|
PureBytes Links
Trading Reference Links
|
Hi Bill,
that's some great work you put into the code! I'm so glad to have
found this forum with so many helpful and generous people.
I must admit, though, I don't understand much of the code, especially
the looping part. Here are some things I didn't quite understand:
Could you explain what the buyqualifier/sellqualifier is?
Can this be automatically backtested or must it be done by hand?
A strange situation can arise if both the demand and supply lines are
violated during the same day. A little hard to do something about but
it also complicates backtesting.
The last bar can't really be a pivot of any kind since you don't know
what the next bar will look like. Upon closer examination, you cannot
connect any new pivot until the entire formation is completed, i.e.
the day after the pivot is formed. So when you select a pivot point
on the chart, there shouldn't be a line connecting that pivot with
the previous one until the day after.
I hope you don't think I'm ungrateful, on the contrary. But when it
comes to putting money on the line you really can't be too careful.
Best regards,
Martin
--- In amibroker@xxxxxxxxxxxxxxx, "Bill Barnard" <wbarnard@xxxx>
wrote:
> Martin,
>
> Thanks for starting this topic. I have been following the work you
> and other have been doing on the TD lines with great interest. It
> prompted me to reread DeMark (about six times on the first
chapter).
> I have concluded that the requirement that a line be questioned or
> invalidated if the close following the pivot violates the line
> pertains more to his technique of projecting price peaks or valleys
> after a break of the line than to generating timely buy or sell
> signals. It appears to me that incorporating that condition delays
> the signals, so I have not included it in my version of the code. I
> have added several things to the code you and others have posted;
> particularly, a lot of loops designed to generate all the signals
> needed for back testing. Following is my code.
>
> Bill
>
> //---------------------------------------------------------------
>
> /* DeMark's Demand and Supply Line Trading System -
> Original code by marmal417, Johsun, Dimitris Tsokakis
> with variations by Bill Barnard, 2/18/04.
> The numerous loops make for a slow calculation
> when the stock of interest has more than two
> or three years of data. Suggest making short-lived
> duplicates of stocks to be studied.
> Colors set for use with black background */
>
> // Following line allows changing the number of days which
> // must preceed a pivot. "equal" allows a pivot which is
> // equal in value to the preceeding day.
> rules = Param("1-1day, 2-Equal, 3-3day", 2,1,3,1);
> // Following line allows the use of DeMark's three
> // qualifiers for a legitimate breakout.
> Q_On = Param("Use Qualifier", 0,0,1,1);
> extension = 20;
>
> Plot(C,"",colorWhite,styleCandle);
>
> prevLow = IIf(Ref(L,-1)<Ref(C,-2), Ref(L,-1), Ref(C,-2));
> prevHigh = IIf(Ref(H,-1)>Ref(C,-2), Ref(H,-1), Ref(C,-2));
>
> pivothigh = IIf(rules==1, prevHigh<H AND H>Ref(H,1),
> IIf(rules==2, prevHigh<=H AND H>Ref(H,1),
> IIf(rules==3, Ref(C,-3)<H AND Ref(H,-2)<H AND
> Ref(H,-1)<H AND H>=Ref(H,1), 0)));
> pivotlow = IIf(rules==1, prevLow>L AND L<Ref(L,1),
> IIf(rules==2, prevLow>=L AND L<Ref(L,1),
> IIf(rules==3, Ref(C,-3)>L AND Ref(L,-2)>L AND
> Ref(L,-1)>L AND L<=Ref(L,1), 0)));
>
