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Gordon,
I modified your code slighly to perform a backtest. The intent is to open a
trade morning after receiving signal at the open price and stay in market at
all times. Therefor Sell = Short and Buy = Cover.
1. I changed the 120 bar period of processing so entire data array is
processed.
2. I added Buy/Sell commands as follows:
The report shows we have discovered the holy grail.... seriously though
would you take a look and see if I used your parameters incorrectly as buy /
sell signals
//Backtest
BuyPrice = SellPrice=ShortPrice=CoverPrice=Open;
Buy = Ref(aLPivs,-1)==1;
Sell = Ref(aHPivs,-1)==1;
Short= Sell;
Cover = Buy;
----- Original Message -----
From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, December 08, 2003 1:26 PM
Subject: [amibroker] Code share - finding pivots
> 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);
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
>
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