November 2011

eSIGNAL: PUT/CALL RATIO INDICATORS

For this month’s Traders’ Tip, we’ve provided the formulas fast_PCRI.efs, slow_PCRI.efs (Figure 2), and slow_inverse_PCRI.efs (Figure 3) based on the formula code from Sylvain Vervoort’s article in this issue, “Constructing The Put/Call Ratio Indicator.”

The fast PCRI study contains formula parameters to set the TEMA period, PC ratio RSI period, PCRI indicator period, PC ratio rainbow average period, base period, and offset period.

The slow PCRI study contains formula parameters to set the PCRI period and the PC ratio rainbow average period.

Figure 2: eSIGNAL, Put/Call Ratio Indicators. Here are the fast and slow PCRIs plotted in eSignal.

The slow inverse PCRI study contains formula parameters to set the PCRI period, PC ratio rainbow average period, and RSI period.

Figure 3: eSIGNAL, slow PCRI inverse. Here is the slow PCRI inverse Fisher transform plotted in eSignal.

Formula parameters may be configured through the Edit Chart window (right-click on chart and select Edit Chart or double-click any indicator).

To discuss this study or download complete copies of the formula code, please visit the EFS Library Discussion Board forum under the Forums link from the Support menu at www.esignal.com or visit our EFS KnowledgeBase at https://www.esignal.com/support/kb/efs/. The eSignal code is also shown below.

FAST_PCRI
/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2010) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Fast Put/Call Ratio Indicator
	
Version:            1.00  15/09/2011

Formula Parameters:                     Default:
TEMA period                             5
PC ratio RSI period                     5
PCRI Indicator Period                   5
PC ratio rainbow average period         2
Base Period                             200
Offset Period                           200


Notes:
    The related article is copyrighted material. If you are not a subscriber
    of Stocks & Commodities, please visit www.traders.com.

**********************************/

// predefined constants
var PCRATIO_LOW = 0.45;
var PCRATIO_HIGH = 0.9;

var fpArray = new Array();

function preMain()
{      
    setPriceStudy(false);
    
    setCursorLabelName("Fast PCRI", 0);
    setCursorLabelName("high", 1);
    setCursorLabelName("low", 2);
    setCursorLabelName("base", 3);
    
    setDefaultBarFgColor(Color.green, 1);
    setDefaultBarFgColor(Color.green, 2);
    setDefaultBarFgColor(Color.grey, 3);
    
    setDefaultBarThickness(0, 1);
    setDefaultBarThickness(0, 2);
    setDefaultBarThickness(1, 3);
    
    
    var x=0;
    fpArray[x] = new FunctionParameter("temaPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("TEMA Period");
	setLowerLimit(1);
        setUpperLimit(100);
        setDefault(5);
    }
 
    fpArray[x] = new FunctionParameter("rsiPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PC Ratio RSI Period");
	setLowerLimit(2);
        setUpperLimit(100);
        setDefault(5);
    }
    
    fpArray[x] = new FunctionParameter("pcriPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PCRI Indicator Period");
	setLowerLimit(1);
        setUpperLimit(100);
        setDefault(5);
    }
    
    fpArray[x] = new FunctionParameter("rainbPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PC ratio rainbow average period");
	setLowerLimit(1);
        setUpperLimit(10);
        setDefault(2);
    }
    
    fpArray[x] = new FunctionParameter("basePeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("Base Period");
	setLowerLimit(1);
        setUpperLimit(500);
        setDefault(200);
    }
    
    fpArray[x] = new FunctionParameter("offsetPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("Offset Period");
	setLowerLimit(1);
        setUpperLimit(500);
        setDefault(200);
    }
    
}

var bInit = false;
var bVersion = null;

var xPCratio = null;
var xPC = null;
var xPCtema = null;
var xRainb = null;
var xPCRI = null;

var xBase = null;
var xOffset = null;
function main(temaPeriod, rsiPeriod, pcriPeriod, rainbPeriod, basePeriod, offsetPeriod)
{
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;      
    
    if (!bInit)
    {
        xPCratio = close(sym("$PCCE-ST"));
        
        xPC = efsInternal("LimitPC", PCRATIO_LOW, PCRATIO_HIGH, xPCratio);
        
        xPCtema = efsInternal("TEMA", temaPeriod, xPC);
        
        xRainb = efsInternal("RainbowAverage", rainbPeriod, xPCtema);
        
        xPCRI = wma(pcriPeriod, rsi(rsiPeriod, xRainb));
        
        xBase = sma(basePeriod, xPCRI);
        xOffset = efsInternal("MSTD", offsetPeriod, xPCRI);
        
        bInit = true;
    }    
      
    var vBase = xBase.getValue(0);
    var vOffset = xOffset.getValue(0);
    
    var lowLine = null;
    var highLine = null;
    
    if (vBase != null && vOffset != null) 
    {
        lowLine = vBase - 1.3 * vOffset;
        highLine = vBase + 1.3 * vOffset;
    }
    
    var baseLine = 50;
    
    var vPCRI = xPCRI.getValue(0);
    
    if (vPCRI == null) 
        return null;   
    
    return new Array(vPCRI, highLine, lowLine, baseLine);
}

/*************************************************
             SUPPORT FUNCTIONS                    
**************************************************/   

var bInitRainbow = false;
var xWMA1 = null;
var xWMA2 = null;
var xWMA3 = null;
var xWMA4 = null;
var xWMA5 = null;
var xWMA6 = null;
var xWMA7 = null;
var xWMA8 = null;
var xWMA9 = null;
var xWMA10 = null;

