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To be more precise, the Lookback period n may be calculated to give
[at least] 3 Peaks/Troughs.
You should use a Lookback period higher to ensure that the 2nd and
the 3rd Peak/Trough will exist.
y=Cum(1);Ly=LastValue(y);
Osc=StochD();
Limit=100000;mm=0;
Peak1=Ref(Osc,-1)==HHV(Osc,3) ;//your Peak condition
Trough1=Ref(Osc,-1)==LLV(Osc,3) ;//your trough condition
//a small loop to calculate the minimum Lookback period mm
for(m=1;m<1000;m++)
{
if(LastValue(Min(Sum(Peak1,m),Sum(Trough1,m)))==3)
{mm=m;m=1000;}
}
x=IIf(Peak1 ,Ref(Osc,-1),-Limit);
n=mm+1;//set any Lookback period > mm
x=IIf(y>Ly-n,x,-Limit);
xmax=LastValue(Highest(x));
x=IIf(x==xmax,-Limit,x);
xmax=LastValue(Highest(x));
medH=xmax;
x=IIf(x==xmax,-Limit,x);
xmax=LastValue(Highest(x));
medH=(medH+xmax)/2;
xx=IIf(Trough1 ,Ref(Osc,-1),Limit);
xx=IIf(y>Ly-n,xx,Limit);
xxmin=LastValue(Lowest(xx));
xx=IIf(xx==xxmin,Limit,xx);
xxmin=LastValue(Lowest(xx));
medL=xxmin;
xx=IIf(xx==xxmin,Limit,xx);
xxmin=LastValue(Lowest(xx));
medL=(medL+xxmin)/2;
Title="Lookback period >"+WriteVal(mm,1.0)+", medH="+WriteVal(medH)
+", medL="+WriteVal(medL);
Plot(Osc,"",1,8);
Plot(IIf(y>Ly-n, medH,Null),"",4,1);Plot(IIf(y>Ly-
n,medL,Null),"",5,1);
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
>
> For an oscillator Osc, supposed in the range [-100,000,100,000] the
> respective code will be
>
> y=Cum(1);Ly=LastValue(y);
> Osc=StochD(); //your Oscillator here
> Limit=100000;
> x=IIf(Ref(Osc,-1)==HHV(Osc,3),Ref(Osc,-1),-Limit);
> n=50;//the lookback period
> x=IIf(y>Ly-n,x,-Limit);
> xmax=LastValue(Highest(x));
> x=IIf(x==xmax,-Limit,x);
> xmax=LastValue(Highest(x));
> medH=xmax;
> x=IIf(x==xmax,-Limit,x);
> xmax=LastValue(Highest(x));
> medH=(medH+xmax)/2;
> xx=IIf(Ref(Osc,-1)==LLV(Osc,3),Ref(Osc,-1),Limit);
> xx=IIf(y>Ly-n,xx,Limit);
> xxmin=LastValue(Lowest(xx));
> xx=IIf(xx==xxmin,Limit,xx);
> xxmin=LastValue(Lowest(xx));
> medL=xxmin;
> xx=IIf(xx==xxmin,Limit,xx);
> xxmin=LastValue(Lowest(xx));
> medL=(medL+xxmin)/2;
> Title="medH="+WriteVal(medH)+", medL="+WriteVal(medL);
> Plot(Osc,"",1,8);
> Plot(IIf(y>Ly-n, medH,Null),"",4,1);Plot(IIf(y>Ly-
> n,medL,Null),"",5,1);
>
> Note that you will need enough bars n in order to have at least 3
> Peaks/Troughs.
> Dimitris
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> >
> > 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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