is there anyway to get a shifted moving average value using the standard indicators.ma overrides in IStrategy?
Note that I'm not asking for a shift on the input feed - I want to shift a standard moving average , e.g. an SMA or LWMA forward on the chart by 1, 3 or 5 bars. I guess I can do this programmatically but I was wondering if IIndicators has a method which can return a shifted value.

hi f451:

Maybe i don't understand your question, but you can apply any shift programatically in strategy on every indicator method where this parameter is available and get the corresponding value. You can see this on javadoc.


ma

double ma(Instrument instrument,
Period period,
OfferSide side,
IIndicators.AppliedPrice appliedPrice,
int timePeriod,
IIndicators.MaType maType,
int shift)
throws JFException
Calculates the Moving Average for a bar specified with the shift parameter.
Parameters:
instrument - instrument of the bar
period - period of the bar
side - Bid or Ask side of the bar
appliedPrice - type of input data
timePeriod - time period
maType - type of moving average
shift - number of candles back in time staring from current bar. 0 - current bar (currently generated from ticks), 1 - previous bar (last formed bar), 2 - current bar minus 2 bars and so on
Returns:
value for the specified bar
Throws:
JFException - when parameters are not valid
See Also:
Indicator calculation


Adding a indicator to a chart you have also this option on indicator parameters.

Hope that helps

JL

the shift above refers to the number of bars backwards in history using the specified period of the bar. I'm referring to the standard implementation of shift on a moving average - which moves the values across a chart forward by a number of candles. e.g. shift 1 would be equivalent to shift = -1 above (note this does not imply getting "future" values - just a translation on the chart)

Greetings,

Is it possible to code a displaced moving average or moving average envelope? This would not be a shift as in candles back in time from the current candle but a dragging of the current moving average forward or backward in time. I would like to be able to buy and sell the crosses of a moving average and a moving average envelope that have been displaced forward and backwards in time with respect to each other. The moving averages and moving average envelopes could be SMA, EMA, etc.


Thank you kindly,
Best regards

gmoney7

Essentially the shifted lines have the same values as the ones with shift=0. Thus calculate the values as if shift were 0 and then just take another value interval, see:
https://www.dukascopy.com/wiki/#Indicator_Calculation

Dear API Support,

Thank you for the prompt answer to my question. I have been working with Visual JForex but I could not make the shifted MA's work. I know little about java script but I will make an attempt to modify the SMA Crossover Strategy in the JForex Wiki and get back to you.

Thank you very much,
Best regards


gmoney7

Greetings,

I tried to modify the SMA Crossover Strategy initially by shifting just the SMA 10 forward in time by 10 candles. I tried to calculate the indicator by candle interval from https://www.dukascopy.com/wiki/#Indicator_Calculation that you suggested but it does not shift the SMA 10. I have attached the modified strategy and would greatly appreciate your further help.

Thank you,
Regards

gmoney7

You are doing this the wrong way - you simply need to change the reference point, see the calculateSma method.

@Configurable("Feed")
public IFeedDescriptor feedDescriptor =
        new TimePeriodAggregationFeedDescriptor(
                Instrument.EURUSD, 
                Period.TEN_SECS, 
                OfferSide.ASK, 
                Filter.NO_FILTER
        );
@Configurable("")
public int smaPeriod = 2;
@Configurable("")
public int smaShift = 5;
@Configurable("")
public int dataCount = 10;
@Configurable("")
public Color fastColor = Color.GREEN;
@Configurable("")
public Color colorShifted = Color.RED;    

private IHistory history;
private IConsole console;
private IContext context;
private IIndicators indicators;
private IChart chart;
  
@Override
public void onStart(IContext context) throws JFException {
    this.history = context.getHistory();
    this.console = context.getConsole();
    this.indicators = context.getIndicators();
    this.context = context;
    // subscribe the instrument that we are going to work with
    context.setSubscribedInstruments(java.util.Collections.singleton(feedDescriptor.getInstrument()), true);
    if(feedDescriptor.getDataType() == DataType.TICKS){
        console.getWarn().println("The strategy can't trade according to the tick feed!");
        context.stop();
    }
    if(smaShift < 0){
        console.getErr().println("Shift can't be negative - we can't retrieve future bars");
        context.stop();
    }
    context.subscribeToFeed(feedDescriptor, this);
    setupChart();        
    console.getWarn().println("Please manually shift the dashed indicator line by " + smaShift + " bars");
}

private void setupChart(){
    for (IChart c : context.getCharts()){
        if(c.getFeedDescriptor().equals(feedDescriptor)){
            chart = c;
            break;
        }
    }
    //no such chart opened yet - we open it now
    if(chart == null){
        chart = context.openChart(feedDescriptor);
    }
    chart.add(indicators.getIndicator("SMA"), new Object[] { smaPeriod }, new Color[] { fastColor }, new DrawingStyle[] { DrawingStyle.LINE }, new int[] { 1 });
    chart.add(indicators.getIndicator("SMA"), new Object[] { smaPeriod }, new Color[] { colorShifted }, new DrawingStyle[] { DrawingStyle.DASH_LINE }, new int[] { 3 });
    
    IOhlcChartObject ohlc = null;
    for (IChartObject obj : chart.getAll()) {
        if (obj instanceof IOhlcChartObject) {
            ohlc = (IOhlcChartObject) obj;
        }
    }
    if (ohlc == null) {
        ohlc = chart.getChartObjectFactory().createOhlcInformer();
        chart.add(ohlc);
    }
    ohlc.setShowIndicatorInfo(true);
}


@Override
public void onFeedData(IFeedDescriptor feedDescriptor, ITimedData feedData) {

    try {
        double[] sma = calculateSma(smaPeriod, 1);
        double[] smaShifted = calculateSma(smaPeriod, 1 + this.smaShift);
        console.getOut().format("-----\n last completed feed data: %s\n %s <- last values \n%s <- shifted values \n------", 
                feedData, 
                arrayToString(sma), 
                arrayToString(smaShifted)
        );
    } catch (Exception e) {
        console.getErr().println(e);
        e.printStackTrace();
    }
}

private double[] calculateSma(int timePeriod, int shift) throws JFException{
    ITimedData timedData = history.getFeedData(feedDescriptor, shift);
    Object[] smaObjectsFeed = indicators.calculateIndicator(feedDescriptor, new OfferSide[] { feedDescriptor.getOfferSide() }, "SMA",
            new AppliedPrice[] { AppliedPrice.CLOSE }, new Object[] { timePeriod }, this.dataCount, timedData.getTime(), 0);
    return (double[]) smaObjectsFeed[0]; // sma has just 1 output
}

private static String arrayToString(double[] arr) {
    StringBuffer sb = new StringBuffer();
    for (int r = 0; r < arr.length; r++) {
        sb.append(String.format("[%s] %.5f; ", r, arr[r]));
    }
    return sb.toString();
}

The example is based on the following example strategy in our wiki:
https://www.dukascopy.com/wiki/#SMA_Crossover/Visual_version
Here is more on visualization options:
https://www.dukascopy.com/wiki/#Add_indicators_on_chart

Hello,

Thank you again for your prompt reply, I apologize for my delay in getting back to you.
I back-tested SmaShiftVisualize.java and found that when I selected an SMA10 with parameter shift of five it resulted in a shifted line that was actually SMA15 instead of an SMA10 that was shifted five candles into the future. Can a selected SMA be displaced forward and backwards in time while still retaining its' original period structure before it was moved?

Thank you very much,
Best regards

gmoney7

The shift parameter has no effect on timePeriod parameter. Our example shows you the idea, please adjust it for your own purposes.

Thank you very much for your help.