// rainbow averaging technique
function RainbowAverage(period, series)
{
    if (!bInitRainbow)
    {
            xWMA1 = wma(period, series);
            xWMA2 = wma(period, xWMA1);
            xWMA3 = wma(period, xWMA2);
            xWMA4 = wma(period, xWMA3);
            xWMA5 = wma(period, xWMA4);
            xWMA6 = wma(period, xWMA5);
            xWMA7 = wma(period, xWMA6);
            xWMA8 = wma(period, xWMA7);
            xWMA9 = wma(period, xWMA8);
            xWMA10 = wma(period, xWMA9);
        
            bInitRainbow = true;
    }
    
    var vWMA1 = xWMA1.getValue(0);
    var vWMA2 = xWMA2.getValue(0);
    var vWMA3 = xWMA3.getValue(0);
    var vWMA4 = xWMA4.getValue(0);
    var vWMA5 = xWMA5.getValue(0);
    var vWMA6 = xWMA6.getValue(0);
    var vWMA7 = xWMA7.getValue(0);
    var vWMA8 = xWMA8.getValue(0);
    var vWMA9 = xWMA9.getValue(0);
    var vWMA10 = xWMA10.getValue(0);
    
    if (vWMA10 == null) 
        return null;
    
    var nRes = (vWMA1 + vWMA2 + vWMA3 + vWMA4 + vWMA5 + vWMA6 + vWMA7 + vWMA8 + vWMA9 + vWMA10)/10; 
    
    return nRes;
}


// Limited Put/Call ratio
function LimitPC(lowLevel, highLevel, PCratio)
{   
    var PCLim = PCratio.getValue(0);
    
    if (PCLim == null) return null;
    
    if(PCLim > highLevel)
        PCLim = highLevel;
    else if (PCLim < lowLevel)
        PCLim = lowLevel;
    
   return PCLim;
}

var bInitTEMA = false;
var xEma1 = null;
var xEma2 = null;
var xEma3 = null;

// Triple Exponential Moving Average
function TEMA(period, series)
{   
    if(!bInitTEMA)
    {
        xEma1 = ema(period, series);
        xEma2 = ema(period, xEma1);
        xEma3 = ema(period, xEma2);
        
        bInitTEMA = true;    
    }   
    
    var vEma1 = xEma1.getValue(0);
    var vEma2 = xEma2.getValue(0);
    var vEma3 = xEma3.getValue(0);
    
    if (vEma3 == null) 
        return null;
    
    return 3 * vEma1 - 3 * vEma2 + vEma3;
}



// Moving Standard Deviation (MSTD)
var aPr = new Array();
var sPr = 0;
var sPr2 = 0;
function MSTD(period, series)
{
        var vPr0 = series.getValue(0);

        
        if ( getBarState() == BARSTATE_ALLBARS )
        {
            aPr.length = 0;
            sPr = 0; 
            sPr2 = 0;
        }

        if ( getBarState() == BARSTATE_NEWBAR )
        {
            if (aPr.length >= period )
            {
                sPr-=aPr[0];
                sPr2-=aPr[0]*aPr[0];
                aPr.shift();
            }
            sPr+=vPr0;
            sPr2+=vPr0*vPr0;
            aPr.push(vPr0);
        }
        if ( getBarState() == BARSTATE_CURRENTBAR ) 
        {
            sPr-=aPr[aPr.length-1];
            sPr2-=aPr[aPr.length-1]*aPr[aPr.length-1];
            sPr+=vPr0;
            sPr2+=vPr0*vPr0;
            aPr[aPr.length-1] = vPr0;    
        }

        var stdDev = null;
        if (aPr.length == period )
        {
            stdDev = Math.sqrt( ( period*sPr2 - sPr*sPr )/( period*( period-1 )) );
        }           
        
        return stdDev;
}



// verify version
function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    return b;
}

SLOW_PCRI
/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2010) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Slow Put/Call Ratio Indicator
	
Version:            1.00  15/09/2011

Formula Parameters:                     Default:
PC ratio rainbow average period         5
PCRI period                             1

Notes:
    The related article is copyrighted material. If you are not a subscriber
    of Stocks & Commodities, please visit www.traders.com.

