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Dual Differentiator

Jimmy, Wed Oct 09, 2019 9:46 pm

For the enthusiasts, here is the Dual Differentiator as a standalone code which was kindly made by Mladen.

As explained by Mladen:
There are some thing that has to be told :

I do not know if it is just my edition of "Rocket Science for Trades", but in my edition there are 2 errors in the tradestation code for Dual differentiator. First one regards one step of smoothing :

Code: Select all

I2 = .15*I2+.75*I2[1]; Q2 = .15*Q2+.75*Q2[1];

That is an error - either the 0.15 is wrong or the 0.75 is wrong. From the rest of the code I decided to use 0.15 and 0.85 (since in the rest of the code that smoothing was used - it is an equivalent of EMA smoothing with period (filter) set to 12.3333...)
Also, a couple of lines later, condition : Value1 > .01 it will never be true (values of Value1 are much less than .01) so instead decided to add one more parameter (the minimalTestValue which is set to 0 by default in which case the condition is always true, but if one wants to experiment with it through the minimalTestValue parameter now it is possible)

After these changes, this is what Dual differentiator looks like
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