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Ed, I tested it but it is not quite as good as my own trading system ;-)
just add:
Sell = aHPivs==1;
Buy = aLPivs==1;
Short =Sell;
Cover=Buy;
to the end of the code. The result kind-of confirms the look ahead problem:
147639412554536.28 % in six months.
best regards,
herman
-----Original Message-----
From: Ed [mailto:vvsignin@xxxxxxxxx]
Sent: Sunday, January 30, 2005 7:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: AFL code that is too good to be true
Herman,
Would you happen to know how to actually run a backtest from these
signals? I keep running into trouble when I insert buy/sell
statements into the Auto Analyzer. Thanks.
Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> I understood you didn't write the code Ed... I ran the indicator
and it
> gives nice identification of peaks.
>
> The code I pre-fixed does not 'correct' any look forward problems
but it
> does allow you to set bars, starting from the end of your chart, to
NULL.
> If, when you do this, preceeding bars change that this reveals that
those
> bars were using data from the bar you nulled, i.e. it was looking
forward in
> time. This of course limits the code's application to research
only, it
> would probably not be very useful in trading systems
>
> best regards,
> herman
>
>
> -----Original Message-----
> From: Ed [mailto:vvsignin@x...]
> Sent: Sunday, January 30, 2005 5:58 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: AFL code that is too good to be true
>
>
>
> Hermann,
>
> Thank you for responding. This is not my code, I just found it on
AFL
> and I'm looking for those who have utilized this code for a while
to
> see what their experiences have been. I'm interested though in
your
> commentary about problems with future code. What does the code you
> added in intend to do to correct future problems? Thanks.
>
> Ed
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
> <psytek@xxxx> wrote:
> > Hello Ed,
> >
> > Correct me if i am wrong...but I think the code looks ahead, if
you
> remove
> > bars from the end of your data then when the Red arrow drops
away
> the
> > preceeding Green arrow may also disappear. This mean the Green
> Arrow depends
> > (at least some of the time) on future data.
> >
> > Just place the code below ahead of the code and gradually remove
> bars from
> > the end of your chart to check for look ahead problems. If the
> display
> > changes ahead of the last bar your code looks ahead.
> >
> > Z = Null;
> > LB =LastValue(BarIndex());
> > RM = Param("RemoveBars",0,0,1000,1);
> > O = IIf(BarIndex()>(LB-RM),Z,O);
> > H = IIf(BarIndex()>(LB-RM),Z,H);
> > L = IIf(BarIndex()>(LB-RM),Z,L);
> > C = IIf(BarIndex()>(LB-RM),Z,C);
> >
> > best regards,
> > herman
> >
> > -----Original Message-----
> > From: Ed [mailto:vvsignin@x...]
> > Sent: Sunday, January 30, 2005 4:43 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] AFL code that is too good to be true
> >
> >
> >
> > Has anyone looked at this pivot finder? I found it in the AFL
> library
> > and just from eyeballing these signals they are rediculously
good,
> > almost too good. I just want to see others' experiences with
this
> > code:
> >
> > Details:
> > Formula name: Pivot Finder
> > Author/Uploader: Mark - (email hidden)
> > Date/Time added: 2004-07-19 01:06:36
> > Origin: This has got to be one of the best pivot finders I have
> found
> > yet. Nobody knows the author who wrote it.... Whoever you are
thanks
> > a bunch!!
> > Keywords:
> > Level: semi-advanced
> > Flags: indicator
> >
> > DISCLAIMER: Most formulas present in AFL on-line library are
> > submitted by the users and are provided here on an "as is"
and "as
> > available" basis. AmiBroker.com makes no representations or
> > warranties of any kind to the contents or the operation of
material
> > presented here. We do not maintain nor provide technical
support for
> > 3rd party formulas.
> >
> > Download formula file | Delete formula
> >
> > Description:
> > /* **********************************
> >
> > Code to automatically identify pivots
> >
> > ********************************** */
> >
> > // -- what will be our lookback range for the hh and ll?
