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DC,
If I understand your description, if x is a Peak value[ according to
your Peak definition] then your median x is the average of the 2nd
and 3rd highest x for the last n=20 days.
I will try the descriptive way:
1. Define x
2. Find the highest x and make it zero
3. Find the next highest x. Save it and then make it zero.
4. Find the next highest x. Save it and
5. Calculate the median as an average of the saved values.
This can be done with
y=Cum(1);Ly=LastValue(y);
x=IIf(Ref(H,-1)==HHV(H,3),Ref(H,-1),0);//your Peak definition
n=20;//the lookback period
x=IIf(y>Ly-n,x,0);
xmax=LastValue(Highest(x));//find the highest x
x=IIf(x==xmax,0,x);//and make it 0
xmax=LastValue(Highest(x));//find the next highest x
medH=xmax;//save it
x=IIf(x==xmax,0,x);//and make it 0
xmax=LastValue(Highest(x));//find the next highest x
medH=(medH+xmax)/2;//calculate the median
//Repeat the same procedure for troughs
xx=IIf(Ref(L,-1)==LLV(L,3),Ref(L,-1),100000);
xx=IIf(y>Ly-n,xx,100000);
xxmin=LastValue(Lowest(xx));
xx=IIf(xx==xxmin,100000,xx);
xxmin=LastValue(Lowest(xx));
medL=xxmin;
xx=IIf(xx==xxmin,100000,xx);
xxmin=LastValue(Lowest(xx));
medL=(medL+xxmin)/2;
Title="medH="+WriteVal(medH)+", medL="+WriteVal(medL);
The medH, medL are already defined and may be used in Plot statements
or further calculations.
I tried to avoid loops for better [?] understanding.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, <dennisconn@xxxx> wrote:
> Hi to all,
>
> I want to thank everyone who's responded for their help - I really
do appreciate the fact that you've been willing to take the time to
help with this.
>
> But there's been some confusion as to the nature of my median
calculation request, so I'm posting this in an attempt to better
define the nature of the problem.
>
> For those who are familiar with Joe Dinapoli's Oscillator
Predictor, that is what I'm attempting to recreate in AFL. For those
who are not familiar with it, his Predictor calculates a price at
which one would take profits in a highly overbought or oversold
condition, based on the average overbought or oversold level of an
oscillator. In other words, if a person knows ahead of time the price
at which a market would be highly overbought or oversold, a pre-
placed order to exit at that price will catch spike moves and get one
out BEFORE the market takes back the profits one has. Using only
daily charts, Joe looks for the average value of the three highest
peaks to determine a reasonable approximation of the average
realistic overbought level. He does the same for the three lowest
troughs to determine the average realistic oversold level.
>
> *** I prefer to use the median value of the last four peaks (or
troughs) in order to eliminate the most extreme values from the
calculation. ***
>
> His lookback range is roughly six months (120 bars) or so. The
oscillator he uses is non-normalized, so the troughs will ALL be
negative values.
>
> For my purposes, I define a peak in the oscillator as the highest
value reached during an excursion above zero. A trough is the lowest
value reached during an excursion below zero. With that in mind, I
have already created two arrays; one array contains all the peaks,
the other contains the troughs. If a given day in either array is NOT
a peak or trough based on the above definition, then that day's array
element = ZERO. So here's an example of what my trough array would
look like over the last 20 bars:
>
> 0, 0, -11, 0, 0, 0, -13, 0, -7, 0, -9, 0, 0, 0, -4, 0, -12, 0, 0, -2
>
> Here is the brainteaser (to me):
>
> Let's assume my lookback range is just these last 20 bars;
obviously, the four lowest troughs are -11, -13, -9, and -12. I need
to find a way to pick those four values out of the array in order to
find the median value (which will equal -11.5).
>
> That's IT - that's ALL I'm trying to do - I'm pretty sure I can
figure out everything else I need to do.
>
> Now I know it's possible to allow the user to input the number
manually, by way of "Param", and that's all well and good. But I want
to program it for user convenience (as well as cutting down on user
error), and also be able to plot the resulting OB/OS price
predictions as bands on the price chart (which will be all the more
effective when Tomasz gets around to allowing plotting of indicators
beyond the last bar!).
>
> Anyway, again, ALL I need is a bit of direction on the median
calculation in order to have the formula handle everything in the
Oscillator Predictor's output.
>
> If I ever get this figured out, or someone else does, I'll be sure
to post it to the AFL library - this could be a very useful tool for
capturing profits, especially if the output correlates with some
other projection method, like Cardwell's positive and negative
reversals in the RSI, or Fibonacci projections, or whatever other
tool.
>
> If you've managed to read this far, then...
>
> Thanks again & best regards,
>
> DC
>
> [Non-text portions of this message have been removed]
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