Moving Average Excludes Extended Hours

[Trigun1127]

I saw couple threads about this but no solution. Is it possible to have two moving averages for futures, one where the moving average includes extended hours data (just a normal moving average, so no extra legwork is required), and the second moving average excluding extended hours? I'd like to see both moving averages at the same time for a study.

 

[Joshua]

input Length = 20;
def isOpen =
    between(
        GetTime(),
        RegularTradingStart(GetYYYYMMDD()),
        RegularTradingEnd(GetYYYYMMDD())
    )
;
def NoExMa =
    if isOpen then
        (
            Fold Index = 0 to Max(Max(Length,BarNumber()),0)
            with Data while Data - Floor(Data) < Length * 0.001 do
            if GetValue(isOpen,index)
            then Data + Floor(Round(GetValue(Close,Index),2) * 100) + 0.001
            else Data
        ) 
   else NoExMa[1]
   # or else Double.NaN
;
def Len =
    (NoExMa - floor(NoExMa)) * 1000
;
def Tot =
    Floor(NoExMa) * 0.01   
;
Plot NoExtHourMA = Tot / Len;

 

[Trigun1127]

Thanks Josh! Everything looks good but it looks like its off by a point or so. I could be wrong but it looks like it starts just a tad early before market open? I cant tell.

 

[Joshua]

What symbol are you looking at, which aggregation, and do you have the start aggregation at market open setting checked or unchecked?

 

[Trigun1127]

Yes! I have it aggregating at market open and its /MES

 

[Joshua]

What aggregation and average length? I need a scenario that creates whatever error in order to fix it, but I can't find one.

Could you post a screen shot?

 

[Trigun1127]

What aggregation and average length? I need a scenario that creates whatever error in order to fix it, but I can't find one.

Could you post a screen shot?

I'll report back on Tuesday when market opens so i can share a screenshot of it. 20 EMA. Aggregates at market open

 

[Trigun1127]

Heres the first. this is a small difference ill post another if its more glaring.

https://imgur.com/a/7HgFtWh

https://imgur.com/a/w6OXJkJ

 

[Joshua]

TOS sort of hides extra digits beyond the decimal with automatic rounding, but they're there, and they add up. This should bring the script back into alignment with TOS's rounding.

input Length = 10;
def isOpen =
    between(
        GetTime(),
        RegularTradingStart(GetYYYYMMDD()),
        RegularTradingEnd(GetYYYYMMDD())
    )
;
def NoExIndex =
    if isOpen then
        AbsValue(
            Fold i = 0 to Max(0,BarNumber())
            with d = 0 while d >= 0 do
            if d == Length then -i
            else if GetValue(isOpen,i) then d + 1
            else d
        )
    else 0   
;
def NoExMa =
    if isOpen then
        (
            Fold Index = 0 to NoExIndex with Data do
            if GetValue(isOpen,index)
            then Data + GetValue(close,index)
            else Data
        ) 
    else Double.NaN
;
def Len =
    (NoExMa - floor(NoExMa)) * 1000
;
def Tot =
    Floor(NoExMa) * 0.01   
;
Plot NoExtHourMA = NoExMa / Length;
NoExtHourMA.setpaintingStrategy(paintingStrategy.Line_Vs_POINTS);
NoExtHourMA.setdefaultColor(color.white);

Plot WithExHours = Average(close,Length);
WithExHours.setdefaultColor(color.white);

NoExtHourMA.assignValueColor(if NoExtHourMA == WithExHours then color.cyan else color.yellow);

 

[Trigun1127]

TOS sort of hides extra digits beyond the decimal with automatic rounding, but they're there, and they add up. This should bring the script back into alignment with TOS's rounding.

input Length = 10;
def isOpen =
    between(
        GetTime(),
        RegularTradingStart(GetYYYYMMDD()),
        RegularTradingEnd(GetYYYYMMDD())
    )
;
def NoExIndex =
    if isOpen then
        AbsValue(
            Fold i = 0 to Max(0,BarNumber())
            with d = 0 while d >= 0 do
            if d == Length then -i
            else if GetValue(isOpen,i) then d + 1
            else d
        )
    else 0 
;
def NoExMa =
    if isOpen then
        (
            Fold Index = 0 to NoExIndex with Data do
            if GetValue(isOpen,index)
            then Data + GetValue(close,index)
            else Data
        )
    else Double.NaN
;
def Len =
    (NoExMa - floor(NoExMa)) * 1000
;
def Tot =
    Floor(NoExMa) * 0.01 
;
Plot NoExtHourMA = NoExMa / Length;
NoExtHourMA.setpaintingStrategy(paintingStrategy.Line_Vs_POINTS);
NoExtHourMA.setdefaultColor(color.white);

Plot WithExHours = Average(close,Length);
WithExHours.setdefaultColor(color.white);

NoExtHourMA.assignValueColor(if NoExtHourMA == WithExHours then color.cyan else color.yellow);

For some reason it seems like things are still off. Here is a picture of a regular 20 EMA and just "withExhours" on. For some reason it appears they are slightly off.

https://imgur.com/a/WtN53wE

 

[Joshua]

Its not an EMA, its an SMA. It would have to be completely recoded independently for EMA, WMA, and others.

The color change from yellow to blue is when the two come back into complete alignment, its auto-detected.

 

[Trigun1127]

Oh no. I thought I had written EMA down in the past. My failure. If you can write it up for the ema that would be great. If not I totally understand! Btw really loved your touch of adding the convergence when they are identical.

 

[Trigun1127]

Its not an EMA, its an SMA. It would have to be completely recoded independently for EMA, WMA, and others.

The color change from yellow to blue is when the two come back into complete alignment, its auto-detected.

Hey Josh I'm sorry to be a bother but if you feel up to it could you make this for the EMA? I'm really needing this in a study I'm conducting.

 

[Joshua]

Most likely, yes, when I have some time though. I'd have to look up how EMA's are calculated and some other things probably.

 

[halcyonguy]

here is explanation of EMA
https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages


awhile ago i started on something to shift data, from the end of day, to after hours bars, so an average done in am could use that shifted data, instead of after hours.
possible problems, long average lengths, spanning over 2+ after hours... some day i'll look at it again.