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[amibroker] Code share - finding pivots



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I've been the beneficiary of many examples of code sharing, and so 
I'm gald to have something to share back (for better or worse...). 
First, important up-front credit: Clyde Lee was kind enough to 
respond to a post in his swing forum about finding pivots. The code 
was in EL, but he also provided an english language description of 
his algorithm. Clyde's algorithm was very elegant, I thought, and he 
was certainly generous to share it. I translated it into AFL, and the 
result, I believe, is a very useful start to writing effective pivot 
identification code. This can then be used for automated fib 
projections, etc., or any way you please.

The code uses for-loops. Yes, I know AFL is array based, and the next 
step will be to come up with a version that is more true to AFL's 
nature. Also, adding min. retracement percentanges, min. no. of days 
between swings are all options to enhance the quality of the pivots 
discovered.

One last note -- if you haven't used the param() function in your 
indicator code and then Ctrl-R in your chart viewing -- you're 
missing a great AB feature! I was until just recently.

/* **********************************
Code to automatically identify pivots
********************************** */

// -- what will be our lookback range for the hh and ll?
nBars = Param("Number of bars", 12, 5, 40);

// -- Title.
Title = Name() + " (" + StrLeft(FullName(), 15) + ") O: " + Open + ", 
H: " + High + ", L: " + Low + ", C: " + Close;

// -- Plot basic candle chart
PlotOHLC(Open, High, Low, Close, 
	"BIdx = " + BarIndex() + 
	"\n" + "O = " + O + "\n"+"H = "+ H + "\n"+"L  = " + L 
	+ "\n"+"C ",
	colorBlack, styleCandle); 

GraphXSpace=7;
 
// -- Create 0-initialized arrays the size of barcount
aHPivs = H - H;
aLPivs = L - L;

// -- More for future use, not necessary for basic plotting
aHPivHighs = H - H;
aLPivLows = L - L;
aHPivIdxs = H - H;
aLPivIdxs = L - L;
nHPivs = 0;
nLPivs = 0;
lastHPIdx = 0;
lastLPIdx = 0;
lastHPH = 0;
lastLPL = 0;
curPivBarIdx = 0;

// -- looking back from the current bar, how many bars 
//    back were the hhv and llv values of the previous 
//    n bars, etc.?
aHHVBars = HHVBars(H, nBars);
aLLVBars = LLVBars(L, nBars);
aHHV = HHV(H, nBars);
aLLV = LLV(L, nBars);

// -- Would like to set this up so pivots are calculated back from
//    last visible bar to make it easy to "go back" and see the pivots
//    this code would find. However, the first instance of 
//    _Trace output will show a value of 0
aVisBars = Status("barvisible");
nLastVisBar = LastValue(Highest(IIf(aVisBars, BarIndex(), 0)));
_TRACE("Last visible bar: " + nLastVisBar);

// -- Initialize value of curTrend
curBar = (BarCount-1);
curTrend = "";
if (aLLVBars[curBar] < 
	aHHVBars[curBar]) {
	curTrend = "D";
	}
else {
	curTrend = "U";
}

// -- Loop through bars. Search for 
//    entirely array-based approach
//    in future version
for (i=0; i<120; i++) {

	curBar = (BarCount - 1) - i;

	// -- Have we identified a pivot? If trend is down...
	if (aLLVBars[curBar] < aHHVBars[curBar]) {

		// ... and had been up, this is a trend change
		if (curTrend == "U") {
			curTrend = "D";
			// -- Capture pivot information
			curPivBarIdx = curBar - aLLVBars[curBar];
			aLPivs[curPivBarIdx] = 1;
			aLPivLows[nLPivs] = L[curPivBarIdx];
			aLPivIdxs[nLPivs] = curPivBarIdx;
			nLPivs++;
		}
	// -- or current trend is up
	} else {
		if (curTrend == "D") {
			curTrend = "U";
			curPivBarIdx = curBar - aHHVBars[curBar];
			aHPivs[curPivBarIdx] = 1;
			aHPivHighs[nHPivs] = H[curPivBarIdx];
			aHPivIdxs[nHPivs] = curPivBarIdx;
			nHPivs++;
		}
	// -- 	If curTrend is up...else...
	}		

// -- loop through bars
} 

// -- Basic attempt to add a pivot this logic may have missed

// -- OK, now I want to look at last two pivots. If the most 
//    recent low pivot is after the last high, I could
//    still have a high pivot that I didn't catch

// -- Start at last bar
curBar = (BarCount-1);
candIdx = 0;
candPrc = 0;

lastLPIdx = aLPivIdxs[0];
lastLPL = aLPivLows[0];

lastHPIdx = aHPivIdxs[0];
lastHPH = aHPivHighs[0];

if (lastLPIdx > lastHPIdx) {

	// -- Bar and price info for candidate pivot
	candIdx = curBar - aHHVBars[curBar];
	candPrc = aHHV[curBar]; 

	if (
		lastHPH < candPrc AND
		candIdx > lastLPIdx AND
		candIdx < curBar) {
		
		// -- OK, we'll add this as a pivot...
		aHPivs[candIdx] = 1;

		//    ...and then rearrange elements in the 
		//    pivot information arrays
		for (j=0; j<nHPivs; j++) {
			aHPivHighs[nHPivs-j] = aHPivHighs[nHPivs-
(j+1)];
			aHPivIdxs[nHPivs-j] = aHPivIdxs[nHPivs-(j+1)];
		}
		aHPivHighs[0] = candPrc ;
		aHPivIdxs[0] = candIdx;
		nHPivs++;

	} 

} else {
	
	// -- Bar and price info for candidate pivot
	candIdx = curBar - aLLVBars[curBar];
	candPrc = aLLV[curBar]; 

	if (
		lastLPL > candPrc AND
		candIdx > lastHPIdx AND
		candIdx < curBar) {
		
		// -- OK, we'll add this as a pivot...
		aLPivs[candIdx] = 1;

		//    ...and then rearrange elements in the 
		//    pivot information arrays
		for (j=0; j<nLPivs; j++) {
			aLPivLows[nLPivs-j] = aLPivLows[nLPivs-(j+1)];
			aLPivIdxs[nLPivs-j] = aLPivIdxs[nLPivs-(j+1)];
		}
		aLPivLows[0] = candPrc;
		aLPivIdxs[0] = candIdx;
		nLPivs++;

	}
}

// -- Dump inventory of high pivots for debugging
/*
for (k=0; k<nHPivs; k++) {
	_TRACE("High pivot no. " + k
	+ " at barindex: " + aHPivIdxs[k] + ", " 
	+ WriteVal(ValueWhen(BarIndex()==aHPivIdxs[k], 
		DateTime(), 1), formatDateTime)
	+ ", " + aHPivHighs[k]);
}
*/

// -- OK, let's plot the pivots using arrows
PlotShapes(
IIf(aHPivs==1, shapeDownArrow, shapeNone), colorRed, 0,
High, Offset=-15);

PlotShapes(
IIf(aLPivs==1, shapeUpArrow , shapeNone), colorGreen, 0, 
Low, Offset=-15);




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