**********************************/

// predefined constants
var PCRATIO_LOW = 0.45;
var PCRATIO_HIGH = 0.9;

var fpArray = new Array();

function preMain()
{      
    setPriceStudy(false);
    setCursorLabelName("Slow PCRI", 0);
    
    var x=0;
    fpArray[x] = new FunctionParameter("rainbPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PC ratio rainbow average period");
	setLowerLimit(1);
        setUpperLimit(10);
        setDefault(5);
    }
 
    fpArray[x] = new FunctionParameter("pcriPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PCRI period");
	setLowerLimit(1);
        setUpperLimit(100);
        setDefault(1);
    }    
}

var bInit = false;
var bVersion = null;

var xPCratio = null;
var xPC = null;
var xRainb = null;
var xPCRI = null;
function main(rainbPeriod, pcriPeriod)
{
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;      
    
    if (!bInit)
    {
        xPCratio = close(sym("$PCCE-ST"));
        xPC = efsInternal("LimitPC",  PCRATIO_LOW, PCRATIO_HIGH, xPCratio);        
        xRainb = efsInternal("RainbowAverage", rainbPeriod, xPC);
        xPCRI = wma(pcriPeriod, xRainb);
        
        bInit = true;
    }           
    
    var vPCRI = xPCRI.getValue(0); 
    
    if (vPCRI == null ) 
        return null;
    
    return vPCRI;
}

/*************************************************
             SUPPORT FUNCTIONS                    
**************************************************/   


var bInitRainbow = false;
var xWMA1 = null;
var xWMA2 = null;
var xWMA3 = null;
var xWMA4 = null;
var xWMA5 = null;
var xWMA6 = null;
var xWMA7 = null;
var xWMA8 = null;
var xWMA9 = null;
var xWMA10 = null;

// rainbow averaging technique
function RainbowAverage(period, series)
{
    if (!bInitRainbow)
    {
            xWMA1 = wma(period, series);
            xWMA2 = wma(period, xWMA1);
            xWMA3 = wma(period, xWMA2);
            xWMA4 = wma(period, xWMA3);
            xWMA5 = wma(period, xWMA4);
            xWMA6 = wma(period, xWMA5);
            xWMA7 = wma(period, xWMA6);
            xWMA8 = wma(period, xWMA7);
            xWMA9 = wma(period, xWMA8);
            xWMA10 = wma(period, xWMA9);
        
            bInitRainbow = true;
    }
    
    var nRes = 0;
    var vWMA1 = xWMA1.getValue(0);
    var vWMA2 = xWMA2.getValue(0);
    var vWMA3 = xWMA3.getValue(0);
    var vWMA4 = xWMA4.getValue(0);
    var vWMA5 = xWMA5.getValue(0);
    var vWMA6 = xWMA6.getValue(0);
    var vWMA7 = xWMA7.getValue(0);
    var vWMA8 = xWMA8.getValue(0);
    var vWMA9 = xWMA9.getValue(0);
    var vWMA10 = xWMA10.getValue(0);
    
    if (vWMA10 == null) 
        return null;
    
    nRes = (vWMA1 + vWMA2 + vWMA3 + vWMA4 + vWMA5 + vWMA6 + vWMA7 + vWMA8 + vWMA9 + vWMA10)/10; 
    
    return nRes; 
}


// Limited Put/Call ratio
function LimitPC(lowLevel, highLevel, PCratio)
{   
    var PCLim = PCratio.getValue(0);
    
    if (PCLim == null) 
        return null;
    
    if(PCLim > highLevel)
        PCLim = highLevel;
    else if (PCLim < lowLevel)
        PCLim = lowLevel;
    
   return PCLim;
}

// verify version
function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    return b;
}

SLOW_INVERSE_PCRI
/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2010) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    PCRI Slow Inverse Fisher Transform Indicator
	
Version:            1.00  15/09/2011

Formula Parameters:                     Default:
PC ratio rainbow average period         4
PCRI period                             2
RSI period                              8

Notes:
    The related article is copyrighted material. If you are not a subscriber
    of Stocks & Commodities, please visit www.traders.com.

**********************************/

// predefined constants
var PCRATIO_LOW = 0.45;
var PCRATIO_HIGH = 0.9;

var fpArray = new Array();

function preMain()
{      
    setPriceStudy(false);
    setCursorLabelName("Slow PCRI Inverse", 0);
    
    var x=0;
    fpArray[x] = new FunctionParameter("rainbPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PC ratio rainbow average period");
	setLowerLimit(1);
        setUpperLimit(10);
        setDefault(4);
    }
 
    fpArray[x] = new FunctionParameter("pcriPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("PCRI period");
	setLowerLimit(1);
        setUpperLimit(100);
        setDefault(2);
    }  
  
    
       fpArray[x] = new FunctionParameter("rsiPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
	setName("RSI period");
	setLowerLimit(1);
        setUpperLimit(100);
        setDefault(8);
    }    
}

var bInit = false;
var bVersion = null;

var xPCratio = null;
var xPC = null;
var xRainb = null;
var xPcri = null;
var xPcriRsi = null;
function main(rainbPeriod, pcriPeriod, rsiPeriod)
{
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;      
    
    if (!bInit)
    {
        xPCratio = close(sym("$PCCE-ST"));
        
