Compute Stochastic Oscillator In Fortran?

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A stochastic oscillator is a momentum indicator that compares a security’s closing price to its price range over a specific period of time. In Fortran, you can compute the stochastic oscillator by calculating the %K and %D values using the following formula:


%K = (Current Close - Lowest Low) / (Highest High - Lowest Low) * 100 %D = 3-day moving average of %K


You can then plot these values on a chart to identify overbought and oversold conditions in the market. Stochastic oscillators are commonly used by traders to make buy or sell decisions based on market momentum. By incorporating this indicator into your Fortran program, you can analyze market trends and potentially improve your trading strategy.

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How to calculate the %K line in Stochastic Oscillator using Fortran?

To calculate the %K line in Stochastic Oscillator using Fortran, you can use the following formula:


%K = ((Close - LowestLow) / (HighestHigh - LowestLow)) * 100


Where:

  • Close is the closing price of the asset
  • LowestLow is the lowest low over a specified period
  • HighestHigh is the highest high over a specified period


Here is an example Fortran program to calculate the %K line:

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program calculate_stochastic
  implicit none
  real :: close, lowest_low, highest_high, k_line

  ! Input values
  close = 50.0
  lowest_low = 45.0
  highest_high = 55.0

  ! Calculate %K line
  k_line = ((close - lowest_low) / (highest_high - lowest_low)) * 100.0

  ! Print the result
  print *, "The %K line is: ", k_line

end program calculate_stochastic


In this program, you can input the values for the closing price, lowest low, and highest high, and the program will calculate and output the %K line. You can adjust the input values as needed for your specific data set.


What programming techniques can improve the efficiency of Stochastic Oscillator computation in Fortran?

There are several programming techniques that can improve the efficiency of Stochastic Oscillator computation in Fortran. Some of these techniques include:

  1. Vectorization: Utilize vectorized operations and functions whenever possible to perform multiple calculations simultaneously. This can be achieved using Fortran array operations or intrinsics such as "dot_product" or "matmul".
  2. Loop unrolling: Unrolling loops can reduce loop overhead and improve data locality, thus increasing the efficiency of the computation.
  3. Cache optimization: Utilize cache-friendly data structures and access patterns to minimize cache misses and improve memory access efficiency.
  4. Parallelization: Implement parallel algorithms using threading or OpenMP directives to take advantage of multi-core processors and increase computation speed.
  5. Algorithm optimization: Review the algorithm used for Stochastic Oscillator computation and identify opportunities for simplification or optimization to reduce computational complexity.
  6. Precomputation: Whenever possible, precompute and store intermediate results that are reused multiple times to avoid redundant computations.
  7. Compiler optimization: Utilize compiler optimizations such as loop unrolling, inlining, and auto-vectorization to improve the generated machine code and overall performance of the computation.


By implementing these programming techniques, the efficiency of Stochastic Oscillator computation in Fortran can be significantly improved, resulting in faster and more responsive calculations.


How to optimize the Stochastic Oscillator parameters based on historical data in Fortran?

To optimize the Stochastic Oscillator parameters based on historical data in Fortran, you can follow these steps:

  1. Define the Stochastic Oscillator formula: The Stochastic Oscillator is a momentum indicator that compares the closing price of a security to its price range over a specific period of time. It consists of two lines - %K and %D.


%K = (Current Close - Lowest Low)/(Highest High - Lowest Low) * 100 %D = 3-day simple moving average of %K

  1. Load historical data: You will need to load historical data for the security you are analyzing. This data should include the closing prices, highest highs, and lowest lows over a specific period of time (e.g., 14 days).
  2. Calculate the %K and %D values: For each day in the historical data, calculate the %K and %D values using the formula mentioned above.
  3. Backtest different parameter values: To optimize the Stochastic Oscillator parameters, you can backtest different values for the period lengths of %K and %D. For example, you can test values of 14 days, 21 days, and 30 days for the %K period length.
  4. Evaluate the performance: For each set of parameter values, evaluate the performance of the Stochastic Oscillator in identifying buy and sell signals. You can use metrics such as the total number of trades, win rate, average return per trade, and maximum drawdown.
  5. Choose the best parameters: Based on the performance metrics, choose the parameter values that result in the best performance for the Stochastic Oscillator.


