"Rebase" function in Tradestation

[dupaski 10]

I came across the following chart on a blog (it was Teresa Lo's site). I've been trying to do this in Investor RT for a few weeks now and can only get it to a ratio chart with my primary frame of reference as a line chart.

 

I really like how it appears that Tradestation can reference the benchmark as a zero line, but I can't seem to fins anyplace else that references the "rebase" on the chart. Is that merely what the author has named the function, and if so what is the function I would be able to research in Tradestation to learn more about this.

 

Also, if anyone knows IRT and can point out how I would be able to accomplish this on that platform I would also be grateful.

 

Thanks

-Derek

[thrunner 10]

what is the function I would be able to research in Tradestation to learn more about this

Don't know anything about IRT but Rebase is not a built in function or indicator in TS. If your read T Lo, :

The thesis is simple. Identify sectors that begin to outperform the benchmark, get on board and rotate out when the greatest fool is securely on board. Identify sectors that have been totally beaten down and buy after all the weak longs have puked.

 

Start with a rebased chart. In this example, the S&P 500 Index is our benchmark. We plot the nine Sector SPDRs (utilities are missing for now, because my code is out at Sean’s to fix) and look at the performance since the beginning of this year.

TS allows you to insert multiple symbols as datastreams into subgraphs in a chart (as data1, data2 ....) and you can calculate a new stream output for each data in the bottom subgraph using a baseline number from eg 1/1/07 in this case. It looks like that is what Rebase is: a simple indicator calculating a ratio starting in the new year of each data to the first trading day of the year, for each sector listed.

 

If you are using IRT, you just have to find out if IRT supports inserting multiple symbols into a chart and calculate the data and output that into a subgraph or a new chart.

 

There is no reason to do this all in one chart, it just makes it easier to see the whole picture in comparing the nine sectors listed.

[dupaski 10]

Thank you for the response.

 

So the chart attached above is showing how each sector did in relation to the price of the S&P on 1/1/07?

 

The article seemed to indicate that crossing the 0 line showed outperformance of the S&P and I just assumed it was year to date, (i.e. a change in a sectors price was in relation to the change in the S&P day over day). In that scenario, if the index rose 1% and one of the SPDRs rose 1% over the same period it would register as a 0%.

 

IRT will allow for the plotting of multiple instruments on the same scale as a percentage change so I may be able to do this with that combo. It almost seems that this would be easier to do in excel.

 

 

-Derek

[thrunner 10]

IRT will allow for the plotting of multiple instruments on the same scale as a percentage change so I may be able to do this with that combo

Good luck with your efforts in IRT. Here is an example of TS code that will do this:

//A look at sector rotation, plot the nine Sector SPDRs vs base line, start at 1st of the year, changeable.
INPUTS: 
MyDate(1070103),
DataNum(9); // match this with number of Datastreams;  also chart limit array set at 24

Var:
Num (0);
Array:
CloseData[24] (0);

For Num = 1 to DataNum
begin
 If date = MyDate then CloseData[num] = Close of data(num);  // assign the start date close value
end;

If date >= MyDate then
begin	
plot1 (Close of Data(1)/ CloseData[1] - 1, "Clo1" , Blue );
plot2 (Close of Data(2)/ CloseData[2] - 1, "Clo2" , Cyan );
plot3 (Close of Data(3)/ CloseData[3] - 1, "Clo3" , Red  );
plot4 (Close of Data(4)/ CloseData[4] - 1, "Clo4" , Green );
plot5 (Close of Data(5)/ CloseData[5] - 1, "Clo6" , DarkBlue);
plot6 (Close of Data(6)/ CloseData[6] - 1, "Clo6" , Magenta );
plot7 (Close of Data(7)/ CloseData[7] - 1, "Clo7" , DarkGray);
plot8 (Close of Data(8)/ CloseData[8] - 1, "Clo8" , DarkRed );
plot9 (Close of Data(9)/ CloseData[9] - 1, "Clo9" , DarkBrown);
end;

 

Sample output, top 6 symbols cut off and not shown.

[dupaski 10]

Thank you for your help, it was appreciated.

[janlani 10]

This is an awesome idea. I am wondering what changes do I have to make to utilize this intraday with like 2min or 5min charts and where all the sectors start together at the beginning of the day and spread from there intraday? Any help out there? Thanks

[zdo 20]

janlani,

 

using thrunner's code you could probably do something like

in

inputs

change

myDate(nDate) to MyTime(0930),

 

and change

If date = MyDate then... to

if time = MyTime

 

and change

If date >= MyDate then to

if time > MyTime {and barstatus(1) = 2 {if you only need it to update at end of bar}} then...

 

and it should take off at the opening from 'rebase'

 

hth

 

zdo

[janlani 10]

Awesome,

Thanks a lot zdo. I will mess with it and see what I can come up with.

