LookBack mysteries

Posted By: Smon

LookBack mysteries - 05/16/19 11:29

I'm having a headache for some time with Zorros LookBack variable and I finally would like to totally understand this. My current project is using a complex indicator, that's why I included an indicator function in my demo code. The most extreme TimeFrames in my Project are M15 and D1. So this is my demo code:

Code:

void indicator()
{
 vars internal = series(price());

 //int Cycle = DominantPeriod(internal,20);

 int n;
	
 for(n = LookBack - 2; n < LookBack; n++)
 {
   if(is(LOOKBACK)==0) printf("n%s Internal at index %d: %.5f, TimeFrame = %d", Asset, n, internal[n], TimeFrame);
 }
}

function run()
{
 StartDate = 20160101;
 EndDate = 20160107;
 BarPeriod = 15;

 LookBack = 200;
	
 int n;

 while(asset(loop("EUR/USD", "USD/JPY")))
 {
  TimeFrame = 1440 / BarPeriod; //D1
	
  vars Price_D1 = series(price());
  vars Trend_D1 = series(LowPass(Price_D1,200));
		
  for(n = LookBack - 2; n < LookBack; n++)
  {
   if(is(LOOKBACK)==0) printf("n%s External at index %d: %.5f, TimeFrame = %d", Asset, n, Price_D1[n], TimeFrame);
  }

  indicator();
		
  TimeFrame = 15 / BarPeriod; //M15
		
  vars Price_M15 = series(price());
  vars Trend_M15 = series(LowPass(Price_D1,200));
		
  for(n = (LookBack - 2); n < LookBack; n++)
		{
  if(is(LOOKBACK)==0) printf("n%s External at index %d: %.5f, 
  TimeFrame = %d", Asset, n, Price_M15[n], TimeFrame);
  }

  indicator();
 }
}

Mystery #1
My LowPass (Line 30 and 42) is using a period of only 200. Why does (my) Zorro demand LookBack = 288?? Why exactly 88 bars more?

Mystery #2
Please set LookBack = 288 now.
Why do I get identical prices with TimeFrame = 96 (D1)? I'd expect these prices to differ just like the M15 prices do.

Isn't the lookback mechanism clever enough to see that my highest timeframe is D1, go back 288 Days and then start filling all the series with 200 elements (overwriting the M15 series if necessary)?

Mystery#3
Please uncomment line 5 now (Cycle). Why is the needed LookBack period suddenly exploding to 9600 bars when the period value is just 20, much lower than the period of the LowPass filter???

Posted By: Spirit

Re: LookBack mysteries - 05/16/19 14:12

I can at least solve the mystery 3 because I know that DominantPeriod needs 100 bars lookback period. Multiplied with your timeframe, you get 9600 bars.

Posted By: Smon

Re: LookBack mysteries - 05/16/19 15:52

oh, 96*100... I didn't see this relation but I still don't understand the reason behind this.

I also read this in the manual:

"Filter functions are normally cumulative and require a long-enough LookBack period before the filter data is stable. As a rule of thumb, allow about 200 bars lookback period for detecting dominant cycle/phase..."

By setting lookback = 200 I'd expect to have 200 bars in all series. If DominantPeriod needs only 100 bars as you stated, shouldn't it be fine with 200?

Posted By: Spirit

Re: LookBack mysteries - 05/16/19 21:13

Sure when you want the dominant period in bars and not in 96 bar units.

Posted By: Smon

Re: LookBack mysteries - 05/17/19 04:28

Hm... this is how I think my code works (obviously it isn't, but why?):

1) TimeFrame is set in run()

2) TimeFrame gets passed on to indicator()

3) indicator() creates local series with 200 M15 or 200 D1 bars, depending on TimeFrame

4) DominantPeriod uses the last 100 M15 or 100 D1 bars. By the way, if 100 bars is needed, what's the value the manual is talking about then: "valid range = 10..60"

Posted By: WillSalas

Re: LookBack mysteries - 07/21/19 18:26

Hello, thats my first post.

i try to compile you code, but there are al lot of things that give me an error.
And btw...i found a copy/paste fault.

You write two times: "= series(LowPass(Price_D1,200));"

I'm not clear with the variable "LOOKBACK" and "LookBack" in the Indictator, because you don't init it somethere.

Nice regards
Will

Posted By: AndrewAMD

Re: LookBack mysteries - 07/21/19 18:35

When your Lite-C script does not include headers, it automatically loads the default.c header. This loads all kinds of definitions and global variables, most of which are defined in the manual.

I suggest you work your way through the strategy tutorial, found here:
https://zorro-project.com/manual/en/tutorial_var.htm

The LookBack global variable is described here:
https://zorro-project.com/manual/en/lookback.htm

The LOOKBACK flag is described here:
https://zorro-project.com/manual/en/mode.htm

The manual is your friend!