How to Find the MODE of a series?

[jphilli11]

Has anyone tried to find the MODE of a series of values in ToS? e.x. the closing price that had the highest frequency over a given period of time. I can see a lot of uses for variations of this in identifying support and resistance as well as other applications. Any help would be great!

Thanks,

 

[jphilli11]

I decided to stop being lazy and worked this problem a bit. It isn't perfect but here's a solution that finds the MODE with a few parameters used to dial in to a certain range and limits.

Params:

1. price:
   1. the price to use to calculate SMA lower limit. close is default.
2. displace:
   1. the number of bars to eliminate from MODE/support calculation. i.e. don't inlclude the most recetn xx bars in calculation (gives better true support). 30 is default.
3. period:
   1. How many bars to use in factoring the MODE/support. 180 is Default
4. SMA_Lower_Limit:
   1. Data will only be factored if ABOVE this SMA. 50 is default is 50

Code: (and forgive the silly disclaimer)

#===================================================
#                        Credits
#===================================================
#Median, SMA, MODE support calculation
#Copyright (c) 2021 Jonathan Phillips, TrendTradez - http://www.trendtradez.com
#
#THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
#EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
#OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
#NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
#HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
#WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
#FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
#OTHER DEALINGS IN THE SOFTWARE.
#
#Requirements:
#    * ThinkorSwim version xx or above
#
#Installation: you should know

declare upper;

#===================================================
#          INPUTS AND GLOBAL VARIABLES
#===================================================
def _BN  = BarNumber();
def _nan = Double.NaN;
def _L   = low;
def _H   = high;
def _O   = open;
def _C   = close;

input price = close;
input displace = 30;
input period    = 180;
input SMA_Lower_Limit = 50;

#median
def _median = (highestall(_C) - Lowestall(_c)) / 2;
plot median = _median;
median.setpaintingStrategy(PaintingStrategy.LINE);
median.setdefaultcolor(color.light_green);

plot SMA = SimpleMovingAvg(length=SMA_Lower_Limit);
sma.setdefaultcolor(color.cyan);
sma.SetPaintingStrategy(PaintingStrategy.line);
sma.hide();

#Mode
def _M   = MedianPrice();
def _NewMode;
def _S;
_S  =
(
    fold i = displace to period
    with c
    do c +
        if
            _L > SMA and
            _H < _Median and          
            GetValue(_H, i) > _M and
            GetValue(_L, i) < _M
        then 1 else 0
);
_NewMode  = if
    _S > _S[1]   
    then _M else _NewMode[1];  

plot Mode = _newmode;

#===================================================
#                        HINTS
#===================================================
#hint price: the price to use to calculate SMA lower limit. close is default.
#hint displace: the number of bars to eliminate from MODE/support calculation.  i.e. don't inlclude the most recetn xx bars in calculation (gives better true support). 30 is default.
#hint period: How many bars to use in factoring the MODE/support. 180 is Default
#hint SMA_Lower_Limit: Data will only be factored if ABOVE this SMA.  50 is default is 50

Here's a screen shot of SSOF - seems to identify strong support areas for 'worst case' pullbacks. White line is the MODE support.

 

[halcyonguy]

I decided to stop being lazy and worked this problem a bit. It isn't perfect but here's a solution that finds the MODE with a few parameters used to dial in to a certain range and limits.

Params:

1. price:
   1. the price to use to calculate SMA lower limit. close is default.
2. displace:
   1. the number of bars to eliminate from MODE/support calculation. i.e. don't inlclude the most recetn xx bars in calculation (gives better true support). 30 is default.
3. period:
   1. How many bars to use in factoring the MODE/support. 180 is Default
4. SMA_Lower_Limit:
   1. Data will only be factored if ABOVE this SMA. 50 is default is 50

Code: (and forgive the silly disclaimer)

#===================================================
#                        Credits
#===================================================
#Median, SMA, MODE support calculation
#Copyright (c) 2021 Jonathan Phillips, TrendTradez - http://www.trendtradez.com
#
#THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
#EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
#OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
#NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
#HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
#WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
#FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
#OTHER DEALINGS IN THE SOFTWARE.
#
#Requirements:
#    * ThinkorSwim version xx or above
#
#Installation: you should know

declare upper;

#===================================================
#          INPUTS AND GLOBAL VARIABLES
#===================================================
def _BN  = BarNumber();
def _nan = Double.NaN;
def _L   = low;
def _H   = high;
def _O   = open;
def _C   = close;

input price = close;
input displace = 30;
input period    = 180;
input SMA_Lower_Limit = 50;

#median
def _median = (highestall(_C) - Lowestall(_c)) / 2;
plot median = _median;
median.setpaintingStrategy(PaintingStrategy.LINE);
median.setdefaultcolor(color.light_green);

plot SMA = SimpleMovingAvg(length=SMA_Lower_Limit);
sma.setdefaultcolor(color.cyan);
sma.SetPaintingStrategy(PaintingStrategy.line);
sma.hide();

#Mode
def _M   = MedianPrice();
def _NewMode;
def _S;
_S  =
(
    fold i = displace to period
    with c
    do c +
        if
            _L > SMA and
            _H < _Median and         
            GetValue(_H, i) > _M and
            GetValue(_L, i) < _M
        then 1 else 0
);
_NewMode  = if
    _S > _S[1]  
    then _M else _NewMode[1]; 

plot Mode = _newmode;

#===================================================
#                        HINTS
#===================================================
#hint price: the price to use to calculate SMA lower limit. close is default.
#hint displace: the number of bars to eliminate from MODE/support calculation.  i.e. don't inlclude the most recetn xx bars in calculation (gives better true support). 30 is default.
#hint period: How many bars to use in factoring the MODE/support. 180 is Default
#hint SMA_Lower_Limit: Data will only be factored if ABOVE this SMA.  50 is default is 50

what you are doing isn't scanning all prices, to find which one occurs the most.
if you want to find the true MODE price of a range, take a look at this and see if it helps.

find the close price that occurs with the greatest frequency.
https://usethinkscript.com/threads/use-a-profile-of-close-to-find-the-mode-of-a-period.9324/