Custom Index code problem

[MLlalala]

I am trying to make a custom index that follow QQQ, here is my code:

declare lower;
input cutoff=4;
input sym1 = "aapl";
input sym2 = "msft";
input sym3 = "amzn";
input sym4 = "tsla";
input sym5 = "goog";
def v1=close(sym1)+open(sym1)+low(sym1)+high(sym1);
def v2=close(sym2)+open(sym2)+low(sym2)+high(sym2);
def v3=close(sym3)+open(sym3)+low(sym3)+high(sym3);
def v4=close(sym4)+open(sym4)+low(sym4)+high(sym4);
def v5=close(sym5)+open(sym5)+low(sym5)+high(sym5);

def curve=power((v1/4*v2/4*v3/4*v4/4*v5/4),1/5);
plot c= reference EhlersSuperSmootherFilter(curve, cutoff);

The code is a little messy, but basically i use OHLC/4 as price, and then take geometric average, raise to power 1/n, in this case, n=5 stocks. However, when i plot it on 1 min chart, there is some value missing as shown in below chart, i dunn really know why this happen. Appreciate if anyone can shed some light.

 

[halcyonguy]

I am trying to make a custom index that follow QQQ, here is my code:

declare lower;
input cutoff=4;
input sym1 = "aapl";
input sym2 = "msft";
input sym3 = "amzn";
input sym4 = "tsla";
input sym5 = "goog";
def v1=close(sym1)+open(sym1)+low(sym1)+high(sym1);
def v2=close(sym2)+open(sym2)+low(sym2)+high(sym2);
def v3=close(sym3)+open(sym3)+low(sym3)+high(sym3);
def v4=close(sym4)+open(sym4)+low(sym4)+high(sym4);
def v5=close(sym5)+open(sym5)+low(sym5)+high(sym5);

def curve=power((v1/4*v2/4*v3/4*v4/4*v5/4),1/5);
plot c= reference EhlersSuperSmootherFilter(curve, cutoff);

The code is a little messy, but basically i use OHLC/4 as price, and then take geometric average, raise to power 1/n, in this case, n=5 stocks. However, when i plot it on 1 min chart, there is some value missing as shown in below chart, i dunn really know why this happen. Appreciate if anyone can shed some light.

you could simply things by using the built in function, ohlc/4
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Fundamentals/ohlc4

maybe 1 of the values is 0? maybe 1 symbol wasn't traded when the others were?
plot lines for all the ohlc/4 symbols to check your input data. then determine how to deal with it. if a 0, use a previous value?

 

[MLlalala]

you could simply things by using the built in function, ohlc/4
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Fundamentals/ohlc4

maybe 1 of the values is 0? maybe 1 symbol wasn't traded when the others were?
plot lines for all the ohlc/4 symbols to check your input data. then determine how to deal with it. if a 0, use a previous value?

You are right, I found the problem: it is goog missing data. In this case, does the syntax should be written something like, if price(goog) =0 then price(goog)[1]? but what if the quote is missing for several bars, may i know how should i keep looking back until i find a value?

 

[halcyonguy]

You are right, I found the problem: it is goog missing data. In this case, does the syntax should be written something like, if price(goog) =0 then price(goog)[1]? but what if the quote is missing for several bars, may i know how should i keep looking back until i find a value?

that makes sense. more expensive stocks , like goog, won't be as actively traded, and will have periods of no trades, no data.

if you reference the previous value within the original formula, then there won't be any gaps of missing data. every past bar of v1 will have a value.
def v1 = if isnan(ohlc4(sym1)) then v1[1] else ohlc4(sym1);

i used ohlc4() to simplify the formulas. added a variable to control 'fixing' the data, so along with the test plots, you can see a before and after.
added this to the plot,
if isnan(close) then double.nan else
so it doesn't plot a horizontal line after the last bar.

