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is an interesting AFL question. Since Peak() built-in function
does not accept variable percentage,
we can take the analytic road and see the fixed and variable
percentage effect.
An example curve <FONT
face="Times New Roman">MA(<FONT
size=2>RSIA(MACD<FONT
size=2>(),5),<FONT
size=2>25),
[the black bold line], a fixed initial percentage 20%,
the
respective peak recognition yellow line,<FONT
face=Verdana size=2> a variable percentage
<FONT
face="Times New Roman">from 20% to 60% and the
respective
red
line and the result : The variable percentage line skips minor peaks P11, P111
and goes from P1
<FONT
face="Times New Roman">directly to P2. The explanation : P1 is ~68, P11 is ~54,
less then P1-20%P1 and it is a peak for the
fixed percentage. But, near P11, the variable percentage is
~45 and P11 should be less than 40 to
be recognised as a peak again.
Play with the IB code
F=MA(<FONT
size=2>RSIA(MACD<FONT
size=2>(),5),<FONT
size=2>25);Plot<FONT
size=2>(F,"",<FONT
size=2>1,8<FONT
size=2>);//
EXAMPLE CURVE<FONT
face="Times New Roman">
<FONT
face="Times New Roman">
R=<FONT
size=2>20;<FONT
face="Times New Roman">// THE FIXED PERCENTAGE<FONT
face=Verdana size=2>
COEFP=1-R/<FONT
size=2>100<FONT
face="Times New Roman">;
COND1=Ref(<FONT
size=2>Ref(F,-1<FONT
size=2>)==HHV(F,<FONT
size=2>3),1<FONT face=Verdana
size=2>);
PeakVALUE=ValueWhen<FONT face=Verdana
size=2>(COND1,F);<FONT
face="Times New Roman">
COND11=PeakVALUE<COEFP*Ref<FONT
size=2>(PeakVALUE,-1) OR
PeakVALUE>Ref(PeakVALUE,-<FONT
size=2>1<FONT
face="Times New Roman">);
PeakVALUE1=ValueWhen<FONT face=Verdana
size=2>(COND11,F);<FONT
face=Verdana size=2>
Plot(PeakVALUE1,""<FONT
size=2>,7,<FONT
size=2>8);<FONT
face="Times New Roman">// FIXED % PEAK LINE
R=R+Cum(<FONT
size=2>1)%40<FONT
size=2>;Plot(R,<FONT
size=2>"",9<FONT
size=2>,1);<FONT face=Verdana
size=2>// THE VARIABLE
PERCENTAGE<FONT
face="Times New Roman">
COEFP=1-R/<FONT
size=2>100<FONT
face="Times New Roman">;
COND1=Ref(<FONT
size=2>Ref(F,-1<FONT
size=2>)==HHV(F,<FONT
size=2>3),1<FONT face=Verdana
size=2>);
PeakVALUE=ValueWhen<FONT face=Verdana
size=2>(COND1,F);<FONT
face="Times New Roman">
COND11=PeakVALUE<COEFP*Ref<FONT
size=2>(PeakVALUE,-1) OR
PeakVALUE>Ref(PeakVALUE,-<FONT
size=2>1<FONT
face="Times New Roman">);
PeakVALUE1=ValueWhen<FONT face=Verdana
size=2>(COND11,F);<FONT
face=Verdana size=2>
Plot(1.02<FONT
size=2>*PeakVALUE1,"",<FONT
size=2>4,8<FONT
size=2>);//
VARIABLE % PEAK LINE
Dimitris
Tsokakis
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