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Thanks Dimitris for sharing
;)
Can I use <FONT
face="Times New Roman" color=#000000>The 4 phases of a stock graph in trading
system or looks in future data?
I think this is good for detecting good entries and
exits...
Have you designed any afl code to detect congestion
(for a trading system)?
Thank a lot
juan
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 26, 2003 5:03
AM
Subject: [amibroker] Convexity, Concavity
and their use
An ideal sinusoidal has 4 phases:
Convex AND Ascending;// <FONT
face=Verdana size=2><FONT
face="Times New Roman">colorDarkGreen
Concave AND Ascending;// <FONT
face=Verdana size=2><FONT
face="Times New Roman">colorTurquoise
Concave AND Descending;// <FONT
face=Verdana size=2><FONT
face="Times New Roman">colorDarkRed
Convex AND Descending;// <FONT
size=2>colorPink
The IB code illustrates the example
// The 4 phases of an ideal
sinusoidal<FONT
face=Verdana size=2>
freq = 1<FONT
face="Times New Roman">;
y=sin( <FONT
size=2>Cum( freq/10<FONT
face=Verdana size=2> ) );<FONT
face="Times New Roman">
t=1<FONT
face="Times New Roman">;
Convex=(y-Ref<FONT
size=2>(y,-t))/t>=(y-Ref<FONT
size=2>(y,-(t+1)))/(t+<FONT
size=2>1<FONT
face="Times New Roman">);
Concave=NOT(Convex);<FONT
face="Times New Roman">
Ascending=y>=Ref<FONT
size=2>(y,-1<FONT
face="Times New Roman">);
Descending=NOT(ascending);
Bullstart=Convex AND Ascending;
Bullend=Concave AND ascending;
Bearstart=Concave AND
Descending;
Bearend=Convex AND
Descending;
Color=IIf<FONT
size=2>(Bullstart,colorDarkGreen,IIf<FONT
size=2>(Bullend,colorTurquoise,IIf<FONT
face=Verdana size=2><FONT
face="Times New Roman">(Bearstart,colorDarkRed,colorPink)));<FONT
face=Verdana size=2>
Plot(y,""<FONT
size=2>,Color,8<FONT face=Verdana
size=2>);
[see sin.gif]
We shall use a smoothing procedure
[IIR2 filter] as close to the sinusoidal as possible. [see
IIR2.gif]
Of course the trend characteristics
do not give the [-1, +1] oscillation, but the convexity/concavity are still
detectable.
The superimpose of actual price
candles gives a more descriptive picture of the 4 phases.
[see 4phases.gif]
The full code is
<FONT face=Batang color=#0000ff
size=2>
// The 4
phases of a stock graph
// A.
Smothing procedure
function<FONT
face="Times New Roman"> IIR2( input, f0, f1, f2 )
{
result[ 0 ] = input[ <FONT
size=2>0 ];result[ 1<FONT
size=2> ] = input[ 1<FONT face=Verdana
size=2> ];
for(
i = 2<FONT
face="Times New Roman">; i < BarCount; i++ )
{
result[ i ] = f0 * input[ i ] + f1 * result[ i - <FONT
size=2>1 ] + f2 * result[ i - <FONT
size=2>2
];
}
<FONT
size=2>return<FONT
face="Times New Roman"> result;
}
C1=C;<FONT
face="Times New Roman">
k=0.3<FONT
face="Times New Roman">;
RD=IIR2( C1, 0.3, <FONT
size=2>1.2+K, -0.5<FONT
face=Verdana size=2>-K);
// B. Convexity
definition
y=RD;<FONT face=Verdana
size=2>
t=1<FONT
face="Times New Roman">;
Convex=(y-Ref<FONT
face="Times New Roman">(y,-t))/t>=(y-<FONT
size=2>Ref<FONT
size=2>(y,-(t+1)))/(t+<FONT
size=2>1<FONT
face="Times New Roman">);
Concave=NOT(Convex);<FONT
face="Times New Roman">
Ascending=y>=Ref<FONT
face="Times New Roman">(y,-<FONT
size=2>1<FONT
face="Times New Roman">);
Descending=NOT(ascending);
// C. Trend
phases
Bullstart=Convex AND Ascending;// from A to
B
Bullend=Concave AND ascending;// from B to
C
Bearstart=Concave AND Descending;// from C
to D
Bearend=Convex AND Descending;// from D to
E
// D. Application
Color=IIf<FONT
face="Times New Roman">(Bullstart,colorDarkGreen,<FONT
size=2>IIf<FONT
size=2>(Bullend,colorTurquoise,IIf<FONT
face=Verdana size=2><FONT
face="Times New Roman">(Bearstart,colorDarkRed,colorPink)));<FONT
face=Verdana size=2>
Plot(y,""<FONT
size=2>,Color,8<FONT face=Verdana
size=2>+styleThick);<FONT
face=Verdana size=2>
Plot(C,""<FONT
size=2>,47,<FONT
size=2>64);GraphXSpace=5<FONT
face=Verdana size=2>;
<FONT face=Batang
color=#0000ff> <FONT
size=2>Send
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