        xPC = efsInternal("LimitPC", PCRATIO_LOW, PCRATIO_HIGH, xPCratio);        
        
        xRainb = efsInternal("RainbowAverage", rainbPeriod, xPC);
        
        xPcri = wma(pcriPeriod, xRainb);
        
        xPcriRsi = rsi(rsiPeriod, xPcri);
              
        bInit = true;
    }              
    
    var vPcriRsi = xPcriRsi.getValue(0);
    
    if(vPcriRsi == null)
        return null;
    
    var x = 0.1 * (vPcriRsi - 50);   
    
    var invfish = ((Math.exp(2*x)-1)/(Math.exp(2*x)+1)+1)*50;   
    
    return invfish;
}

/*************************************************
             SUPPORT FUNCTIONS                    
**************************************************/   

var bInitRainbow = false;
var xWMA1 = null;
var xWMA2 = null;
var xWMA3 = null;
var xWMA4 = null;
var xWMA5 = null;
var xWMA6 = null;
var xWMA7 = null;
var xWMA8 = null;
var xWMA9 = null;
var xWMA10 = null;

// rainbow averaging technique
function RainbowAverage(period, series)
{
    if (!bInitRainbow)
    {
            xWMA1 = wma(period, series);
            xWMA2 = wma(period, xWMA1);
            xWMA3 = wma(period, xWMA2);
            xWMA4 = wma(period, xWMA3);
            xWMA5 = wma(period, xWMA4);
            xWMA6 = wma(period, xWMA5);
            xWMA7 = wma(period, xWMA6);
            xWMA8 = wma(period, xWMA7);
            xWMA9 = wma(period, xWMA8);
            xWMA10 = wma(period, xWMA9);
        
            bInitRainbow = true;
    }
    
    var vWMA1 = xWMA1.getValue(0);
    var vWMA2 = xWMA2.getValue(0);
    var vWMA3 = xWMA3.getValue(0);
    var vWMA4 = xWMA4.getValue(0);
    var vWMA5 = xWMA5.getValue(0);
    var vWMA6 = xWMA6.getValue(0);
    var vWMA7 = xWMA7.getValue(0);
    var vWMA8 = xWMA8.getValue(0);
    var vWMA9 = xWMA9.getValue(0);
    var vWMA10 = xWMA10.getValue(0);
    
    if (vWMA10 == null) 
        return null;
    
    var nRes = (vWMA1 + vWMA2 + vWMA3 + vWMA4 + vWMA5 + vWMA6 + vWMA7 + vWMA8 + vWMA9 + vWMA10)/10;
    
    return nRes;
}


// Limited Put/Call ratio
function LimitPC(lowLevel, highLevel, PCratio)
{   
    var PCLim = PCratio.getValue(0);
    
    if (PCLim == null)
        return null;
    
    if(PCLim > highLevel)
        PCLim = highLevel;
    else if (PCLim < lowLevel)
        PCLim = lowLevel;
    
   return PCLim;
}

// verify version
function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    return b;
}

—Jason Keck
Interactive Data Desktop Solutions
800 815-8256, www.eSignal.com/support/

BACK TO LIST

AMIBROKER: PUT/CALL RATIO INDICATORS

In “Constructing The Put/Call Ratio Indicator” in this issue, Sylvain Vervoort presents a new indicator that is based on the put/call ratio. We have prepared a ready-to-use fast and slow put-call ratio indicator (PCRI) formula for AmiBroker, shown below. To use it, enter the formula in the AFL Editor, then press “Insert Indicator.” You may need to adjust your symbols for the put/call ratio to match your data source symbology. The AFL formula presented here uses the eSignal symbology scheme.

A sample chart of the PCRI is shown in Figure 5.

Figure 5: AMIBROKER, Put/Call Ratio IndicatorS. Here is an S&P 500 price chart (upper pane) with the fast and slow PCRI (lower pane).

// Fast and Slow PCRI 
PCRatio = Foreign("$PC-ST", "C" ); 
PCRatio = Min( 0.9, Max( 0.45, PCRatio ) ); 
temav = Param("TEMA avg PCRatio", 5, 1, 100 ); 
PCTema = TEMA( PCRatio, temav ); 
tma = PCTema; 
rnbw = 0; 

for( i = 0; i < 10; i++ ) 
{ 
 tma = WMA( tma, 2 ); 
 rnbw += tma; 
} 
rainb = rnbw / 10; 
RSIper = Param("PC ratio RSI period", 5, 2, 100 ); 
RSIav = Param("PCRI Indicator avg", 5, 1, 100 ); 
pcri = WMA( RSIa( rainb, RSIper ), RSIav ); 
pcriup = MA( pcri, 200 ) + 1.3 * StDev( pcri, 200 ); 
pcridn = MA( pcri, 200 ) - 1.3 * StDev( pcri, 200 ); 