[janlani 10]

I keep on getting cannot divide by zero errors when activating it in tradestation. What am i doing wrong? I have all nine ETF loaded into the page..... Hmmmm stuck.

 

--------------------------------------------------------------------------------

 

//A look at sector rotation, plot the nine Sector SPDRs vs base line, start at 1st of the year, changeable.

INPUTS:

MyTime(0930),

DataNum(9); // match this with number of Datastreams; also chart limit array set at 24

 

Var:

Num (0);

Array:

CloseData[24] (0);

 

For Num = 1 to DataNum

begin

If time = MyTime then

CloseData[num] = Close of data(num); // assign the start date close value

end;

 

If time > MyTime then

begin

plot1 (Close of Data(1)/ CloseData[1] - 1, "Clo1" , Blue );

plot2 (Close of Data(2)/ CloseData[2] - 1, "Clo2" , Cyan );

plot3 (Close of Data(3)/ CloseData[3] - 1, "Clo3" , Red );

plot4 (Close of Data(4)/ CloseData[4] - 1, "Clo4" , Green );

plot5 (Close of Data(5)/ CloseData[5] - 1, "Clo5" , DarkBlue);

plot6 (Close of Data(6)/ CloseData[6] - 1, "Clo6" , Magenta );

plot7 (Close of Data(7)/ CloseData[7] - 1, "Clo7" , DarkGray);

plot8 (Close of Data(8)/ CloseData[8] - 1, "Clo8" , DarkRed );

plot9 (Close of Data(9)/ CloseData[9] - 1, "Clo9" , DarkBrown);

end;

[sevensa 10]

The market opens at 09:30 EST. Since TS based it's timestamps on the close of the bar, the first bar will have time past 0930. If you trade 5 minute bars, the fist bar will have a timestamp of 0935. So your if statement is never true and CloseData[num] is always 0.

 

Change Mytime(0930) to MyTime(0935) in the case of 5 minute bars. If it is three minute bars, then change it to 0933, etc.

 

Since this will be evaluated at the end of the first bar now, you want to know what the open of the first bar was to rebase, so your for loop should be:

For Num = 1 to DataNum 
begin
If time = MyTime then 
CloseData[num] = Open of data(num); // assign the start date close value 
end; 

 

Also, since you are in TX and in Central timezone, make sure your charts are not setup to run in Central Time. If so, then market opens at 0830 for you in TX when it is 0930 in NY.

[janlani 10]

Sevensa,

I really appreciate your time and help. I made the changes but still receive the divide by zero error regardless if I use 0830 or 0832 with 2min charts of the etf's on the page. Yes, my charts start off at 8:30am (adjusted to my time zone). I am not sure why I am getting stuck still?????

 

 

//A look at sector rotation, plot the nine Sector SPDRs vs base line, start at 1st of the year, changeable.

INPUTS:

MyTime(0832),

DataNum(9); // match this with number of Datastreams; also chart limit array set at 24

 

Var:

Num (0);

Array:

CloseData[24] (0);

 

For Num = 1 to DataNum

begin

If time = MyTime then

CloseData[num] = Open of data(num); // assign the start date close value

end;

 

If time > MyTime then

begin

plot1 (Close of Data(1)/ CloseData[1] - 1, "Clo1" , Blue );

plot2 (Close of Data(2)/ CloseData[2] - 1, "Clo2" , Cyan );

plot3 (Close of Data(3)/ CloseData[3] - 1, "Clo3" , Red );

plot4 (Close of Data(4)/ CloseData[4] - 1, "Clo4" , Green );

plot5 (Close of Data(5)/ CloseData[5] - 1, "Clo5" , DarkBlue);

plot6 (Close of Data(6)/ CloseData[6] - 1, "Clo6" , Magenta );

plot7 (Close of Data(7)/ CloseData[7] - 1, "Clo7" , DarkGray);

plot8 (Close of Data(8)/ CloseData[8] - 1, "Clo8" , DarkRed );

plot9 (Close of Data(9)/ CloseData[9] - 1, "Clo9" , DarkBrown);

end;

[sevensa 10]

Well the error is obviously that at least one of your CloseData[num] values is 0. All I can suggest is to look at the actual charts for each of the datastreams and confirm that they all really have a 0832 bar and that the close value is not zero.

[zdo 20]

don’t have much time here and already closed TS down but

1 use iff or related conditions to make sure each of the closeData[n] is not zero and if it is, assign an appropriate value to it ie make sure each of the data streams actually has a value at 830 etc

 

2 make sure your data starts soon enough to have large enough number of records by 830 and maybe use currentbar condition - this prob not an issue here but...

 

If you need it, hopefully someone can help you over the weekend.

[thrunner 10]

Not sure if sector rotation occurs intraday, that seems unlikely.

 

Perhaps you are looking for correlation. Try this code and discussion:

http://www.traderslaboratory.com/forums/f46/excel-help-needed-3762.html#post34620