Advanced trading software: technical analysis and neural networks

The article by Dan Valku in this issue, “The Spearman Indicator For Technical Analysis”, has demonstrated a statistical tool that helps determine trend strength and turning points, and how it can be applied to trading.

Using Tradecision’s Indicator Builder, one needs to create the SPEARMAN indicator:

SPEARMAN indicator:

input
n:"Enter Number of periods:", 10;
price:"Enter the Price:", close;
end_input

var
i:=0;
j:=0;
tmp:=0;
absum:=0;
sqrVal:=0;
dif:=0;
Array:ranks[1000]:=0;
Array:valuesTmp[1000]:=0;
end_var

if HISTORYSIZE < n then return 0;

{Fill Values}
for i:= 1 to n do
begin
     valuesTmp[i]:= price\n-i\;
end;

{Sort Values Descerding}
for i:= 1 to n - 1 do
begin
     for j:= 1 to n - 1 do
     begin
          if valuesTmp[j+1] < valuesTmp[j] then
          begin
               tmp:=valuesTmp[j];
               valuesTmp[j]:=valuesTmp[j+1];
               valuesTmp[j+1]:=tmp;
          end;
     end;
end;

{Sort Ranks using Values}
for i:= 1 to n do
begin
     for j:= 1 to n do
     begin
          if valuesTmp[j] = price\n-i\ then
          begin
               ranks[i] := j;
               j := n + 1;
          end;
     end;
end;

for i:= 1 to n do
begin
    dif := ( n - i + 1 ) - ranks[i];
    sqrVal := dif*dif;
    absum := absum + sqrVal;
end;

return (1 - (6*absum)/ (n*(n*n-1)))*100;