Plot( pcri, "PCRI Fast", colorBlue, styleThick ); 
Plot( pcriup, "", colorLightBlue, styleDashed ); 
Plot( pcridn, "", colorLightBlue, styleDashed ); 
Plot( 50, "", colorLightBlue, styleDashed ); 
mova = Param("PCRI smoothing", 30, 1, 100 ); 
Plot( WMA( rainb, mova ), "PCRI Slow", colorRed, styleThick | styleOwnScale );

—Tomasz Janeczko, AmiBroker.com
www.amibroker.com

BACK TO LIST

AIQ: PUT/CALL RATIO INDICATORS

Here is code for AIQ based on Sylvain Vervoort’s put/call ratio indicators (PCRIs) described in his article in this issue. The code has been modified from the author’s formulas, which used weighted averaging. That type of averaging is not offered in AIQ as a built-in function and had to be coded long-style; the result was very inefficient code that ran too slowly to be of any use. So I modified the formulas by substituting exponential averaging for the weighted averaging. The code now runs fast enough to be useful, and the indicators can be plotted without hanging up the processor.

On my website, I will also provide the code that matches the original formulas for those who want to try it. However, I believe the modified code can produce similar results.

Although the values are not the same as the author’s values when using the same parameters, the resulting shapes of the indicators are similar. Also on my website, I have a “PCratio.dta” data file that can be downloaded and saved into the “C:\wintes32\tdata\” folder. Once the file is saved, go to the Data Manager module and run the utility “Rebuild Master Ticker List” to complete the data file install process.

The three modified PC ratio indicators are shown in Figure 7 on a chart of the S&P 500 index.

Figure 7: AIQ SYSTEMS, Put/Call Ratio IndicatoRS. Here are Sylvain Vervoort’s three put/call ratio indicators shown on a chart of the S&P 500 index.

The code and EDS file can be downloaded from www.TradersEdgeSystems.com/traderstips.htm and is also shown at below.

AIQ code
!CONSTRUCTING THE PUT/CALL RATIO INDICATOR (MODIFIED VERSION)
!Author: Sylvain Vervoort, TASC November 2011
!Coded by: Richard Denning 9/11/2011

!NOTE: THIS VERSION USES EXPONENTIAL RATHER THAN THE AUTHOR'S WEIGHTED AVERAGING

!INPUTS:
!For pcriFAST Indicator:
	emaF is 2.
	emaFAST	is 5.
	rsiFAST	is 5.
 	movFAST is 5.

!For pcriSLOW Indicator:
	emaS	is 3.
	movSLOW	is 1.

!For invFISH Indicator:
	emaIF	is 2.
	rsiFISH is 8.
	movFISH	is 3.

!FORMULAS COMMON TO ALL THREE INDICATORS:
C 	is [close].
PCR	is tickerUDF("PCratio",C).
PCRA	is iff(PCR > 0.9,0.9,iff(PCR < 0.45,0.45,PCR)).

!FAST PCRI:
EMApc	is expavg(PCRA,emaFAST).
EMA_EMApc is expavg(EMApc,emaFAST).
TEMApc 	is 3*EMApc - 3*EMA_EMApc + expavg(EMA_EMApc,emaFAST).
ma1 	is expavg(TEMApc,emaF).
ma2	is expavg(ma1,emaF).
ma3	is expavg(ma2,emaF).
ma4	is expavg(ma3,emaF).
ma5	is expavg(ma4,emaF).
ma6	is expavg(ma5,emaF).
ma7	is expavg(ma6,emaF).
ma8	is expavg(ma7,emaF).
ma9	is expavg(ma8,emaF).
ma10	is expavg(ma9,emaF).
rainbPC	is (ma1 + ma2 + ma3 + ma4 + ma5 + ma6 + ma7 + ma8 + ma9 + ma10)/10.

!RSI WILDER OF rainbPC:
!To convert Wilder Averaging to Exponential Averaging use this formula:
!ExponentialPeriods = 2 * WilderPeriod - 1.
U 	is rainbPC - valresult(rainbPC,1).
D 	is valresult(rainbPC,1) - rainbPC.
rsiLen1	is 2 * rsiFAST - 1.
AvgU 	is expAvg(iff(U>0,U,0),rsiLen1).
AvgD 	is expAvg(iff(D>=0,D,0),rsiLen1).
rsiPC 	is 100-(100/(1+(AvgU/AvgD))).

pcriFAST is expavg(rsiPC,movFAST). !PLOT AS CUSTOM INDICATOR

sDevPcri is sqrt(variance(pcriFAST,200)).
UPpcri 	is simpleavg(pcriFAST,200) + 1.3*sDevPcri.
DNpcri	is simpleavg(pcriFAST,200) - 1.3*sDevPcri.

