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For example, a bullish reversal is important after 5 bars below the
support Keltner line and it is usually a whipsaw after 1 bar below
the same line.
A bearish reversal is more important after 5 bars RSI>70 and may be
tricky from the first bar.
We should know something about the recent past behavior.
AFL is powerful enough to describe these sensitive situations and
does not need the zig functions to do it.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Phsst,
> your word "significant" is the most important and needs further
> analysis. What is significant ? Is it enough to have ref(c,-1)==LLV
> (c,10) or we need more conditions to add, re the previous behavior
of
> the function we study ?
> I think we need more than a simple ref(c,-1)==LLV(c,10) for a
> potential reversal.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > Dave,
> >
> > I probably cannot offer much here. While I understood that you
were
> > asking about detecting a reversal of direction of an indicator, it
> > seemed to me that working with an indicator in this fashion would
be
> > almost synonomous with trying to detect significant market or
equity
> > price trend changes.
> >
> > What indicator(s) are you trying to analyze and what would be the
> > ultimate end or purpose of the study?
> >
> > phsst
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > > hi Phsst, think we're talking about two different things.
> > >
> > > I did ask a while back about distinguishing trending and non-
> trending
> > > markets, and did investigate ADX/DMI. (ADX/DMI seems more short
> term
> > than I
> > > had in mind. I was thinking about these months-long sideways
> > markets, how to
> > > numerically tell them apart from more strongly trending ones,
and
> what
> > > strategies you might take to respond.)
> > >
> > > but this is a separate question: given an indicator, any
> indicator,
> > how can
> > > you efficiently detect when it has reversed direction by a
spec'd
> > amount?
> > > any ideas?
> > >
> > > dave
> > >
> > >
> > > > Just a possibility...
> > > >
> > > > Take a look at ADX, +DI & -DI.
> > > >
> > > > ADX tells you if a trend is in place.
> > > >
> > > > Crossover of +DI / -DI might be a decent indicator of a
change
> in
> > trend.
> > > >
> > > > I have not done any testing on this but you might want spend
a
> little
> > > > time looking at it.
> > > >
> > > > phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
<dmerrill@xxxx>
> > wrote:
> > > > > um, unless I'm reading this wrong, it's pretty clear, as I
> > thought: Zig
> > > > > "cheats", in a way, so it can't ever be used in trading
> systems and
> > > > won't
> > > > > backtest realistically. am I missing something?
> > > > >
> > > > > part of me feels like I must be, or these functions
wouldn't
> be very
> > > > useful
> > > > > in real life. jayson's post made it clearer to me how it
> responds,
> > > > but for
> > > > > backtesting, there doesn't seem to be any way to keep it
from
> > > > knowing what
> > > > > it already knows about bars that haven't happened yet. or
> maybe I'm
> > > > missing
> > > > > another something.
> > > > >
> > > > >
> > > > > back to my original question about detecting reversals. I
want
> > to find
> > > > > places where an indicator has dropped at least a specified
> amount
> > > > from its
> > > > > high since the last switch, or risen that amount from its
low
> since
> > > > the last
> > > > > switch. the key thing here is finding the high since the
last
> > rise off a
> > > > > low, and the low since the last drop from a high.
> > > > >
> > > > > is Zig or one of its relatives the best or only way to do
> this,
> > short of
> > > > > stepping through the indicator array a bar at a time?
> > > > >
> > > > > Dave Merrill
> > > > >
> > > > >
> > > > > > Definitive answer on Zig is included in the User's Guide,
> AFL
> > > > reference:
> > > > > > http://www.amibroker.com/guide/afl/afl_view.php?name=ZIG
> > > > > >
> > > > > > Caveat: this function is based on Zig-Zag indicator and
may
> look
> > > > > > into the future - this means that you can get
**unrealistic
> > > > > > results** when back testing trading system using this
> indicator.
> > > > > > This function is provided rather for pattern and trend
> recognition
> > > > > > formulas
> > > > > >
> > > > > > Best regards,
> > > > > > Tomasz Janeczko
> > > > > > amibroker.com
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