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Dimitri, that's really interesting stuff.
Bravo!!
stephane
DIMITRIS TSOKAKIS a écrit :
> And here is the complete formula
>
> //Best-fit parabolics
> Plot(C,"C",1,64);
> perc=5;//sensitivity calibration
> x=BarIndex();xx=LastValue(x);
> //Best-fit parabolic from the last Peak
> t1=LastValue(ValueWhen(PeakBars(H,perc)==0,x));
> H1=LastValue(ValueWhen(PeakBars(H,perc)==0,H));
> PlotShapes(shapeDownArrow*(x==t1),colorRed);
> t=x-t1;diff1=H1*(xx-t1);f1=0;f2=2;fa=0;fb=0;step=0.01;
> for(f=f1;f<f2;f=f+step)
> {
> parabolic=H1-f*t^2;
> diff=LastValue(Sum(abs(parabolic-H),xx-t1));
> if(diff<diff1)
> {
> diff1=diff;fa=f;
> }
> }
> for(f=Max(fa-step,0);f<fa+step;f=f+0.1*step)
> {
> parabolic=H1-f*t^2;
> diff=LastValue(Sum(abs(parabolic-H),xx-t1));
> if(diff<diff1)
> {
> diff1=diff;fb=f;
> }
> }
> Plot(IIf(x>t1,H1-fb*t^2,-1e10),"",colorRed,1);
> //Best-fit parabolic from the last Trough
> t11=LastValue(ValueWhen(TroughBars(L,perc)==0,x));
> H11=LastValue(ValueWhen(TroughBars(L,perc)==0,L));
> PlotShapes(shapeUpArrow*(x==t11),colorBrightGreen);
> t=x-t11;diff11=H11*(xx-t11);f11=0;f21=2;fa1=0;fb1=0;step=0.01;
> for(f=f11;f<f21;f=f+step)
> {
> parabolic1=H11+f*t^2;
> diff1=LastValue(Sum(abs(parabolic1-L),xx-t11));
> if(diff1<diff11)
> {
> diff11=diff1;fa1=f;
> }
> }
> for(f=Max(fa1-step,0);f<fa1+step;f=f+0.1*step)
> {
> parabolic1=H11+f*t^2;
> diff1=LastValue(Sum(abs(parabolic1-L),xx-t11));
> if(diff1<diff11)
> {
> diff11=diff1;fb1=f;
> }
> }
> Plot(IIf(x>t11,H11+fb1*t^2,-1e10),"",colorBrightGreen,1);
> Title=Name() +", f_desc="+WriteVal(fb,1.3)+", f_asc="+WriteVal
> (fb1,1.3);
>
> The most recent line is the most important.
> Dimitris
> PS:Another interesting idea would be to plot parabolics from Peak to
> Trough and from Trough to Peak.
> Any thoughts ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> wrote:
> > The following code will be 10 times faster
> >
> > //The best-fit parabolic after the last peak
> > Plot(C,"C",1,64);perc=5;
> > x=BarIndex();xx=LastValue(x);
> > t1=LastValue(ValueWhen(PeakBars(H,perc)==0,x));
> > H1=LastValue(ValueWhen(PeakBars(H,perc)==0,H));
> > PlotShapes(shapeDownArrow*(x==t1),colorRed);
> > t=x-t1;diff1=H1*(xx-t1);f1=0;f2=2;fa=0;fb=0;step=0.01;
> > for(f=f1;f<f2;f=f+step)
> > {
> > parabolic=H1-f*t^2;
> > diff=LastValue(Sum(abs(parabolic-H),xx-t1));
> > if(diff<diff1)
> > {
> > diff1=diff;fa=f;
> > }
> > }
> > for(f=Max(fa-step,0);f<fa+step;f=f+0.1*step)
> > {
> > parabolic=H1-f*t^2;
> > diff=LastValue(Sum(abs(parabolic-H),xx-t1));
> > if(diff<diff1)
> > {
> > diff1=diff;fb=f;
> > }
> > }
> > Plot(IIf(x>t1,H1-fb*t^2,-1e10),"",colorRed,1);
> > Plot(IIf(x>t1,H1-Max(fa-step,0)*t^2,-1e10),"",colorBlack,1);
> > Plot(IIf(x>t1,H1-(fa+step)*t^2,-1e10),"",colorBlack,1);
> > Title=Name()+", fa="+WriteVal(fa,1.3)+", fb="+WriteVal(fb,1.3);
> >
> > fa is the first approximation [2 decimals] and fb is the most
> > accurate [3 decimals]
> > The [red] best-fit parabola and the [black] nearest neighbours
> appear
> > on the price chart.
> > Dimitris
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > Chrisb,
> > > Since my previous references are mostly Fib oriented, here is the
> > > best-fit parabola after the most recent peak.
> > > The criterion is to make the Sum of abs(parabolic-H) minimum.
> > >
> > > //The best-fit parabolic after the last peak
> > > Plot(C,"C",1,64);perc=5;
> > > x=BarIndex();xx=LastValue(x);
> > > t1=LastValue(ValueWhen(PeakBars(H,perc)==0,x));
> > > H1=LastValue(ValueWhen(PeakBars(H,perc)==0,H));
> > > PlotShapes(shapeDownArrow*(x==t1),colorRed);
> > > t=x-t1;diff1=H1*(xx-t1);f1=0.001;f2=2;
> > > for(f=f1;f<f2;f=f+0.001)
> > > {
> > > parabolic=H1-f*t^2;
> > > diff=LastValue(Sum(abs(parabolic-H),xx-t1));
> > > if(diff<diff1)
> > > {
> > > diff1=diff;f1=f;
> > > }
> > > }
> > > Plot(IIf(x>t1,H1-f1*t^2,-1e10),"",colorRed,1);
> > > Title=Name()+", f1="+WriteVal(f1,1.3);
> > >
> > > In general we need a range [0.001-2] for the coefficient f, MSFT
> is
> > > 0.005, ^NDX is 0,164 and ^N225 is 1,115 [f is obviously depended
> on
> > > the price values...]
