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oeps, the code
/*
Rectangle System Development
after: "Professional Stock Trading", M. Conway / A. Behle, 2003, pages 106, 107, 108
Edward Pottasch, nov 2004
*/
RectangleLength = 4;
RangeLength = RectangleLength * 3;
RangeFactor = 1.1;
RangeRatioLimit = 0.3;
AtrPeriod = RangeLength;
// rectangle
hg = HHV(H,RectangleLength);
lw = LLV(L,RectangleLength);
HeightRectangle = hg - lw;
// preceding range
hgp = Ref(HHV(H,RangeLength),RectangleLength * -1);
lwp = Ref(LLV(L,RangeLength),RectangleLength * -1);
HeightRangeLength = hgp - lwp;
// aspect ratio
ar = HeightRectangle / HeightRangeLength;
// ATR
at = ATR(AtrPeriod);
// decide if it is a rectangle
yon = IIF(ar < RangeRatioLimit AND HeightRectangle < at * RangeFactor, 1, 0);
// breakout level
long_breakout_level = IIF(yon,yon * hg,null);
short_breakout_level = IIF(yon,yon * lw,null);
// decide about direction
Buy = IIF(H > Ref(long_breakout_level,-1),1,0);
BuyPrice = IIF(O > Ref(long_breakout_level,-1), O, Ref(long_breakout_level,-1));
Short = IIF(L < Ref(short_breakout_level,-1),1,0);
ShortPrice = IIF(O < Ref(short_breakout_level,-1), O, Ref(short_breakout_level,-1));
Plot(C,"",colorwhite,64);
PlotShapes(IIf(yon,shapeCircle,0),colorWhite, layer = 0, yposition = O, offset = 0 );
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition = BuyPrice, offset = 0 );
PlotShapes(IIf(Short,shapeHollowDownArrow,0),colorLightBlue, layer = 0, yposition = ShortPrice, offset = 0 );
----- Original Message -----
From: ed nl
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, November 14, 2004 4:44 PM
Subject: Re: [amibroker] Re: visualising rectangles
yeah that's right. The two white lines are the "reference range" and the red lines define the range which is of importance. The red lines become green lines once it finds a "rectangle pattern" according to the conditions describes in Conways book. I'm sorry I did not provide too much details. It is just a gadget and I assume the reader can figure out by them selves what it does. The rectangles could be used inside a system.
Code belowe I show white circles at points where it identifies a rectangle. You can put this code inside a chart below the other one (use the same settings, e.g. RectangleLength = 4, RangeFactor = 1.1). Then you see what I mean. The red range becomes green at the point where the white circle is drawn. Here it identifies a rectangle.
Once you identified a rectangle you can start looking for a breakout at the next bar (see long + short signals),
rgds, Ed
----- Original Message -----
From: suree namsiripongpan
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, November 14, 2004 3:43 PM
Subject: Re: [amibroker] Re: visualising rectangles
Dear Ed,
I have already tried your code in my country index,
i.e. ^SETI, I can see only the 2 white lines and 2 red
lines.
I tried to imagin to see the triangles, but i cannot
spot. Can you explain a bit more details....
thanks.
--- ed nl <ed2000nl@xxxxxxx> wrote:
> iascool,
>
> in the Conway book they explain how to use
> rectangles in a trading system. Rectangles precede a
> breakout either on the long or on the short side.
> Their system goes either long or short at the bar
> following a rectangle if the price goes above /
> below a certain value.
>
> This code is only to play around and see what
> happens in the chart. If you want to use the concept
> in a system you'll have to do some additional
> programming,
>
> rgds, Ed
>
> ----- Original Message -----
> From: iascool
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, November 14, 2004 12:53 PM
> Subject: [amibroker] Re: visualising rectangles
>
>
>
> If you dont mind can u also share its significance
> and application
>
> Regards
> --- In amibroker@xxxxxxxxxxxxxxx, "ed nl"
> <ed2000nl@xxxx> wrote:
> > /*
> >
> > Rectangle Development
> >
> > after: "Professional Stock Trading", M. Conway /
> A. Behle, 2003,
> pages 106, 107, 108
> >
> > Edward Pottasch, nov 2004
> >
> > */
> >
> > RectangleLength = 8;
> > RangeLength = RectangleLength * 3;
> > RangeFactor = 1.5;
> > RangeRatioLimit = 0.3;
> > AtrPeriod = RangeLength;
> >
> > // rectangle
> > hg = SelectedValue(HHV(H,RectangleLength));
> > lw = SelectedValue(LLV(L,RectangleLength));
> > HeightRectangle = hg - lw;
> >
> > // preceding range
> > hgp =
> SelectedValue(Ref(HHV(H,RangeLength),RectangleLength
> * -1));
> > lwp =
> SelectedValue(Ref(LLV(L,RangeLength),RectangleLength
> * -1));
> > HeightRangeLength = hgp - lwp;
> >
> > // aspect ratio
> > ar = HeightRectangle / HeightRangeLength;
> >
> > // ATR
> > at = SelectedValue(ATR(AtrPeriod));
> >
> > // decide if it is a rectangle
> > yon = IIF(ar < RangeRatioLimit AND
> HeightRectangle < at *
> RangeFactor, 1, 0);
> >
> > // visualize the rectangle
> > x = Cum(1);
> > lastx = LastValue(x);
> > selv = SelectedValue(x);
> >
> > // the rectangle
> > xx = IIF(x > selv - RectangleLength AND x <=
> selv, x - (selv -
> RectangleLength),null);
> > yy_l = lw + 0.0 * xx;
> > yy_h = hg + 0.0 * xx;
> > Plot(yy_l, "",
> IIF(yon,colorBrightGreen,colorRed), IIF(yon,4,1));
> > Plot(yy_h, "",
> IIF(yon,colorBrightGreen,colorRed), IIF(yon,4,1));
> >
> > // preceding range
> > xx = IIF(x > selv - RectangleLength -
> RangeLength AND x <= selv -
> RectangleLength, x - (selv - RectangleLength -
> RangeLength),null);
> > yy_l = lwp + 0.0 * xx;
> > yy_h = hgp + 0.0 * xx;
> > Plot(yy_l, "", colorWhite, 1);
> > Plot(yy_h, "", colorWhite, 1);
> >
> > Plot(C,"",colorwhite,64);
> >
> > "Aspect Ratio: " + writeval(ar);
> > "Height rectangle: " +
> writeval(HeightRectangle);
> > "ATR * Rangefactor: " + writeval(at *
> RangeFactor);
> > "Rectangle detected: " + writeif(yon," TRUE","
> FALSE");
> >
> > [Non-text portions of this message have been
> removed]
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
>
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>
>
>
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