!SLOW PCRI:
ma11 	is expavg(PCRA*100,emaS).
ma12	is expavg(ma11,emaS).
ma13	is expavg(ma12,emaS).
ma14	is expavg(ma13,emaS).
ma15	is expavg(ma14,emaS).
ma16	is expavg(ma15,emaS).
ma17	is expavg(ma16,emaS).
ma18	is expavg(ma17,emaS).
ma19	is expavg(ma18,emaS).
ma20	is expavg(ma19,emaS).
rbPCslow is (ma11 + ma12 + ma13 + ma14 + ma15 + ma16 + ma17 + ma18 + ma19 + ma20)/10.
pcriSLOW is expavg(rbPCslow,movSLOW).  !PLOT AS CUSTOM INDICATOR

!iFISH PCRI:
ma21 	is expavg(PCRA*100,emaIF).
ma22	is expavg(ma21,emaIF).
ma23	is expavg(ma22,emaIF).
ma24	is expavg(ma23,emaIF).
ma25	is expavg(ma24,emaIF).
ma26	is expavg(ma25,emaIF).
ma27	is expavg(ma26,emaIF).
ma28	is expavg(ma27,emaIF).
ma29	is expavg(ma28,emaIF).
ma30	is expavg(ma29,emaIF).
rbPCslowF is (ma21 + ma22 + ma23 + ma24 + ma25 + ma26 + ma27 + ma28 + ma29 + ma30)/10.
pcriFISH is expavg(rbPCslowF,movFISH). 

!RSI WILDER OF pcriFISH:
!To convert Wilder Averaging to Exponential Averaging use this formula:
!ExponentialPeriods = 2 * WilderPeriod - 1.
UpF 	is pcriFISH - valresult(pcriFISH,1).
DpF 	is valresult(pcriFISH,1) - pcriFISH.
rsiLen2	is 2 * rsiFISH - 1.
AvgUpF 	is expAvg(iff(UpF>0,UpF,0),rsiLen2).
AvgDpF 	is expAvg(iff(DpF>=0,DpF,0),rsiLen2).
rsiF is 100-(100/(1+(AvgUpF/AvgDpF))).

X 	is 0.1*(rsiF-50).

invFISH is ((exp(2*x)-1)/(exp(2*x)+1)+1)*50. !PLOT AS CUSTOM INDICATOR

!REPORT TABS:
FAST 	if symbol() = "PCratio".
SLOW 	if symbol() = "PCratio".
iFISH 	if symbol() = "PCratio".

—Richard Denning
info@TradersEdgeSystems.com
for AIQ Systems

BACK TO LIST

STRATASEARCH: PUT/CALL RATIO INDICATORS

Sylvain Vervoort’s article in this issue, “Constructing The Put/Call Ratio Indicator,” provides an exciting setup for a trading system. All the pieces are in place, and we’ve been given a few clues as to how the trading system will be used, but we still need to wait till next month’s follow-up article to turn these indicators into a complete trading system.

In the meantime, we did some experimentation based on the clues the author provided, and were able to come up with some promising results. Using the put/call ratio indicator (PCRI) as a market filter, and combining that filter with rules that identify when to buy and sell the individual stocks within the market, we were able to find systems with high returns, low drawdowns, and relatively short holding periods. It will be interesting to see the complete system in next month’s issue.

StrataSearch users wishing to explore these indicators now, including the experimental rules we created, can download a plugin from the Shared Area of the StrataSearch user forum. After installing the plugin, users can run an automated search for trading systems, identifying the best combinations of indicators for use alongside the put/call ratio indicator.

A sample chart is shown in Figure 9.

Figure 9: STRATASEARCH, Put/Call Ratio IndicatorS. Tops and bottoms in the slow PCRI (red line) are confirmed by extreme highs and lows in the PCRI inverse Fisher transform (blue line).

//*********************************************************
// PCRI Fast
//*********************************************************
temav = parameter("TEMA Average");
rsiper = parameter("RSI Period");
rsiav = parameter("PCRI Average");
PCratio = symbol(PCEQ, close);
PC=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
PCtema=Tema(PC,temav);
ma= Mov(PCtema,2,W); RnBw=ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
ma= Mov(ma,2,W); RnBw=RnBw+ma;
rainb= RnBw/10;
PCRI_Fast=Mov(RSI2(rainb,rsiper),rsiav,W);

//*********************************************************
// PCRI Slow
//*********************************************************
mav = parameter("Rainbow Average");
mova = parameter("PCRI Smoothing");
PCratio = symbol(PCEQ, close);
PC=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
ma= Mov(PC,mav,W); RnBw=ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
rainb= RnBw/10;
PCRI_Slow=Mov(rainb,mova,W);

//*********************************************************
// PCRI Slow Inverse Fisher Transform
//*********************************************************
mav = parameter("Rainbow Average");
mova =parameter("PCRI Smoothing");
rsiper=parameter("RSI Period");
PCratio = symbol(PCEQ, close);
PC=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
ma= Mov(PC,mav,W); RnBw=ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
ma= Mov(ma,mav,W); RnBw=RnBw+ma;
rainb= RnBw/10;
pcri=Mov(rainb,mova,W);
x= .1*(RSI2(pcri,rsiper)-50);
PCRI_Invfish=((Exp(2*x)-1)/(Exp(2*x)+1)+1)*50;

—Pete Rast
Avarin Systems, Inc.
www.StrataSearch.com

BACK TO LIST

TRADE NAVIGATOR: PUT/CALL RATIO INDICATORS

Trade Navigator users can use the TradeSense programming language to recreate the indicators introduced in Sylvain Vervoort’s article in this issue, “Constructing The Put/Call Ratio Indicator.” The TradeSense code and step-by-step instructions are shown here.

