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[amibroker] Re: Convexity, Concavity and their use



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The formula doesn't look into the future.
Add two graphic lines

PlotShapes(shapeUpArrow*(bullstart AND Ref(bearend,-
1)),colorBrightGreen); 
PlotShapes(shapeDownArrow*(bearstart AND Ref(bullend,-1)),colorRed);

to see the characteristic "peaks" and "troughs".
Do not let k exceed 0.5, the IIR2 filter becomes unstable.
A good range for k is 0.1 to 0.4.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "emarco" <emarco@xxxx> wrote:
> Thanks Dimitris for sharing  ;)
>  Can I use 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
>   ----- Original Message ----- 
>   From: Dimitris Tsokakis 
>   To: 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;// colorDarkGreen
>   Concave AND Ascending;// colorTurquoise
>   Concave AND Descending;// colorDarkRed
>   Convex AND Descending;// colorPink
>   The IB code illustrates the example 
> 
>   // The 4 phases of an ideal sinusoidal
>   freq = 1;
>   y=sin( Cum( freq/10 ) );
>   t=1;
>   Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
>   Concave=NOT(Convex);
>   Ascending=y>=Ref(y,-1);
>   Descending=NOT(ascending);
>   Bullstart=Convex AND Ascending;
>   Bullend=Concave AND ascending;
>   Bearstart=Concave AND Descending;
>   Bearend=Convex AND Descending;
>   Color=IIf(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
>   Plot(y,"",Color,8);
> 
>   [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
> 
>   // The 4 phases of a stock graph
>   // A. Smothing procedure
>   function IIR2( input, f0, f1, f2 )
>   {
>   result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ]; 
>   for( i = 2; i < BarCount; i++ )
>   {
>   result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 * result
[ i - 2 ]; 
>   }
>   return result;
>   }
>   C1=C;
>   k=0.3;
>   RD=IIR2( C1, 0.3, 1.2+K, -0.5-K);
>   // B. Convexity definition
>   y=RD;
>   t=1;
>   Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
>   Concave=NOT(Convex);
>   Ascending=y>=Ref(y,-1);
>   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(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
>   Plot(y,"",Color,8+styleThick);
>   Plot(C,"",47,64);GraphXSpace=5;
> 
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