Attachments: MT4 Stochastic wrong calculation?

MT4 Stochastic wrong calculation?

#1
First Post: Jun 18, 2011 6:00am Jun 18, 2011 6:00am

M_j
| Joined Nov 2008 | Status: Trader | 1,344 Posts

hi,

I suspect that the MT4 stochastic calculation: (%K Slowing) is somehow wrong.

e.g. How to check:
* Apply 1. Stochastic with:
%K period 14, %D period: 1, Slowing: 5 -- Stoch(14,1,5)

* Apply a 2. Stochastic with: (Which seems to be ok)
%K period 14, %D period: 1, Slowing: 1 -- Stoch(14,1,1)

Than take a couple of Bars and calculate manually the Slowing (SMA) which should produce the same KFull Value as the First Stochastic at that bar.

Inserted Code

                            (2.Sto kFast) (SMA SUM)    (2.Sto FinalSAM)(1.StoKFull)         
                                             
2011.06.17    19:29    =    59.8485                                 
2011.06.17    19:30    =    82.1138                                 
2011.06.17    19:31    =    85.3695                                 
2011.06.17    19:32    =    99.4382                                 
2011.06.17    19:33    =    92.6966        419.4666        83.8933        85.4223         
2011.06.17    19:34    =    73.5955        433.2136        86.6427        87.0513         
2011.06.17    19:35    =    84.2697        435.3695        87.0739        87.1856         
2011.06.17    19:36    =    70.7865        420.7865        84.1573        84.1573        SAME 
2011.06.17    19:37    =    84.8315        406.1798        81.2360        81.2360        SAME 
2011.06.17    19:38    =    83.7079        397.1911        79.4382        79.4382        SAME 
2011.06.17    19:39    =    92.7152        416.3108        83.2622        82.9664         
2011.06.17    19:40    =    78.2609        410.3020        82.0604        82.0000         
2011.06.17    19:41    =    78.2609        417.7764        83.5553        84.1248         
2011.06.17    19:42    =    61.8182        394.7631        78.9526        80.2691         
2011.06.17    19:43    =    66.0377        377.0929        75.4186        76.7169         
2011.06.17    19:44    =    55.9140        340.2917        68.0583        68.6456         
2011.06.17    19:45    =    23.6559        285.6867        57.1373        58.4139

In my example only a couple of times it is the same.

__Thanks__ MJ

#2
Edited 10:34pm Jun 18, 2011 11:45am | Edited 10:34pm

MaryJane
Joined Jun 2011 | 702 Posts

Indeed, if you assume the indicators within MT4 are Full Stochs. They really should be, because there is no other 'industry standard' stochastic oscillator with %K, %D and Smoothing.

Both the inbuilt Stochastic Oscillator and the supplied custom Stochastic.mq4 use the same calculation (they plot exactly the same) but apparently there's something missing.

Full %K should be SMA(period=slowing) of fast %K [the basic 100*(close-LL/HH-LL)]..... source.

MT4 stochs do some lookback averaging of price but definitely not a SMA of fast %K:

Inserted Code

 
      for(k=(i+Slowing-1);k>=i;k--)
        {
         sumlow+=Close[k]-LowesBuffer[k];
         sumhigh+=HighesBuffer[k]-LowesBuffer[k];
        }
      if(sumhigh==0.0) MainBuffer[i]=100.0;
      else MainBuffer[i]=sumlow/sumhigh*100;

the higher the [Slowing:%K] ratio, the bigger the occasional difference between a proper SMA (average of results) and this method (average of inputs) will be.

On the 1st chart below, there are overlaid 14,1,1 (invisible), its SMA(5)(white) and 14,1,5(red) in each window. Built-in Stoch on top, custom Sto in the middle and the attached modification of Sto at the bottom - the white MA curve is covered by the correctly calculated stoch, as it should be.

But I guess the difference has very little bearing in trading, if any. In practice, there is almost no difference with standard 5,3,3 settings and usually Slowing << %K with most stoch setups. 5,3,10 is a bit different at first sight (see 2nd chart; MQ stoch above).

Attached Image(s) (click to enlarge)