> > farback=Param("How Far back to go",100,50,5000,10);
> > nBars = Param("Number of bars", 12, 5, 40);
> >
> > // -- Title.
> >
> > Title = Name() + " (" + StrLeft(FullName(), 15) + ") O: " + Open
> + ",
> >
> > H: " + High + ", L: " + Low + ", C: " + Close;
> >
> > // -- Plot basic candle chart
> >
> > PlotOHLC(Open, High, Low, Close,
> >
> > "BIdx = " + BarIndex() +
> >
> > "\n" + "O = " + O + "\n"+"H = "+ H + "\n"+"L = " + L
> >
> > + "\n"+"C ",
> >
> > colorBlack, styleCandle);
> >
> > GraphXSpace=7;
> >
> > // -- Create 0-initialized arrays the size of barcount
> >
> > aHPivs = H - H;
> >
> > aLPivs = L - L;
> >
> > // -- More for future use, not necessary for basic plotting
> >
> > aHPivHighs = H - H;
> >
> > aLPivLows = L - L;
> >
> > aHPivIdxs = H - H;
> >
> > aLPivIdxs = L - L;
> >
> > nHPivs = 0;
> >
> > nLPivs = 0;
> >
> > lastHPIdx = 0;
> >
> > lastLPIdx = 0;
> >
> > lastHPH = 0;
> >
> > lastLPL = 0;
> >
> > curPivBarIdx = 0;
> >
> > // -- looking back from the current bar, how many bars
> >
> > // back were the hhv and llv values of the previous
> >
> > // n bars, etc.?
> >
> > aHHVBars = HHVBars(H, nBars);
> >
> > aLLVBars = LLVBars(L, nBars);
> >
> > aHHV = HHV(H, nBars);
> >
> > aLLV = LLV(L, nBars);
> >
> > // -- Would like to set this up so pivots are calculated back
from
> >
> > // last visible bar to make it easy to "go back" and see the
pivots
> >
> > // this code would find. However, the first instance of
> >
> > // _Trace output will show a value of 0
> >
> > aVisBars = Status("barvisible");
> >
> > nLastVisBar = LastValue(Highest(IIf(aVisBars, BarIndex(), 0)));
> >
> > _TRACE("Last visible bar: " + nLastVisBar);
> >
> > // -- Initialize value of curTrend
> >
> > curBar = (BarCount-1);
> >
> > curTrend = "";
> >
> > if (aLLVBars[curBar] <
> >
> > aHHVBars[curBar]) {
> >
> > curTrend = "D";
> >
> > }
> >
> > else {
> >
> > curTrend = "U";
> >
> > }
> >
> > // -- Loop through bars. Search for
> >
> > // entirely array-based approach
> >
> > // in future version
> >
> > for (i=0; i<farback; i++) {
> >
> > curBar = (BarCount - 1) - i;
> >
> > // -- Have we identified a pivot? If trend is down...
> >
> > if (aLLVBars[curBar] < aHHVBars[curBar]) {
> >
> > // ... and had been up, this is a trend change
> >
> > if (curTrend == "U") {
> >
> > curTrend = "D";
> >
> > // -- Capture pivot information
> >
> > curPivBarIdx = curBar - aLLVBars[curBar];
> >
> > aLPivs[curPivBarIdx] = 1;
> >
> > aLPivLows[nLPivs] = L[curPivBarIdx];
> >
> > aLPivIdxs[nLPivs] = curPivBarIdx;
> >
> > nLPivs++;
> >
> > }
> >
> > // -- or current trend is up
> >
> > } else {
> >
> > if (curTrend == "D") {
> >
> > curTrend = "U";
> >
> > curPivBarIdx = curBar - aHHVBars[curBar];
> >
> > aHPivs[curPivBarIdx] = 1;
> >
> > aHPivHighs[nHPivs] = H[curPivBarIdx];
> >
> > aHPivIdxs[nHPivs] = curPivBarIdx;
> >
> > nHPivs++;
> >
> > }
> >
> > // -- If curTrend is up...else...
