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See also the last reply at
http://www.elitetrader.com/vb/showthread.php?s=&threadid=37727
for some explanatory charts.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> should attenuate as the trend goes on.
> In some [interesting] cases the f plot is not the expected quasi-
> exponential, when the trend becomes stronger.
> See the f graph as a daily function, plotted over the main chart
with
>
> //The parabolic coefficient Fvar as a daily function
> //by D. Tsokakis, Sept2004
> Plot(C,"C",1,64);
> perc=3;//sensitivity calibration
> x=BarIndex();xx=LastValue(x);
> t1=LastValue(ValueWhen(PeakBars(H,perc)==0,x));
> H1=LastValue(ValueWhen(PeakBars(H,perc)==0,H));
> t11=LastValue(ValueWhen(TroughBars(L,perc)==0,x));
> H11=LastValue(ValueWhen(TroughBars(L,perc)==0,L));
> g=t1>t11;
> shape=IIf(g,shapeDownArrow*(x==t1),shapeUpArrow*(x==t11));
> Color=IIf(g,colorRed,colorBrightGreen);
> PlotShapes(shape,color);
> //THE LAST BEST-FIT PARABOLIC
> t=IIf(g,x-t1,x-t11);tmax=IIf(g,xx-t1,xx-t11);
> diff1=100000;
> Lma=LastValue(MA(C,50));
> f1=0;f2=IIf(Lma<100,1,0)+3*int(log10(Lma));
> fa=0;fb=0;fc=0;step=f2/10;Fvar=0;
> for(k=0;k<tmax-3;k++)
> {
> for(f=f1;f<f2;f=f+step)
> {
> parabolic=IIf(g,H1-f*t^2,H11+f*t^2);
> S1=LastValue(Ref(Sum(abs(parabolic-H),xx-t1-k),-k));
> S11=LastValue(Ref(Sum(abs(parabolic-L),xx-t11-k),-k));
> diff=IIf(g,S1,S11);
> if(diff<diff1)
> {
> diff1=diff;fa=f;
> }
> }
> diff1=100000;
> for(f=Max(fa-step,0);f<fa+step;f=f+0.1*step)
> {
> parabolic=IIf(g,H1-f*t^2,H11+f*t^2);
> S1=LastValue(Ref(Sum(abs(parabolic-H),xx-t1-k),-k));
> S11=LastValue(Ref(Sum(abs(parabolic-L),xx-t11-k),-k));
> diff=IIf(g,S1,S11);
> if(diff<diff1)
> {
> diff1=diff;fb=f;
> }
> }
> diff1=100000;
> for(f=Max(fb-0.1*step,0);f<fb+0.1*step;f=f+0.001*step)
> {
> parabolic=IIf(g,H1-f*t^2,H11+f*t^2);
> S1=LastValue(Ref(Sum(abs(parabolic-H),xx-t1-k),-k));
> S11=LastValue(Ref(Sum(abs(parabolic-L),xx-t11-k),-k));
> diff=IIf(g,S1,S11);
> if(diff<diff1)
> {
> diff1=diff;fc=f;
> }
> }
> Fvar[xx-k]=fc;diff1=100000;
> }
> Plot(Fvar,"Fvar",colorYellow,styleLeftAxisScale);
> Plot(Highest
> (Fvar),"Fvarmax",colorYellow,styleLeftAxisScale+styleDashed);
> Lf=LastValue(Fvar);
> p=IIf(g,H1-Lf*t^2,H11+Lf*t^2);
> s=Status("barvisible");st=Cum(s);
> sh=HHV(H,st);
> sl=LLV(L,st);
> Plot(IIf(x>=Max(t1,t11) AND p>sl AND p<sh,p,-1e10),"",color,1);
> Title=Name()+", Fvar="+WriteVal(Fvar,1.4);
> GraphXSpace=3;
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