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Marek,
Just a personal hint.
Articles of TASC or any other source are usually covered by a
copyright. It is better to give only the reference and not to reprint
the article or any part of it.
Dimitris tsokakis
--- In amibroker@xxxx, "Marek Chlopek" <mchlopek@xxxx> wrote:
> 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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