> >
> > }
> >
> > // -- loop through bars
> >
> > }
> >
> > // -- Basic attempt to add a pivot this logic may have missed
> >
> > // -- OK, now I want to look at last two pivots. If the most
> >
> > // recent low pivot is after the last high, I could
> >
> > // still have a high pivot that I didn't catch
> >
> > // -- Start at last bar
> >
> > curBar = (BarCount-1);
> >
> > candIdx = 0;
> >
> > candPrc = 0;
> >
> > lastLPIdx = aLPivIdxs[0];
> >
> > lastLPL = aLPivLows[0];
> >
> > lastHPIdx = aHPivIdxs[0];
> >
> > lastHPH = aHPivHighs[0];
> >
> > if (lastLPIdx > lastHPIdx) {
> >
> > // -- Bar and price info for candidate pivot
> >
> > candIdx = curBar - aHHVBars[curBar];
> >
> > candPrc = aHHV[curBar];
> >
> > if (
> >
> > lastHPH < candPrc AND
> >
> > candIdx > lastLPIdx AND
> >
> > candIdx < curBar) {
> >
> >
> > // -- OK, we'll add this as a pivot...
> >
> > aHPivs[candIdx] = 1;
> >
> > // ...and then rearrange elements in the
> >
> > // pivot information arrays
> >
> > for (j=0; j<nHPivs; j++) {
> >
> > aHPivHighs[nHPivs-j] = aHPivHighs[nHPivs-
> >
> > (j+1)];
> >
> > aHPivIdxs[nHPivs-j] = aHPivIdxs[nHPivs-(j+1)];
> >
> > }
> >
> > aHPivHighs[0] = candPrc ;
> >
> > aHPivIdxs[0] = candIdx;
> >
> > nHPivs++;
> >
> > }
> >
> > } else {
> >
> >
> > // -- Bar and price info for candidate pivot
> >
> > candIdx = curBar - aLLVBars[curBar];
> >
> > candPrc = aLLV[curBar];
> >
> > if (
> >
> > lastLPL > candPrc AND
> >
> > candIdx > lastHPIdx AND
> >
> > candIdx < curBar) {
> >
> >
> > // -- OK, we'll add this as a pivot...
> >
> > aLPivs[candIdx] = 1;
> >
> > // ...and then rearrange elements in the
> >
> > // pivot information arrays
> >
> > for (j=0; j<nLPivs; j++) {
> >
> > aLPivLows[nLPivs-j] = aLPivLows[nLPivs-(j+1)];
> >
> > aLPivIdxs[nLPivs-j] = aLPivIdxs[nLPivs-(j+1)];
> >
> > }
> >
> > aLPivLows[0] = candPrc;
> >
> > aLPivIdxs[0] = candIdx;
> >
> > nLPivs++;
> >
> > }
> >
> > }
> >
> > // -- Dump inventory of high pivots for debugging
> >
> > /*
> >
> > for (k=0; k<nHPivs; k++) {
> >
> > _TRACE("High pivot no. " + k
> >
> > + " at barindex: " + aHPivIdxs[k] + ", "
> >
> > + WriteVal(ValueWhen(BarIndex()==aHPivIdxs[k],
> >
> > DateTime(), 1), formatDateTime)
> >
> > + ", " + aHPivHighs[k]);
> >
> > }
> >
> > */
> >
> > // -- OK, let's plot the pivots using arrows
> >
> > PlotShapes(
> >
> > IIf(aHPivs==1, shapeDownArrow, shapeNone), colorRed, 0,
> >
> > High, Offset=-15);
> >
> > PlotShapes(
> >
> > IIf(aLPivs==1, shapeUpArrow , shapeNone), colorGreen, 0,
> >
> > Low, Offset=-15);
> >
> >
> > Formula:
> > /* **********************************
> >
> > Code to automatically identify pivots
> >
> > ********************************** */
> >
> > // -- what will be our lookback range for the hh and ll?
