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[amibroker] Re: Code share - finding pivots - GORDON



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Ara,
This would have the benefit of hindsight. Using the pivot indicator, 
what you have at any given point is where the pivots were in the 
past, and you can use that information to gauge and project 
retracement levels (fibonacci analysis). What you don't have in the 
most recent bar -- without a crystal ball anway -- is knowledge of 
whether the low/high of that bar, as the case may be, is the next 
pivot in the series even if it appears to be.
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> 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@xxxx>
> 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@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
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> >
> >
> >


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