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DT: very very interesting....
I have long looked at candidates of a "Cooper" breakout, which is a new
high after a period of consolidation (and other conditions also).
I never have had a chance for backtesting some of the parameters; it was
too tedious for a walk forward test (for me).
This code can serve as the basis for backtesting a Cooper breakout.
As a measure of consolidation, I have shortened the lookback period and
sorted by the difference in H1-L1. Low values are candidates with small
steady consolidations before the breakout.
There are other conditions I will build in and share back, but.....
I am not able to "lookback" at a previous date....If I set the date for
the exploration at some time in the past (with the range say From:
Mar28; To:Mar28, I get nothing. I suspect is has to do with X1 value
and the Cum function.
How would you change this for backtesting or at the least for doing an
exploration at a date in the past.
Thanks,
Ken
-----Original Message-----
From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Thursday, October 02, 2003 8:56 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Dimitri - Channel ID:do you think...
Paste in both AA and IB the
Lookback=100;x1=LastValue(Cum(1));
H1=LastValue(Ref(HHV(H,Lookback),-1));
L1=LastValue(Ref(LLV(L,Lookback),-1));
H1=IIf(Cum(1)>x1-Lookback,H1,-1e10);
L1=IIf(Cum(1)>x1-Lookback,L1,-1e10);
UpBreakout=Cross(H,H1);
DownBreakout=Cross(L1,L);
Plot(H1,"H1",colorYellow);
Plot(L1,"L1",colorYellow);
Plot(C,"Close",IIf(upbreakout OR
downbreakout,colorRed,colorBlack),64);
Filter=Upbreakout OR DownBreakout;//EXPLORE THE DATABASE FOR THE N=1
LAST QUOTATIONS
AddColumn(Upbreakout,"UP",1.0);
AddColumn(H,"H");
AddColumn(H1,"H1");
AddColumn(downbreakout,"DOWN",1.0);
AddColumn(L,"L");
AddColumn(L1,"L1");
It will give you the last day breakouts.
For any arrangements, just let me know.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "gillesdeprez" <gillesdeprez@xxxx>
wrote:
> Yes,a 100 bars would be perfect, can we use it as max in "param"? I
> would use 60 as default, what do you think?
> Btw,2 points can define parallel lines (and an infinity as well),
how
> do you express the horizontality?
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > I need two points to define an horizontal channel, one high and
one
> > low.
> > What would you prefer for the definition ?
> > It could be, for example the highest and the lowest of the last
100
> > bars.
> > Describe your requirement with some more details and we shall
give
> it
> > a try.
> > Mitsos
> > --- In amibroker@xxxxxxxxxxxxxxx, "gillesdeprez"
> <gillesdeprez@xxxx>
> > wrote:
> > > Good afternoon, Dimitri!
> > > Back in Belgium,and believe me the weather here is awful!!
> > > Say, based on the formulas you've recently presented here,
would
> it
> > > be possible to set up an horizontal channel breakout
detection ,
> > with
> > > the looback and amplitude of the channel adjustable via the
param
> > > function? I didn't found anything like that in the library...
> > > Have a nice day,
> > > Friendly,
> > > Gilles
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