> > farback=Param("How Far back to go",100,50,5000,10);
> > nBars = Param("Number of bars", 12, 5, 40);
> >
> > // -- Title.
> >
> > Title = Name() + " (" + StrLeft(FullName(), 15) + ") O: " + Open
> + ",
> >
> > H: " + High + ", L: " + Low + ", C: " + Close;
> >
> > // -- Plot basic candle chart
> >
> > PlotOHLC(Open, High, Low, Close,
> >
> > "BIdx = " + BarIndex() +
> >
> > "\n" + "O = " + O + "\n"+"H = "+ H + "\n"+"L = " + L
> >
> > + "\n"+"C ",
> >
> > colorBlack, styleCandle);
> >
> > GraphXSpace=7;
> >
> > // -- Create 0-initialized arrays the size of barcount
> >
> > aHPivs = H - H;
> >
> > aLPivs = L - L;
> >
> > // -- More for future use, not necessary for basic plotting
> >
> > aHPivHighs = H - H;
> >
> > aLPivLows = L - L;
> >
> > aHPivIdxs = H - H;
> >
> > aLPivIdxs = L - L;
> >
> > nHPivs = 0;
> >
> > nLPivs = 0;
> >
> > lastHPIdx = 0;
> >
> > lastLPIdx = 0;
> >
> > lastHPH = 0;
> >
> > lastLPL = 0;
> >
> > curPivBarIdx = 0;
> >
> > // -- looking back from the current bar, how many bars
> >
> > // back were the hhv and llv values of the previous
> >
> > // n bars, etc.?
> >
> > aHHVBars = HHVBars(H, nBars);
> >
> > aLLVBars = LLVBars(L, nBars);
> >
> > aHHV = HHV(H, nBars);
> >
> > aLLV = LLV(L, nBars);
> >
> > // -- Would like to set this up so pivots are calculated back
from
> >
> > // last visible bar to make it easy to "go back" and see the
pivots
> >
> > // this code would find. However, the first instance of
> >
> > // _Trace output will show a value of 0
> >
> > aVisBars = Status("barvisible");
> >
> > nLastVisBar = LastValue(Highest(IIf(aVisBars, BarIndex(), 0)));
> >
> > _TRACE("Last visible bar: " + nLastVisBar);
> >
> > // -- Initialize value of curTrend
> >
> > curBar = (BarCount-1);
> >
> > curTrend = "";
> >
> > if (aLLVBars[curBar] <
> >
> > aHHVBars[curBar]) {
> >
> > curTrend = "D";
> >
> > }
> >
> > else {
> >
> > curTrend = "U";
> >
> > }
> >
> > // -- Loop through bars. Search for
> >
> > // entirely array-based approach
> >
> > // in future version
> >
> > for (i=0; i<farback; i++) {
> >
> > curBar = (BarCount - 1) - i;
> >
> > // -- Have we identified a pivot? If trend is down...
> >
> > if (aLLVBars[curBar] < aHHVBars[curBar]) {
> >
> > // ... and had been up, this is a trend change
> >
> > if (curTrend == "U") {
> >
> > curTrend = "D";
> >
> > // -- Capture pivot information
> >
> > curPivBarIdx = curBar - aLLVBars[curBar];
> >
> > aLPivs[curPivBarIdx] = 1;
> >
> > aLPivLows[nLPivs] = L[curPivBarIdx];
> >
> > aLPivIdxs[nLPivs] = curPivBarIdx;
> >
> > nLPivs++;
> >
> > }
> >
> > // -- or current trend is up
> >
> > } else {
> >
> > if (curTrend == "D") {
> >
> > curTrend = "U";
> >
> > curPivBarIdx = curBar - aHHVBars[curBar];
> >
> > aHPivs[curPivBarIdx] = 1;
> >
> > aHPivHighs[nHPivs] = H[curPivBarIdx];
> >
> > aHPivIdxs[nHPivs] = curPivBarIdx;
> >
> > nHPivs++;
> >
> > }
> >
> > // -- If curTrend is up...else...
