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Stochastic with a custom lookback period
John F
posted Jun 29, 2017

I wasn't sure if the built in stoch lets you modify the lookback period so I made one that calculates every part of the stochastic straight from the original equation.

The only relevant information is in the examplee function

How to change window length
Enter desired time length in the excel document under the highlighted cells
All you need to do is change the window length on the H and L data.history (to the numbers under the Safe lookback length cell)
Window length that is to be changed is found here

            H = data.history(positionz, 'high', 3785, '1m')  
            L = data.history(positionz, 'low', 3785, '1m')  
  enter the values under the start:end:step rows in the slice functions under hii, hii2, hii3, hii4, and hii5  
           do the same to the loo, loo1, loo2, loo3, loo4, and loo5 slice functions

Found here..

            hii = H[-2941 : -1 : 210]  
            hii2 = H[-3150 : -210 : 210]  
            hii3 = H[-3360 : -420 : 210]  
            hii4 = H[-3570 : -630 : 210]  
            hii5 = H[-3780 : -840 : 210]

and

            loo = L[-2941 : -1 : 210]  
            loo2 = L[-3150 : -210 : 210]  
            loo3 = L[-3360 : -420 : 210]  
            loo4 = L[-3570 : -630 : 210]  
            loo5 = L[-3780 : -840 : 210]

Here is the excel document calculating the requested time values
^That is to be used in the slice functions between 'hii-hii5' and 'loo-loo5'^

The H and L window length is calculated in the excel document as well... It can be found under "Safe lookback length"

3 responses
John F
Jun 29, 2017

This is also just a concept, the algo itself was not made for live trading. It also has a few lines of noise from the poor copy & paste job from some other algorithm I was working on

John F
Jul 4, 2017

Update:

  • Slice function is a period behind
  • some numbers in the slice function are returning as numpy 'nan' values because it is slicing from after market close, ill place a safeguard that self corrects this when it is happening
John F
Jul 7, 2017

Fixes
Change slice function to look similar to this...

                hii = H[-2940 :: 1]  
                hii2 = H[-3149 : -209 : 1]  
                hii3 = H[-3359 : -419 : 1]  
                hii4 = H[-3569 : -629 : 1]  
                hii5 = H[-3779 : -839 : 1]

adjust numbers to be 1 min behind original values & change the slice 'step' to be 1 rather than 210

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