Hello everyone,
This is the continuation of a study I was working on, and I already had some help in this similar topic:
https://best-trading-indicator.com/community/bti/forums/4180-pinescript/topics/24131-why-mean-value-gives-nan
But now I'm having trouble trying to calculate tMintMaxtCloseMEAN.
tMintMaxtCloseMEAN means the volatility using the next parameters:
tMin: Todays Min
tMax: Todays Max
tClose: Todays Close (for the denominator)
MEAN: The mean value of this parameter over time
So, it should be calculated as:
tMintMaxtCloseMEAN = ( tMax - tMin ) / tClose
And I calculate this mean value using an EMA multiplier.
On the green labels you can see that the values for the Minimum of the day (which is stored in the array minimos[1]), as well as the maximum (in maximos[1]), are well stored. The calculation of the volatility of the day (Max-Min)/Close is also calculated correctly. The emaMultiplier is also shown on the label and it is correct.
tMintMaxtCloseMEAN uses all of these variables, and all of them are correct, so I don't know why this value tMintMaxtCloseMEAN cannot be correctly calculated and gives 0.
Thanks in advance!
study("Volatility", overlay=true)
// Inputs de volatilidades
emaLength = input(20, title="EMA Length", type= input.float)
i_tMintMaxtClose = input(true, title="(Max Hoy - Min Hoy) / Cierre Hoy")
i_NumPos = input(close, title = "Numerador Positivo", type = input.source)
i_NumPosDay = input(0, title = "Día numerador positivo (0=hoy, 1=ayer)", type = input.integer)
i_NumNeg = input(close, title = "Numerador Positivo", type = input.source)
i_NumNegDay = input(0, title = "Día numerador negativo (0=hoy, 1=ayer)", type = input.integer)
i_Denom = input(close, title = "Denominador", type = input.source)
i_DenomDay = input(0, title = "Día denominador (0=hoy, 1=ayer)", type = input.integer)
float inputVolatility = 0.0
var float inputMax = 0.0
var float inputMean = 0.0
// Inputs del filtro de tiempo
filtrar_desde= input(false, title="aplicar filtro desde")
filtrar_hasta= input(false, title="aplicar filtro hasta")
fecha_desde = input(defval = timestamp("01 Sep 2020 00:00 +0000"),title = "Fecha Inicio", type = input.time)
fecha_hasta = input(defval = timestamp("01 May 2021 23:59 +0000"), title = "Fecha Final", type = input.time)
// Funciones de filtro de tiempo
LastDayFiltro() =>
hasta= time== fecha_hasta or not filtrar_hasta
hasta
FechaValida() =>
//timestamp(syminfo.timezone, desde_a, desde_m, desde_d,0,0)
desde= time>= fecha_desde or not filtrar_desde
hasta= time<= fecha_hasta or not filtrar_hasta
desde and hasta
//CalculateMean(numpos, numposday, numneg, numnegday, den, denday) =>
// Arrays
var int maxDays = max(i_NumPosDay, i_NumNegDay, i_DenomDay) + 1
var float[] maximos = array.new_float(maxDays + 1)
var float[] minimos = array.new_float(maxDays + 1)
var float[] cierres = array.new_float(maxDays + 1)
// Variables
var float todayMax=0.0
var float todayMin=0.0
var float yesterdayMax = 0.0
var float yesterdayMin = 0.0
float tMintMaxtClose=0.0
var float tMintMaxtCloseMAX = 0.0
var float tMintMaxtCloseMEAN = 0.0
var float tMintMaxtCloseMEAN2 = 3.0
var int day = 0
var int lastBarDay = 0
var float emaMultiplier = 2.0/(emaLength+1.0)
var int today = 1
var int yesterday = 2
var bool isMarket=false
var bool lastBarWasMarket=false
var int lastMarketBar = 0
var label1=label.new(bar_index, 0.0, text = "", color=color.yellow)
label2=label.new(bar_index, high, text = "", color=color.green)
// Cálculos
if(FechaValida())
// Update day and bars
lastBarWasMarket := isMarket
isMarket := session.ismarket
lastBarDay := day
day:= dayofweek
if(isMarket and lastBarWasMarket and lastBarDay != day)
lastMarketBar:= 1
// Primero miramos si estamos fuera de mercado para almacenar la última vela del día
if(not isMarket)
if(lastBarWasMarket)
lastMarketBar := 1
else
lastMarketBar += 1
if(isMarket and day != lastBarDay)
for counter = maxDays to 1 by 1 // by 1 es por defecto pero para tenerlo claro
array.set(maximos, counter, array.get(maximos,counter-1))
array.set(minimos, counter, array.get(minimos,counter-1))
array.set(cierres, counter, array.get(cierres,counter-1))
yesterdayMin:=todayMin
yesterdayMax:=todayMax
todayMax := high
todayMin := low
if(isMarket)
if(day == lastBarDay)
todayMax := max(todayMax, high)
todayMin := min(todayMin, low)
array.set(maximos, 0, todayMax)
array.set(minimos, 0, todayMin)
array.set(cierres, 0, close)
label.delete(label2)
else //if(day != dayofweek)
// CREAR FUNCION QUE HAGA ESTO CON TODAS
tMintMaxtClose := 100*(array.get(maximos, today)-array.get(minimos, today))/array.get(cierres, today) //close[lastMarketBar]
tMintMaxtCloseMAX := tMintMaxtClose > tMintMaxtCloseMAX ? tMintMaxtClose : tMintMaxtCloseMAX
tMintMaxtCloseMEAN := tMintMaxtClose * emaMultiplier + tMintMaxtCloseMEAN * (1.0 - emaMultiplier)
label.set_text(label2, "Volatility= " + tostring(round(tMintMaxtClose,2))+"\nMax= "+tostring(round(array.get(maximos, 1), 2))+"\nMin= "+tostring(round(array.get(minimos, 1), 2)) + "\ntMintMaxtClose= "+tostring(round(tMintMaxtClose, 2))+ "\ntMintMaxtCloseMEAN= "+tostring(round(tMintMaxtCloseMEAN, 2)) + "\nEMA Multiplier: "+tostring(round(emaMultiplier, 5)))
else
label.delete(label2)
//label.delete(label2)
lastCandle = barstate.islast or LastDayFiltro()
if(lastCandle)
label.set_text(label1, "Volatility\nInput mean: " + tostring(round(inputMean,2))+", Max = "+tostring(round(inputMax, 2)))
if(i_tMintMaxtClose)
text = label.get_text(label1)
label.set_text(label1, text + "\n(TodayMax-TodayMin)/TodayClose \nMean = " + tostring(round(tMintMaxtCloseMEAN,2))+", Max = "+tostring(round(tMintMaxtCloseMAX, 2)))
label.set_xy(label1, bar_index, high[0])
