What is the way to sum up the result of multiple studies applied to multiple charts?
What is the custom indicator/function that reference data from another chart/symbol/indicator?
Let's say I have 20 different stock with its own indicator, I want to sum up these 20 indicator's result, how can I do that?
*I'm currently using V# variables to receive data from these studies, and a custom instrument/indicator to sum all variables into one value. It's record or nothing, so the historical data won't be loaded. It will be great if there is a way to access other charts and other studies.
Hello Shixin,
it is hard to provide the best answer without having more details like
0) does each of your CI refer to "historical reference" only ?
1) does all your chart have the same time periodicity ? is it time base, or non timle based periodicity (renko, tick based etc)
2) on which chart (ie instrument) do you want to display the combined custom indicator ?
etc
Anyhow, the are 2 main approaches for such question :
1) easiest is likely to create a Custom indicator that will be simply the sum of 20 MPD tokens (MPDA+MPDB+MPDC etc), each MPD token including the reference to the instrument / timeframe / and custom indicator applied to each symbol - The MPD token is the answer to your specific question
You could then apply that CI to any of the 20 chart and display on each the corresponding sum
2) creating a custom instrument / "Array variable" in order to store historical V variable might also be an option, but that solution is a bit more complex - so just go that way if option 1) doesn t work (and option 1 should be the solution in 95% of the case)
Cheers
Eddy
My current setup could help illustrate that more clearly.
I'm using a base setup from knowledge base example Custom Instruments #2, "How do I create a custom instrument to track the advancing or declining issues for a large list of stocks?".
I create a quotepage, I create custom cash symbol ##quotepage name, I get into the custom instruments interface, I load up symbols using the cash symbol with specific values that I want, now I access tick up/down volume, ticks, the base price, and custom indicator through custom price, the custom instrument sum up the value from every symbol for me, then I open up this freshly created custom instruments, I add a simple custom indicator SUM(CL,0) to get the A/D line on these stocks.
This is my current setup, this is automated, so this can be setup fast, I liked it a lot, but it's laggy if I use custom indicators like VolumeBreakdown since it's heavy to calculate.
I like the MPD indicator, I was looking for something like this. Now I can access data from another symbol with the ability to set periodicity.
But how do I automate multiple symbols with MPD? I have hundreds of symbols to setup, does cash symbol ##quotepage name works on this case?
I might just change my custom price to the MPD.
So looks like doing calculations on any custom indicator will be laggy. Only build-in up/down ticks, tick volume, and others are efficient, anything more complex than that will be laggy.
Shixin,
I will let Chad answer your specific MPD question as your case is clearly not a typical application environment for using MPD
The typical environment for MPD is to be included in a chart as an indicator or as a token in some custom indicators which will include a reasonable number of different time frame and instrument. In such situation, there is usually no lag created by MPD when this is correctly set up..
For the record, the efficiency of the MPD token calculation (and of the VB indicator and token) have been greatly improved over the past 10 years..
But if you want to initiate heavy VB or MPD type of calculation to hundreds of symbol at the same time, you will hit a CPU limit at some stage... (btw, whatever the software you might want to use).
But still, you could try to adjust the recalc settings or decrease the calculation frequency in order to make them less intensive..
Eddy
I'm now using individually set MPD, and it's fast.
Something about the calculation/data processing method of applying it through the route of building a custom instrument is making a lot of unnecessary hassle.
I made a custom indicator compiled by hundreds of manually adjusted MPD directed to each individual stock that I wanted to monitor, once it loaded up all the symbol in a hidden mode, the calculation becomes really really fast. It is worth the effort to manually setup MPD. Would definitely be great if there is a new way to automate this process though.
I'm using it on Ask Bid Delta on the volume breakdown indicator, and Up/Down Tick Volume Delta. It is doing a fine job telling me about the activity of the market.
Hello Shixin, thanks for sharing! This is a very interesting and creative idea. There are so many possibilities here and this is data that you can't find in the public domain. So cool!
When you say "compiled by hundreds of....individual stocks," how many hundreds are you using? 200, 500, 800? I'm curious because I think with these types of calculations, the more the better, in terms of a smooth and fast output.
With using the MPD, are you also using the Mix Ticker and defining the indicator all in one? Are you doing it all with the MPD? Does your custom indicator look something like this:
MPD_AAPL + MPD_AMZN + MPD_TSLA + MPD_NFLX + MPD_MSFT, etc.
I would love to see a screenshot of one your indicators. Thanks for inspiring some ideas and sharing!
Yes, that is what the formula of my MPD custom indicator looks like. I use S&P 100, Nasdaq 100, Dow Jones 30, to get a feel of the current movement of the index. Because I trade ES and NQ. Now MES and MNQ.
Got it. Thanks again for sharing!
Shixin, I wanted to follow up and say THANK YOU again for sharing this technique.
Like you, I tried using the Quote Page to build some custom indexes, but it was slow and laggy and the output did not look right. Then, I loaded up a chart with a lot of MPDs and Mixed Tickers like you suggested. It's fast and works perfectly, and the output is correct.
I created just the basic TICK indicators for a couple of the equity markets that I trade in Asia. I could never find this data in the public domain. And I'm sure someone, somewhere, is trading with a TICK on the Hang Seng, for example. But now I have it too and it's instantly improved my results.
If you're reading this thread and looking for a way to improve your profitability or discover some new edges, I would strongly encourage you to go down this road. The possibilities are literally infinite and you can create your own market indicators that no other trader on the planet is using.
The basic gist of what Shixin shared is a way to access data of multiple symbols all in one chart. And generally speaking, more data points equal better outputs. Let's say you're using the RSI to trade SPY. Apply the RSI to all 500 stocks, and then add them up, instead of applying to only the SPY. Or create a custom TICK indicator, or Advance Decline line, for whatever ETF you're trading like GDXJ, for instance. Alternatively, you can see where Shixin is taking this approach to a whole new level. Literally infinite possibilities to create your own market data and indicators. Get the hell off of fintwit and don't be afraid to get creative and experiment. This is long, hard, boring work. But it's worth it.
In my opinion, Investor RT under sells this feature. I've written it before on this forum, but it's worth repeating. You can do lots of high level statistics and some seriously heavy-duty calculations with this platform. I mean shit, you could use IRT to run classic quant models like L/S or stat arb. This technique that Shixin shared is just another example of some powerful data processing capabilities in this platform, and I don't think most traders are even aware of this type of analysis.
One tip I might offer is if you load 50 or 100 symbols into a chart to collect this data, it's probably best to use a time-based chart and not a tick-based chart. Tick-based charts make this calculation even more intensive and might slow down your platform. I'm using 1-minute charts to collect the data for the markets in Asia. I set-up these charts for only two days of data. In the 1-minute chart, I declare a variable from the output of the TICK indicator and then I call that variable into a separate tick-based chart (Volume) that I'm using to trade the Hang Seng. Doing it this way, I'm calculating TICK indicators across three different markets with a total of 150 stocks. So, I've got three 1-minute charts open and running and collecting this data. It works like a charm. IRT runs fast like usual.
Thanks for the idea using MPD on multiple stocks and VB!
With the ideas from this thread I have created a custom Indicator from a group of stocks using MPD and VB.
If I want to save historical data from this custom indicator I have to create a custom symbol? How do I set that up best?
Cheers
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