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download http://www.amibroker.org/3rdparty/deDateTime.zip
study this afl
Regards
Guno
MaxGraph=5;
GraphXSpace = 1;
// Start of variables used to calculate custom formulas
// Defines market hours
MarketOpen = 93000;
MarketClose = 161500;
MarketHours = deFlagTimeRange(MarketOpen, MarketClose);
FirstBarOfDay = deFlagFirstBarOfDay(MarketOpen);
LastBarOfDay = deFlagLastBarOfDay(MarketClose);
enumMarketHours = BarsSince(FirstBarOfDay);
// First 5 minutes of Opening Range
OR5High = deTimeRangeHHV(H,MarketOpen,93500);
OR5Low = deTimeRangeLLV(L,MarketOpen,93500);
OR5Median = (OR5High+OR5Low)/2;
// First 15 minutes of Opening Range
OR15High = deTimeRangeHHV(H,MarketOpen,94500);
OR15Low = deTimeRangeLLV(L,MarketOpen,94500);
// First 60 minutes of Opening Range
OR60High = deTimeRangeHHV(H,MarketOpen,103000);
OR60Low = deTimeRangeLLV(L,MarketOpen,103000);
// Yesterdays Daily values. Note: By adjusting Daysback to a greater
value, all the calculations below will go back a number of
corresponding days (ie: Daysback = 5 means 5 days ago)
DaysBack = 1;
YesterdaysHigh = ValueWhen(Ref(deFlagLastBarOfDay(MarketClose),-
1),deTimeRangeHHV(H,MarketOpen,MarketClose),DaysBack);
YesterdaysLow = ValueWhen(Ref(deFlagLastBarOfDay(MarketClose),-
1),deTimeRangeLLV(L,MarketOpen,MarketClose),DaysBack);
YesterdaysOpen = ValueWhen(deFlagLastBarOfDay
(MarketOpen),O,DaysBack);
YesterdaysClose = ValueWhen(Ref(deFlagLastBarOfDay(MarketClose),-
1),C,DaysBack);
Yesterdays2HrHigh = ValueWhen(Ref(LastBarOfDay,-1),deTimeRangeHHV
(H,141500,161500),DaysBack);
Yesterdays2HrLow = ValueWhen(Ref(LastBarOfDay,-1),deTimeRangeLLV
(L,141500,161500),DaysBack);
// Start of custom calculations & formulas
DailyPivot = (YesterdaysHigh+YesterdaysLow+YesterdaysClose)/3;
DailyMedian = (YesterdaysHigh+YesterdaysLow)/2;
DailyPivotHigh = DailyPivot + abs(DailyPivot - DailyMedian);
DailyPivotLow = DailyPivot - abs(DailyPivot - DailyMedian);
R1 = ((2 * DailyPivot) - YesterdaysLow);
S1 = ((2 * DailyPivot) - YesterdaysHigh);
//R2 = ((DailyPivot - S1) + R1);
//S2 = (DailyPivot - (R1 - S1));
//R3 = (R2 + (YesterdaysHigh - YesterdaysLow));
//S3 = (S2 - (YesterdaysHigh - YesterdaysLow));
DayFilter = deValueWhenTime((Sum(C>OR5Median,enumMarketHours)+Sum
(O>OR5Median,enumMarketHours)+Sum(H>OR5Median,enumMarketHours)+Sum
(L>OR5Median,enumMarketHours))/4,103000);
ACDHighOffset = 2;
ACDLowOffset = 2;
ACDHigh = OR15High + ACDHighOffset;
ACDLow = OR15Low - ACDLowOffset;
// Same variables as above, but plotting during after hours is
suppressed
YestHighClean = IIf(MarketHours,YesterdaysHigh,Null);
YestLowClean = IIf(MarketHours,YesterdaysLow,Null);
YestCloseClean = IIf(MarketHours,YesterdaysOpen,Null);
YestCloseClean = IIf(MarketHours,YesterdaysClose,Null);
Y2HrHighClean = IIf(MarketHours,Yesterdays2HrHigh,Null);