First, open the Trader’s Toolbox, click on the Functions tab and click the New button.

SC Fast PCRI

Type in the following code:

&PCratio := Close Of "$PCROE" / 100 
&PC := IFF (&PCratio > .9 , .9 , IFF (&PCratio < .45 , .45 , &PCratio)) 
&PCtema := TEMA (&PC , temav , False) 
&ma1 := MovingAvgW (&PCtema , 2) 
&ma2 := MovingAvgW (&ma1 , 2) 
&ma3 := MovingAvgW (&ma2 , 2) 
&ma4 := MovingAvgW (&ma3 , 2) 
&ma5 := MovingAvgW (&ma4 , 2) 
&ma6 := MovingAvgW (&ma5 , 2) 
&ma7 := MovingAvgW (&ma6 , 2) 
&ma8 := MovingAvgW (&ma7 , 2) 
&ma9 := MovingAvgW (&ma8 , 2) 
&ma10 := MovingAvgW (&ma9 , 2) 
&RnBw := &ma1 + &ma2 + &ma3 + &ma4 + &ma5 + &ma6 + &ma7 + &ma8 + &ma9 + &ma10 
&rainb := &RnBw / 10 
&pcri := MovingAvgW (RSI (&rainb , rsiper , False) , rsiav) 
&pcri 

TRADE NAVIGATOR: Creating a function

Click the Verify button. When the Add Inputs window pops up, click the Add button. Set the following values:

temav = 5
rsiper = 5
rsiav = 5 

For the SC Fast PCRI & SC Slow PCRI functions, go to the Advanced tab and uncheck the Criteria/Scans option before saving.

When you are finished, click on the Save button, type a name for your new function and click OK.

Repeat these steps for the SC slow PCRI, SC PCRI upper band, SC PCRI lower band & SC slow PCRI nvFisher functions using the following formulas for each:

SC Slow PCRI

&PCratio := Close Of "$PCROE" / 100 
&PC := IFF (&PCratio > .9 , .9 , IFF (&PCratio < .45 , .45 , &PCratio)) 
&ma1 := MovingAvgW (&PC , mav) 
&ma2 := MovingAvgW (&ma1 , mav) 
&ma3 := MovingAvgW (&ma2 , mav) 
&ma4 := MovingAvgW (&ma3 , mav) 
&ma5 := MovingAvgW (&ma4 , mav) 
&ma6 := MovingAvgW (&ma5 , mav) 
&ma7 := MovingAvgW (&ma6 , mav) 
&ma8 := MovingAvgW (&ma7 , mav) 
&ma9 := MovingAvgW (&ma8 , mav) 
&ma10 := MovingAvgW (&ma9 , mav) 
&RnBw := &ma1 + &ma2 + &ma3 + &ma4 + &ma5 + &ma6 + &ma7 + &ma8 + &ma9 + &ma10 
&rainb := &RnBw / 10 
&pcri := MovingAvgW (&rainb , mova) 
&pcri 

Inputs:
mova = 1
mav = 5

SC PCRI Upper band

MovingAvg (SC Fast PCRI (5 , 5 , 5) , 200) + 1.3 * MovingStdDev (SC Fast PCRI (5 , 5 , 5) , 200)

Inputs: none

SC PCRI Lower band

MovingAvg (SC Fast PCRI (5 , 5 , 5) , 200) - 1.3 * MovingStdDev (SC Fast PCRI (5 , 5 , 5) , 200)

Inputs: none

SC Slow PCRI InvFisher

&PCratio := Close Of "$PCROE" / 100 
&PC := IFF (&PCratio > .9 , .9 , IFF (&PCratio < .45 , .45 , &PCratio)) 
&ma1 := MovingAvgW (&PC , mav) 
&ma2 := MovingAvgW (&ma1 , mav) 
&ma3 := MovingAvgW (&ma2 , mav) 
&ma4 := MovingAvgW (&ma3 , mav) 
&ma5 := MovingAvgW (&ma4 , mav) 
&ma6 := MovingAvgW (&ma5 , mav) 
&ma7 := MovingAvgW (&ma6 , mav) 
&ma8 := MovingAvgW (&ma7 , mav) 
&ma9 := MovingAvgW (&ma8 , mav) 
&ma10 := MovingAvgW (&ma9 , mav) 
&RnBw := &ma1 + &ma2 + &ma3 + &ma4 + &ma5 + &ma6 + &ma7 + &ma8 + &ma9 + &ma10 
&rainb := &RnBw / 10 
&pcri := MovingAvgW (&rainb , mova) 
&x := 1 * (RSI (&pcri , rsiper , False) - 50) 
&invfish := ((Power (2 , 2 * &x) - 1) / (Power (2 , 2 * &x) + 1) + 1) * 50 
&invfish 

Inputs:
mova = 2
rsiper = 8
mav = 4

Creating the chart
Now that we have the functions, on a daily chart, go to the Add to Chart window by clicking on the chart and typing “A” on the keyboard.