> > > This will make the general formula relatively slow .
> > > Note also that the best-fit coefficient will change every new
> day...
> > > I think you can make a start towards the parabolic fitting.
> > > A similar formula will give the best-fit parabola from the last
> > > trough.
> > >
> > > Dimitris
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > <TSOKAKIS@xxxx>
> > > wrote:
> > > > Chrisb,
> > > > I see, you put the peak/trough of the parabola at the local
> price
> > > > peak/trough...
> > > > I have already posted some attempts, see #65462, 65440, 65437,
> > > 65428
> > > > of this list, it may help...
> > > > Dimitris
> > > > --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@xxxx>
> > wrote:
> > > > >
> > > > > Dimitris:
> > > > >
> > > > >
> > > > >
> > > > > Thank you for your interest in this.
> > > > >
> > > > >
> > > > >
> > > > > I suppose the parabolic trend line is a bit like all trend
> > lines:
> > > > you draw it on the chart and adjust it manually for a "best
> fit."
> > > > >
> > > > >
> > > > >
> > > > > It hasn't taken me long in AB to just flick through my watch
> > list
> > > > and eyeball the charts for a parabolic price rise and then just
> > try
> > > > and fit the Arc Draw tool.
> > > > >
> > > > >
> > > > >
> > > > > I do notice that the Arc Draw tool can be moved and resized a
> > bit
> > > > to get the "best fit". I don't suppose that squashing the Arc
> > Draw
> > > > tool would alter the basic exponential shape of the curve, but
> > that
> > > > is way beyond my maths knowledge. What I mean is, assuming the
> > > curve
> > > > is constructed on mathematical formula, would the formula
> change
> > > > significantly if one compressed the width of the curve side to
> > > side?
> > > > If not, fine. If it does then it may make creation of a search
> > > > formula less reliable.
> > > > >
> > > > > Does this make sense?
> > > > >
> > > > >
> > > > >
> > > > > It was just an off-hand thought that it might be nice to do a
> > > Scan
> > > > or Exploration for stocks which have price action which could
> be
> > > > construed to be forming a parabolic curve. This would be based
> on
> > > the
> > > > lows of each bar following the exponential curve.
> > > > >
> > > > >
> > > > >
> > > > > Another issue if one were able to code this would be :
> > > how "exact"
> > > > would the fit have to be, or how much leeway or latitude would
> > one
> > > > accept in how perfect/imperfect the fit would have to be.
> > > > >
> > > > >
> > > > >
> > > > > I guess the problem is that to get the benefit of a short
> term
> > > > rally one needs to be able to identify the parabolic nature of
> > the
> > > > trend early enough to be able to take a position, before it
> > becomes
> > > > vertical. By definition then when the trend line becomes
> vertical
> > > > this signifies the end of the trend, and it's time to get out,
> > > > because after that prices correct downwards rather quickly.
> > > > >
> > > > >
> > > > >
> > > > > There do seem to be a number of these patterns in the ASX
> > market.
> > > > >
> > > > > I am not sure if this would be seen in other markets: human
> > > nature
> > > > being the same world wide, I would expect other markets to also
> > > > exhibit this pattern.
> > > > >
> > > > >
> > > > >
> > > > > Here are some examples from today's market in Australia that
> > fit
> > > > the parabolic curve (see attached annotations)...
> > > > >
> > > > >
> > > > >
> > > > > http://www.members.iinet.net.au/~kris.mar/AWP.png
> <http://www.members.iinet.net.au/%7Ekris.mar/AWP.png>
> > > > >
> > > > > http://www.members.iinet.net.au/~kris.mar/BBG.png
> <http://www.members.iinet.net.au/%7Ekris.mar/BBG.png>
> > > > >
> > > > > http://www.members.iinet.net.au/~kris.mar/CDO.png
> <http://www.members.iinet.net.au/%7Ekris.mar/CDO.png>
> > > > >
> > > > > http://www.members.iinet.net.au/~kris.mar/CEP.png
> <http://www.members.iinet.net.au/%7Ekris.mar/CEP.png>
> > > > >
> > > > > http://www.members.iinet.net.au/~kris.mar/IFL.png
> <http://www.members.iinet.net.au/%7Ekris.mar/IFL.png>
> > > > >
> > > > >
> > > > >
> > > > > I hope you can access these: if not I can email them to you.
> > > > >
> > > > >
> > > > >
> > > > > Regards
> > > > >
> > > > >
> > > > >
> > > > > Chrisb
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> wrote:chrisb,
> > > > > Is it possible to describe, in words, what do you want to do ?
> > > > > It is not hard to write parabolic lines in AFL but we need
> some
> > > > > additional info.
> > > > > Example: There is only one straight line through two points,
> > but
> > > > > there are many circles/parabolas/ellipses. For these [2nd
> > degree
> > > > > lines] we need one more info [a third point, a radius, a
> ratio,
> > > > some
> > > > > curvature etc.]
> > > > > Dimitris
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@xxxx>
> > > wrote:
> > > > > >
> > > > > > for anyone interested:
> > > > > >
> > > > > > Marcin tells me to just use the ARC drawing tool and this
> > does
> > > > > indeed work well with a bit of fiddling.
> > > > > >
> > > > > > Have a look see.
> > > > > >
> > > > > > Now, wouldn't it be nice to do a search based on this?
> > > > > >
> > > > > > chrisb
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
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