would especially provide a quick way to judge where the current price-period lookback period is starting/ending. This will allow a quick judgement call to be made on whether the size of the specified lookback period is sufficient for the instrument and the time series.

(ii) The current Max.overbought/Min.oversold oscillator displacement values in lookback period. The red display lines are very useful as a visual guide - thanks.

iii) The current average.overbought/average.oversold values in the lookback period

iv) The current +60%/-60% values. The dotted display lines are very helpful as a visual guide also and again thanks!

The "current.time" display of values of the above parameters in Point (4) will provide a ready reference at any time to manually run other checks/calculations, during an ongoing trade. Otherwise the only way to estimate some of these, particularly the average.ob and average.os are to run the calculation manually from price data.

Again appreciate your help. I will have one last request for a new indicator which uses the DDPO as a basis to produce ob/os bands. So once the DDPO is complete and working perfectly - I will put that last request through.

Regards,
Fortcentral
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Tue Jan 29, 2019 8:59 pm

Dear Apprentice,
This might make it easier. Here is a summarised version of my previous DDPO update request, posted "Sat Jan 26, 2019 3:29 am".

Summary:
1) Current "OB%" (60%.high) and the "OS%" (60%.low) values appears switched in the oscillator display. Needs confirmation please and a fix.
2) Need DDPO calculation results to display to "5 significant figures" please or floating point representation in final display. e.g: "4.8973e-04" or "0.00048973" preferred over "0.0005", as is current.
3) Starting error in DDPO calculation needs fix. At the moment, "DDPO(time)=price(time)", when "n.period.SMA=0" at start.
4) Would be nice to have "current calculation values" display at top of oscillator panel as a text string:
(ia) "DDPO","Instrument","price.source" - done!
(ib) "Scaling.Factor","lookback.period","Starting.Date.lookback",
(ii) "Max.OB, Min.OS",
(iii) "Avg.OB, Avg.OS"
(iv) "OB%,OS%"
Display Example: DDPO(EUR/USD,Close, SF=1.00): 4.8973e-03 Lookback(100, start):30-Aug,2018 OB(Max,Avg,x%):1.0572e-02,1.0098e-02,6.0588e-03 OS(Max,Avg,x%):-1.3086e-02,-1.0133e-02,-6.0798e-03

Numbers above are for illustration only, detailed description in earlier post.

Regards,
Fortcentral
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Wed Feb 06, 2019 9:23 am

Dear Apprentice,
Any chance to get the bugs fixed in the DDPO indicator? I have a really nice OB/OS price band indicator request to put in, but this uses the DDPO indicator output. Until the DDPO indicator is working perfectly and I am able to verify that it is producing the right output, I cannot unfortunately put the new indicator request through. Appreciate if you are able to please look into my change request for the DDPO, so that I can outline the OB/OS price band indicator.

Alternatively if there are any issues with any of the outlined line items in my previous post, then I will greatly appreciate if you could please let me know.

Regards,
Fortcentral
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Thu Feb 14, 2019 9:11 am

Dear Apprentice,
Thank you for version-2. It has many good features over the first version and is close to being complete! The line to show the beginning of the lookback period is really helpful. I tested the performance of version-2 across a few timelines, lookback periods and instruments and have attached an example of one analysis to illustrate some final areas for improvement. I hope that this version of my comments help to illustrate the points better. It's important we get it right. Appreciate your assistance as always!

Regards,
Fortcentral
Attachments
DDPO V2 Comments_c.pdf
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby fortcentral » Fri Feb 15, 2019 10:05 am

Another example added for further illustration to the post on "Fri Feb 15, 2019 12:11 am".

Regards,
Fortcentral
Attachments
DDPO V2 Comments_ac.pdf
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Re: Dinapoli preferred Detrended-Price-Oscillator (DDPO)

Postby Apprentice » Mon Feb 18, 2019 5:51 am

Try this version.
Can I delete previous version?
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