By following these steps, you can optimize the Stochastic Oscillator parameters based on historical data in Fortran. Additionally, you can automate this process by creating a loop that iterates through different parameter values and evaluates the performance for each set of parameters.


How to calculate the %D line in Stochastic Oscillator using Fortran?

Here is a sample Fortran program that calculates the %D line in a Stochastic Oscillator:

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program stochastic_oscillator

    implicit none

    integer, parameter :: n = 14
    real :: close(n) = [100., 102., 105., 103., 107., 109., 110., 108., 105., 107., 108., 111., 113., 112.]
    real :: %K(n)
    real :: %D(n)
    integer :: i
    real :: sum

    ! Calculate %K line
    do i = n, 1, -1
        if (i > n-3) then
            %K(i) = 0.
        else
            %K(i) = (close(i) - minval(close(i+1:n))) / (maxval(close(i+1:n)) - minval(close(i+1:n))) * 100.
        end if
    end do

    ! Calculate %D line as simple moving average of %K line
    do i = n, 1, -1
        if (i > n-5) then
            %D(i) = 0.
        else
            sum = sum + %K(i)
            %D(i) = sum / 3.
            sum = sum - %K(i+3)
        end if
    end do

    ! Print %D line
    do i = 1, n
        print *, "%D(",i,") = ", %D(i)
    end do

end program stochastic_oscillator


In this program, the close prices of an asset over a period of 14 days are provided in the close array. The %K line is calculated using the stochastic formula (close(i) - minval(close(i+1:n))) / (maxval(close(i+1:n)) - minval(close(i+1:n))) * 100.. The %D line is then calculated as a simple moving average of the %K line using a period of 3 days. The program prints the calculated values of the %D line for each day. You can modify the program according to your specific requirements and input data.


What is the formula for computing the Stochastic Oscillator in Fortran?

Here is an example code snippet in Fortran for computing the Stochastic Oscillator:

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program stochastic_oscillator
    integer, parameter :: n = 14
    integer :: i
    real :: closes(n) = [100.0, 105.0, 110.0, 95.0, 105.0, 100.0, 90.0, 85.0, 95.0, 100.0, 105.0, 110.0, 115.0, 120.0]
    real :: H, L, K

    do i = n, size(closes)
        H = maxval(closes(i-n+1:i))
        L = minval(closes(i-n+1:i))
        K = 100.0 * (closes(i) - L) / (H - L)

        write(*,*) "Stochastic Oscillator for day", i, "is", K
    end do
end program stochastic_oscillator


In this code snippet, n is the number of days for which we want to compute the Stochastic Oscillator. closes is an array containing the closing prices for each day. The Stochastic Oscillator is calculated using the formula:


[ %K = \frac{100 \times (C - L_n)}{(H_n - L_n)} ]


where:

  • ( C ) is the closing price for the current day,
  • ( H_n ) is the highest high price in the last ( n ) days,
  • ( L_n ) is the lowest low price in the last ( n ) days, and
  • ( %K ) is the Stochastic Oscillator value for the current day.


The code snippet loops through each day in the closes array, calculates the highest high price H and lowest low price L in the last n days, and then computes the Stochastic Oscillator K for the current day. Finally, it prints out the Stochastic Oscillator value for each day.


What are some common pitfalls to avoid when implementing the Stochastic Oscillator in Fortran?

  1. Using outdated or inefficient code: When implementing the Stochastic Oscillator in Fortran, it is important to make sure that you are using up-to-date and efficient code. Using outdated or inefficient code can lead to slow performance and inaccurate results.
  2. Improper input data: It is crucial to ensure that you are feeding the Stochastic Oscillator algorithm with the correct input data. This includes making sure that the input data is formatted correctly and that all necessary parameters are included.
  3. Neglecting to set appropriate parameters: The Stochastic Oscillator requires setting parameters such as the period length and smoothing length. Neglecting to set appropriate parameters or using incorrect values can lead to inaccurate results.
  4. Not understanding the algorithm: It is important to have a clear understanding of how the Stochastic Oscillator algorithm works before implementing it in Fortran. Without a thorough understanding of the algorithm, it is easy to make mistakes in the implementation.
  5. Failing to optimize the code: Optimization is crucial when implementing the Stochastic Oscillator in Fortran to ensure efficient performance. Failing to optimize the code can lead to slow execution times and inefficient use of resources.
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