Charting synthetic data

[M T]

Hello, I've been frustrated a how different the TOS Hull moving average is compared to hand-coded versions (this has been noted by others on previous threads).

To try to nail down the discrepancies I want to create and chart synthetic data and apply the TOS Hull to it. (Code below)

Once I have the synthetic data in the chart and am applying the Hull to it:

I can't find in Chart Settings how to hide the original price data. Any help is greatly appreciated, thanks!

# Inputs
input period = 20;      # Number of bars for one full sine wave cycle
input amplitude = 200;  # Adjust amplitude for the sine wave
input hullPeriod = 13;  # Period for the Hull Moving Average

# Calculate bar-based frequency
def barIndex = BarNumber();                   # Get the bar number
def normalizedIndex = barIndex - Floor(barIndex / period) * period;  # Modulus operation
def angle = normalizedIndex * 360 / period;   # Calculate angle in degrees

# Generate sine wave
def SyntheticData = amplitude * Sin(angle * Double.Pi / 180);  # Convert angle to radians

# Apply Hull Moving Average
def wma1 = WMA(SyntheticData, hullPeriod / 2);                 # WMA with half the Hull period
def wma2 = WMA(SyntheticData, hullPeriod);                     # WMA with the full Hull period
def hullMA = WMA(2 * wma1 - wma2, Sqrt(hullPeriod));           # Hull Moving Average formula

# Plot synthetic data and Hull MA
plot OriginalSyntheticData = SyntheticData;
OriginalSyntheticData.SetDefaultColor(Color.CYAN);
OriginalSyntheticData.SetLineWeight(2);

plot HullMovingAverage = hullMA;
HullMovingAverage.SetDefaultColor(Color.MAGENTA);
HullMovingAverage.SetLineWeight(2);

 

[Carl-not-Karl]

Hello, I've been frustrated a how different the TOS Hull moving average is compared to hand-coded versions (this has been noted by others on previous threads).

To try to nail down the discrepancies I want to create and chart synthetic data and apply the TOS Hull to it. (Code below)

Once I have the synthetic data in the chart and am applying the Hull to it:

I can't find in Chart Settings how to hide the original price data. Any help is greatly appreciated, thanks!

"...chart synthetic data..." : please define for clarification.

Something like this ?:

"

 

[Joshua]

As I understand the question, you're asking how to scale the data for visibility's sake, and hide the price bars. HidePricePlot(); will hide the price bars, but the chart's original scaling remains intact when you do that. I believe the best solution would simply be to Declare Lower;.

 

[M T]

As I understand the question, you're asking how to scale the data for visibility's sake, and hide the price bars. HidePricePlot(); will hide the price bars, but the chart's original scaling remains intact when you do that. I believe the best solution would simply be to Declare Lower;.

Thanks @Joshua and @Carl-not-Karl for your helpful replies. One further question:

Is there any way to output the values of the Hull moving average bar by bar to a file?

 

[halcyonguy]

what makes you think a sine wave should be the same as an average line?

 

[M T]

what makes you think a sine wave should be the same as an average line?

I'm trying to diagnose why hand-coded versions of the Hull moving average don't yield the same results as hand-coded versions using the standard formula. Therefore I'm testing the TOS Hull on various types of synthetic data, including sine waves. I'm not expecting the sine waves and the Hull to be the same.

 

[Joshua]

Is there any way to output the values of the Hull moving average bar by bar to a file?

Not with thinkscript. There are no file read/write functions or anything remotely similar to that.

You can export a watch list to excel. You might be able to use a series of custom columns in a watch list, each individually hard-coded to a different offset of the hull.

I suppose you could also write external software to check the pixel color at exact screen coordinates.

So I wouldn't say it's impossible, but it's certainly not practical.

 

[M T]

Not with thinkscript. There are no file read/write functions or anything remotely similar to that.

You can export a watch list to excel. You might be able to use a series of custom columns in a watch list, each individually hard-coded to a different offset of the hull.

I suppose you could also write external software to check the pixel color at exact screen coordinates.

So I wouldn't say it's impossible, but it's certainly not practical.

One thing I did figure out as a kludge: force a trade in a strategy every day and then write the value of the indicator you're interested in into the price field (for the .csv that can be downloaded). Not pretty, but makes writing data possible.