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Hi all,
We have an unique function "STUDY" in Amibroker that gives us possibility to
refer from AFL code to line (often plotted as a trendline or vertical for
stop loss) that has been manually drawn by the user.
I was wondering if there is a ready-to-use formula that automatically
detects trendlines? This could be useful for trading system with entry
and/or exit strategy that involves barrier stops.
Regards
Marek Chlopek
NB:
Please find enclosed additional description from the article published in
S&C.
The C++ code is also available (excluding some header files with variables
structure definitions).
----------------
Stocks & Commodities V16:7 (324-328): Barrier Stops And Trendlines by J.
Katz, Ph.D., and D. McCormick
Copyright (c) Technical Analysis Inc.
TRENDLINE DETECTOR
The algorithm that detects the trendlines, and that is accessed via calls to
the functions "UpTL" and "DownTL"
(see sidebar "C++ code"), operates as follows. Let us consider trendlines
generated by UpTL - trendlines sloping
upward and that exist below the price. A search is made to determine all
lines with the following properties: First,
the line must connect two price points within the lookback period, and
second, other than these two points, no other
points must either touch or penetrate beyond the line, and third, the line
must fall between yl and yh (y-axis) at bar cb
(current bar, x-axis).
A count is made of all lines satisfying these three requirements. This count
is the return value from the function. The function also returns the median
of the lines if there is more than one, or the line itself, if there is only
a single one, via a trendline class variable. If no lines are found that
meet all the requirements, a count of zero is returned; in such cases, the
trendline returned should be ignored, as it will contain garbage. The
function "DownTL" works in exactly the same way, except that it finds lines
that are above the price rather than below it.
The functions "FindUpslopeTrend" and "FindDownslope Trend" step through
ranges moving away from the price until one of the previously mentioned
functions returns a count greater than one, indicating the presence of at
least one valid trendline lying within the specified range.
These functions also impose additional criteria; not just any trendline will
do. We require that the two price points determining the line have a
separation of greater than five bars and that the most recent of these two
points exists at
least one bar prior to the current bar. If all of these conditions are met,
we have found a valid trendline. The way these
functions are set up, they will attempt to find the closest trendlines that
are not more than $4,000 away from the current price using the old S&P 500
contract. We use the old S&P 500 contract, since most of our historical data
consists of this contract.
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