# symbols_ohlc4

declare lower;
input cutoff = 4;
input sym1 = "aapl";
input sym2 = "msft";
input sym3 = "amzn";
input sym4 = "tsla";
input sym5 = "goog";

#def v1=close(sym1)+open(sym1)+low(sym1)+high(sym1);
#def v2=close(sym2)+open(sym2)+low(sym2)+high(sym2);
#def v3=close(sym3)+open(sym3)+low(sym3)+high(sym3);
#def v4=close(sym4)+open(sym4)+low(sym4)+high(sym4);
#def v5=close(sym5)+open(sym5)+low(sym5)+high(sym5);

input fix_data = yes;
def v1 = if fix_data and isnan(ohlc4(sym1)) then v1[1] else ohlc4(sym1);
def v2 = if fix_data and isnan(ohlc4(sym2)) then v2[1] else ohlc4(sym2);
def v3 = if fix_data and isnan(ohlc4(sym3)) then v3[1] else ohlc4(sym3);
def v4 = if fix_data and isnan(ohlc4(sym4)) then v4[1] else ohlc4(sym4);
def v5 = if fix_data and isnan(ohlc4(sym5)) then v5[1] else ohlc4(sym5);

# def curve=power((v1/4*v2/4*v3/4*v4/4*v5/4),1/5);
input power_factor = 5;
def curve = power((v1*v2*v3*v4*v5),1/power_factor);
plot c = if isnan(close) then double.nan else reference EhlersSuperSmootherFilter(curve, cutoff);

#-------------------------------------------
input test_show_lines = no;
plot z1 = v1;
plot z2 = v2;
plot z3 = v3;
plot z4 = v4;
plot z5 = v5;
z1.SetHiding(!test_show_lines);
z2.SetHiding(!test_show_lines);
z3.SetHiding(!test_show_lines);
z4.SetHiding(!test_show_lines);
z5.SetHiding(!test_show_lines);

#

 

[MLlalala]

that makes sense. more expensive stocks , like goog, won't be as actively traded, and will have periods of no trades, no data.

if you reference the previous value within the original formula, then there won't be any gaps of missing data. every past bar of v1 will have a value.
def v1 = if isnan(ohlc4(sym1)) then v1[1] else ohlc4(sym1);

i used ohlc4() to simplify the formulas. added a variable to control 'fixing' the data, so along with the test plots, you can see a before and after.
added this to the plot,
if isnan(close) then double.nan else
so it doesn't plot a horizontal line after the last bar.

# symbols_ohlc4

declare lower;
input cutoff = 4;
input sym1 = "aapl";
input sym2 = "msft";
input sym3 = "amzn";
input sym4 = "tsla";
input sym5 = "goog";

#def v1=close(sym1)+open(sym1)+low(sym1)+high(sym1);
#def v2=close(sym2)+open(sym2)+low(sym2)+high(sym2);
#def v3=close(sym3)+open(sym3)+low(sym3)+high(sym3);
#def v4=close(sym4)+open(sym4)+low(sym4)+high(sym4);
#def v5=close(sym5)+open(sym5)+low(sym5)+high(sym5);

input fix_data = yes;
def v1 = if fix_data and isnan(ohlc4(sym1)) then v1[1] else ohlc4(sym1);
def v2 = if fix_data and isnan(ohlc4(sym2)) then v2[1] else ohlc4(sym2);
def v3 = if fix_data and isnan(ohlc4(sym3)) then v3[1] else ohlc4(sym3);
def v4 = if fix_data and isnan(ohlc4(sym4)) then v4[1] else ohlc4(sym4);
def v5 = if fix_data and isnan(ohlc4(sym5)) then v5[1] else ohlc4(sym5);

# def curve=power((v1/4*v2/4*v3/4*v4/4*v5/4),1/5);
input power_factor = 5;
def curve = power((v1*v2*v3*v4*v5),1/power_factor);
plot c = if isnan(close) then double.nan else reference EhlersSuperSmootherFilter(curve, cutoff);

#-------------------------------------------
input test_show_lines = no;
plot z1 = v1;
plot z2 = v2;
plot z3 = v3;
plot z4 = v4;
plot z5 = v5;
z1.SetHiding(!test_show_lines);
z2.SetHiding(!test_show_lines);
z3.SetHiding(!test_show_lines);
z4.SetHiding(!test_show_lines);
z5.SetHiding(!test_show_lines);

#

I find another problem, how should i stop plotting the marked area?

 

[SleepyZ]

I find another problem, how should i stop plotting the marked area?

Do this mod for the plots

plot z1 = if isnan(close) then double.nan else v1;