> // Following section loops through the data to develop
> // all the buy/sell points for back testing purposes
> pLo = IIf(pivotLow==1, L, 1000000);
> pHi = IIf(pivotHigh==1, H, 0);
> By = 0; Sel = 0;
> CountHi = 0; CountLo = 0;
>
> for (i=3; i<BarCount; i++)
> {
> if (plo[i]<1000000)
> {
> CountLo = CountLo + 1;
> j = i;
> while (plo[j-0]>=plo[i] AND j>2)
> {
> pplo[j-1] = plo[j-1];
> j = j - 1;
> }
> dLine = IIf(CountLo<2 OR pplo[j]>plo[i],Null,
> LineArray(j,pplo[j],i,plo[i],1));
> exit = 0;
> for (k = i+2; exit==0 AND k<BarCount; k++)
> {
> SellQualifier = IIf(Q_On, C[k-1]>C[k-2] OR (2*C[k-1] -
> IIf(H[k-1]<C[k-2], C[k-2], H[k-1])) >
> dLine[k-1] OR O[k] < dLine[k], 1);
> if (L[k]<dLine[k] AND SellQualifier)
> {
> Sel[k] = 1;
> exit = 1;
> for (m=k+1; m<BarCount; m++)
> {
> Sel[m] = 0;
> }
> }
> }
> }
>
> if (phi[i]>0)
> {
> CountHi = CountHi + 1;
> j = i;
> while (phi[j-0]<=phi[i] AND j>2)
> {
> pphi[j-1] = phi[j-1];
> j = j - 1;
> }
> sLine = IIf(CountHi<2 OR pphi[j]<phi[i],Null,
> LineArray(j,pphi[j],i,phi[i],1));
> exit = 0;
> for (k = i+2; exit==0 AND k<BarCount; k++)
> {
> BuyQualifier = IIf(Q_On, C[k-1]<C[k-2] OR (2*C[k-1] -
> IIf(L[k-1]>C[k-2], C[k-2], L[k-1])) <
> sLine[k-1] OR O[k] > sLine[k], 1);
> if (H[k]>sLine[k] AND BuyQualifier)
> {
> By[k] = 1;
> exit = 1;
> for (m=k+1; m<BarCount; m++)
> {
> By[m] = 0;
> }
> }
> }
> }
> }
>
> Buy = ExRem(By, Sel);
> Sell = ExRem(Sel, By);
>
> // Following section constructs the plots of the demand and
> // supply lines at the area of selection with the pole
> x1=SelectedValue(ValueWhen(pivotlow,BarIndex(),1));
> y1=SelectedValue(ValueWhen(pivotlow,L,1));
> x0=SelectedValue(ValueWhen(pivotlow AND L<y1,BarIndex(),1));
> y0=SelectedValue(ValueWhen(pivotlow AND L<y1,L,1));
> x3=SelectedValue(ValueWhen(pivothigh,BarIndex(),1));
> y3=SelectedValue(ValueWhen(pivothigh,H,1));
> x2=SelectedValue(ValueWhen(pivothigh AND H>y3,BarIndex(),1));
> y2=SelectedValue(ValueWhen(pivothigh AND H>y3,H,1));
>
> demandLine =IIf(x0==0,Null,LineArray(x0,y0,x1,y1,1));
> supplyLine =IIf(x2==0,Null,LineArray(x2,y2,x3,y3,1));
>
> Plot(IIf(Cum(1)<x3+extension, supplyLine, Null),"",colorWhite,
> styleLine|styleThick|styleNoRescale|styleNoLabel);
> Plot(IIf(Cum(1)<x1+extension, demandLine, Null),"",colorWhite,
> styleLine|styleThick|styleNoRescale|styleNoLabel);
>
> By = Cross(Cum(H>supplyline AND BarIndex()-1>x3 AND
> BuyQualifier),0);
> Sel = Cross(Cum(L<demandLine AND BarIndex()-1>x1 AND
> SellQualifier),0);
>
> PlotShapes((BarIndex()==x0 OR BarIndex()==x1)*
> shapeSmallCircle,colorWhite,0,L, -8);
> PlotShapes(Sell*shapeDownArrow,colorRed,0,H);
> PlotShapes(Sel*shapeDownArrow,colorLightOrange,0,H,-25);
>
> PlotShapes((BarIndex()==x2 OR BarIndex()==x3)*
> shapeSmallCircle,colorWhite,0,H,8);
> PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,L);
> PlotShapes(By*shapeUpArrow,colorAqua,0,L, -25);
>
> Title= Name()+" "+Date()+EncodeColor(colorWhite) +
> " Open "+WriteVal(Open, 1.3)+" Hi "+WriteVal(High,1.3)+
> " Lo "+WriteVal(Low,1.3)+" Close "+WriteVal(Close,1.3)+
> EncodeColor(colorRed)+" Sell =,"+WriteVal((y1-y0)/(x1-x0)+
> SelectedValue(DEMAndline),1.3)+EncodeColor(colorBrightGreen)+
> " Buy =,"+WriteVal((y3-y2)/(x3-x2)+
> SelectedValue(supplyline),1.3 )+
> "\n\\c03 Param Select Qualifiers and Days";
>
> GraphXSpace=14;
>
> //-----------------------------------------------------------------
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|