> >
> > }
> >
> > // -- loop through bars
> >
> > }
> >
> > // -- Basic attempt to add a pivot this logic may have missed
> >
> > // -- OK, now I want to look at last two pivots. If the most
> >
> > // recent low pivot is after the last high, I could
> >
> > // still have a high pivot that I didn't catch
> >
> > // -- Start at last bar
> >
> > curBar = (BarCount-1);
> >
> > candIdx = 0;
> >
> > candPrc = 0;
> >
> > lastLPIdx = aLPivIdxs[0];
> >
> > lastLPL = aLPivLows[0];
> >
> > lastHPIdx = aHPivIdxs[0];
> >
> > lastHPH = aHPivHighs[0];
> >
> > if (lastLPIdx > lastHPIdx) {
> >
> > // -- Bar and price info for candidate pivot
> >
> > candIdx = curBar - aHHVBars[curBar];
> >
> > candPrc = aHHV[curBar];
> >
> > if (
> >
> > lastHPH < candPrc AND
> >
> > candIdx > lastLPIdx AND
> >
> > candIdx < curBar) {
> >
> >
> > // -- OK, we'll add this as a pivot...
> >
> > aHPivs[candIdx] = 1;
> >
> > // ...and then rearrange elements in the
> >
> > // pivot information arrays
> >
> > for (j=0; j<nHPivs; j++) {
> >
> > aHPivHighs[nHPivs-j] = aHPivHighs[nHPivs-
> >
> > (j+1)];
> >
> > aHPivIdxs[nHPivs-j] = aHPivIdxs[nHPivs-(j+1)];
> >
> > }
> >
> > aHPivHighs[0] = candPrc ;
> >
> > aHPivIdxs[0] = candIdx;
> >
> > nHPivs++;
> >
> > }
> >
> > } else {
> >
> >
> > // -- Bar and price info for candidate pivot
> >
> > candIdx = curBar - aLLVBars[curBar];
> >
> > candPrc = aLLV[curBar];
> >
> > if (
> >
> > lastLPL > candPrc AND
> >
> > candIdx > lastHPIdx AND
> >
> > candIdx < curBar) {
> >
> >
> > // -- OK, we'll add this as a pivot...
> >
> > aLPivs[candIdx] = 1;
> >
> > // ...and then rearrange elements in the
> >
> > // pivot information arrays
> >
> > for (j=0; j<nLPivs; j++) {
> >
> > aLPivLows[nLPivs-j] = aLPivLows[nLPivs-(j+1)];
> >
> > aLPivIdxs[nLPivs-j] = aLPivIdxs[nLPivs-(j+1)];
> >
> > }
> >
> > aLPivLows[0] = candPrc;
> >
> > aLPivIdxs[0] = candIdx;
> >
> > nLPivs++;
> >
> > }
> >
> > }
> >
> > // -- Dump inventory of high pivots for debugging
> >
> > /*
> >
> > for (k=0; k<nHPivs; k++) {
> >
> > _TRACE("High pivot no. " + k
> >
> > + " at barindex: " + aHPivIdxs[k] + ", "
> >
> > + WriteVal(ValueWhen(BarIndex()==aHPivIdxs[k],
> >
> > DateTime(), 1), formatDateTime)
> >
> > + ", " + aHPivHighs[k]);
> >
> > }
> >
> > */
> >
> > // -- OK, let's plot the pivots using arrows
> >
> > PlotShapes(
> >
> > IIf(aHPivs==1, shapeDownArrow, shapeNone), colorRed, 0,
> >
> > High, Offset=-15);
> >
> > PlotShapes(
> >
> > IIf(aLPivs==1, shapeUpArrow , shapeNone), colorGreen, 0,
> >
> > Low, Offset=-15);
> >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> > To visit your group on the web, go to:
> > http://groups.yahoo.com/group/amibroker/
> >
> > To unsubscribe from this group, send an email to:
> > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> --------------------------------------------------------------------
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> c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of
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