Click on the Indicators tab, find the SC Fast PCRI indicator in the list and either doubleclick on it or highlight the name and click the Add button.

Repeat these steps for the SC slow PCRI, SC PCRI upper band, SC PCRI lower band & SC slow PCRI InvFisher indicators. Add a second copy of the SC slow PCRI.

Click on the name of the SC PCRI lower band on the chart and drag it into the same pane as the SC fast PCRI. Then do the same with the SC PCRI upper band and one of the SC slow PCRI.

Click on the name of the remaining SC slow PCRI and drag it into the pane with the SC slow PCRI InvFisher.

Type the letter “E” on your keyboard to bring up the Chart Settings window. Highlight each indicator and change it to the desired color in the chart settings window. Click OK.

In the pane with the SC fast PCRI on the chart, hold the Ctrl key down and click in that pane. Type “E” to go back to the Chart Settings window and locate the horizontal line and change the value to 50. Click OK.

Now that you have the chart the way you want it, click on the Templates button in the toolbar and select <Manage chart templates>, click the New button, type a name for your template and click OK.

Genesis Financial Technologies has provided a library called “Constructing the PCRI” that includes the study with the custom indicators discussed in this article. It also contains the template and a chart page to make it easier for you to view these indicators. You can download the file named “SC201111,” downloadable through Trade Navigator, to get this library.

A sample chart is shown in Figure 11.

Figure 11: TRADE NAVIGATOR, Put/Call Ratio IndicatorS

—Michael Herman
Genesis Financial Technologies
www.GenesisFT.com

BACK TO LIST

MICROSOFT EXCEL: PUT/CALL RATIO INDICATORS

In his article in this issue, Sylvain Vervoort constructs three indicators built on the CBOE equities put/call ratio.

Here is an approach to building the three indicators described in the article using Microsoft Excel spreadsheet software.

My sample chart combines two data sources: Yahoo! Finance S&P 500 index price history, and equity put/call ratio data from the Cboe website. See the Notes tab in the workbook I have provided for download here “PutCallRatioIndicator.xls” to refresh the data from these sources.

A sample chart is shown in Figure 13.

FIGURE 13: EXCEL, Put/Call Ratio IndicatorS. Here, the slow PCRI inverse transform is applied to the daily S&P 500 index.

—Ron McAllister
EXCEL and VBA Programmer
rpmac_xltt@sprynet.com

BACK TO LIST

METASTOCK — PUT/CALL RATIO INDICATORS — VERVOORT ARTICLE CODE

In part 2 of this series of articles, I created three put/call ratio indicators that will allow you to recognize the six phases of the price cycle (below). In part 3, I will show you a trading method based on using these three put/call ratio indicators.

Fast PCRI in MetaStock

{PCRI_Fast}
temav:=Input("TEMA average on PC ratio", 1,100,5);
rsiper:=Input("PC ratio RSI period",2,100,5);
rsiav:=Input("PCRI Indicator Average",1,100,5);
PCratio:=Security("C:\equis\data\specials\PCEQ",C);
PC:=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
PCtema:=Tema(PC,temav);
ma:= Mov(PCtema,2,W); RnBw:=ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
ma:= Mov(ma,2,W); RnBw:=RnBw+ma;
rainb:= RnBw/10;
pcri:=Mov(RSI(rainb,rsiper),rsiav,W);
Mov(pcri,200,S)+1.3*Stdev(pcri,200);
Mov(pcri,200,S)-1.3*Stdev(pcri,200);
50;
Pcri

Slow PCRI in MetaStock

{PCRI_Slow}
mav:=Input("PC ratio rainbow average", 1,10,5);
mova:=Input("PCRI smoothing", 1,100,1);
PCratio:=Security("C:\equis\data\specials\PCEQ",C);
PC:=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
ma:= Mov(PC,mav,W); RnBw:=ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
rainb:= RnBw/10;
pcri:=Mov(rainb,mova,W);
pcri

Slow PCRI inverse Fisher transform in MetaStock

{PCRI_Slow_IFT}
mav:=Input("PC ratio rainbow average", 1,10,4);
mova:=Input("PCRI smoothing", 1,100,2);
rsiper:=Input("RSI period",1,100,8);
PCratio:=Security("C:\equis\data\specials\PCEQ",C);
PC:=If(PCratio>.9,.9,If(PCratio<.45,.45,PCratio));
ma:= Mov(PC,mav,W); RnBw:=ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
ma:= Mov(ma,mav,W); RnBw:=RnBw+ma;
rainb:= RnBw/10;
pcri:=Mov(rainb,mova,W);
x:= .1*(RSI(pcri,rsiper)-50);
invfish:=((Exp(2*x)-1)/(Exp(2*x)+1)+1)*50;
invfish

—Sylvain Vervoort
sve.vervoort@scarlet.be
https://stocata.org/.

BACK TO LIST