ExtremeValueDSignal(Series,Double,Double,Int32,Int32,Int32) Method

Implements a general framework for producing extreme value trading signals using Stochastic indicators.

Syntax

Visual Basic
C#

'Declaration
 
Public Overloads Shared Function ExtremeValueDSignal( _
   ByVal s As Series, _
   ByVal extremeLow As Double, _
   ByVal extremeHigh As Double, _
   ByVal noOfPeriods As Integer, _
   ByVal method As Integer, _
   ByVal lengthOfMA As Integer _
) As Series

'Usage
 
Dim s As Series
Dim extremeLow As Double
Dim extremeHigh As Double
Dim noOfPeriods As Integer
Dim method As Integer
Dim lengthOfMA As Integer
Dim value As Series
 
value = FinancialEngine.ExtremeValueDSignal(s, extremeLow, extremeHigh, noOfPeriods, method, lengthOfMA)

public static Series ExtremeValueDSignal( 
   Series s,
   double extremeLow,
   double extremeHigh,
   int noOfPeriods,
   int method,
   int lengthOfMA
)

Parameters

s

A financial series where the first element is the closing price in the last trading period, the second term is the closing price in the previous trading period and so on.

extremeLow

This is the level at which the Stochastic is believed to indicate an oversold level. The Stochastic always lies between 0 and 100, and a suggested extreme low value to take is 20.

extremeHigh

This is the level at which the Stochastic is believed to indicate an over brought level. The Stochastic always lies between 0 and 100, and a suggested extreme high value is 80.

noOfPeriods

An integer which represents the number of periods used over which the closing price is compared.

method

Determines the methods used for the evaluation of the moving average in accordance with the following key:

1 = Simple moving average
2 = Geometric moving average
3 = Linearly weighted moving average
4 = Exponentially Weighted Moving average within smoothing fact set to be 0.5.

For further details concerning the definition of these moving averages please see the accompanying PDF documentation or the API documentation for SimpleMovingAverage(String,Series,ElementValue,Int32).

lengthOfMA

The number of periods over which the moving average is considered.

Return Value

-1, 0, 1 - this method returns either -1, 0, 1 to indicate that either a sell, no action or buy signal was generated.

Remarks

Note, that the general ides of this approach is to seek points which are oversold or over brought levels which are turning.

Methodology

Buy when the Oscillator the Stochastic %D falls below a specific level (e.g. 20) and then rises above that level. Sell when the Oscillator rises above a specific level (e.g. 80) and then falls below that level. This approach is the preferred method of the Stochastics original creator George Lane.

Requirements

Target Platforms: Windows 7, Windows Vista SP1 or later, Windows XP SP3, Windows Server 2008 (Server Core not supported), Windows Server 2008 R2 (Server Core supported with SP1 or later), Windows Server 2003 SP2

Reference

FinancialEngine Class
FinancialEngine Members
Overload List