Y2HrLowClean = IIf(MarketHours,Yesterdays2HrLow,Null);
DailyPivotClean = IIf(MarketHours,DailyPivot,Null);
DailyPivotHighClean = IIf(MarketHours,DailyPivotHigh,Null);
DailyPivotLowClean = IIf(MarketHours,DailyPivotlow,Null);
ACDHighClean = IIf(MarketHours,ACDHigh,Null);
ACDLowClean = IIf(MarketHours,ACDLow,Null);
OR5MedianClean = IIf(MarketHours,OR5Median,Null);
R1Clean = IIf(MarketHours,R1,Null);
S1Clean = IIf(MarketHours,S1,Null);
//R2Clean = IIf(MarketHours,R2,Null);
//S2Clean = IIf(MarketHours,S2,Null);
// Start of variables used to control color of bars/indicators
BullishBar = H > Ref(H,-1) AND L > Ref(L,-1);
BearishBar = H < Ref(H,-1) AND L < Ref(L,-1);
PriceColor = IIf(deFlagTimeRange(MarketOpen,93500),colorWhite,IIf
(deFlagTimeRange(93500,94500),colorLightBlue,IIf
(MarketHours==False,colorDarkBlue,IIf(BullishBar,colorGreen,IIf
(BearishBar,colorRed,colorLightGrey)))));
ORBarColor = IIf(deFlagTimeRange
(93000,94500),colorLightBlue,colorOrange);
// Start of Plot() functions to display calculated series
Plot
(C,"C",PriceColor,styleBar+styleThick);
// Close
Plot(EMA((O+H+L+C)/4,7),"EMA7",colorGreen,styleLine);
Plot(EMA((O+H+L+C)/4,15),"EMA7",colorBlue,styleLine);
Plot
(OR5MedianClean,"5M",colorBlue,styleLine);
// Clayburg 5 Minute Mid Line
Plot
(ACDHighClean,"ACDH",ORbarcolor,styleLine+styleThick);
// ACD High Threshold
Plot
(ACDLowClean,"ACDL",ORbarcolor,styleLine+styleThick);
// ACD Low Threshold
Plot
(YestHighClean,"YH",colorLightGrey,styleLine+styleThick);
// Yesterdays High
Plot
(YestLowClean,"YL",colorLightGrey,styleLine+styleThick);
// Yesterdays Low
Plot
(DailyPivotClean,"PP",colorLightBlue,styleLine+styleThick);
// Pivot
Plot
(DailyPivotHighClean,"PH",colorPink,styleLine+styleThick);
// Pivot High
Plot
(DailyPivotLowClean,"PL",colorPink,styleLine+styleThick);
// Pivot Low
Plot
(R1Clean,"R1",colorRed,styleLine+styleThick);
// R1 Pivot
Plot
(S1Clean,"S1",colorRed,styleLine+styleThick);
// S1 Pivot
Plot
(Y2HrHighClean,"Y2H",colorBrightGreen,styleLine+styleThick);
// Yesterdays 2Hr High
Plot
(Y2HrLowClean,"Y2L",colorBrightGreen,styleLine+styleThick);
// Yesterdays 2Hr Low
//Plot
(R2Clean,"R2",colorRed,styleLine+styleThick);
// R2 Pivot
//Plot
(S2Clean,"S2",colorRed,styleLine+styleThick);
// S2 Pivot
// Plot color bands
Plot(ACDLowClean,"ACDL",colorBlack,styleArea); //
ACD Low Threshold
Plot(ACDHighClean,"ACDH",IIf(TimeNum()>=94500 AND TimeNum() <=
MarketClose,colorDarkGreen,colorBlack),styleArea); //
ACD High Threshold
AUp = MarketHours AND Cross(C,ACDHigh);
ADn = MarketHours AND Cross(ACDLow,C);
PlotShapes(shapeSmallUpTriangle * AUp,colorYellow,0,C-2);
PlotShapes(shapeSmallDownTriangle * ADn,colorYellow,0,C+2);
//--Indicator-End--
"Direction Day Filter Value: " + WriteVal((DayFilter/60)*100) +"%";
--- In amibroker@xxxxxxxxxxxxxxx, "skiabox" <skiabox@xxxx> wrote:
> In his book "Four Steps to Trading Success" John Clayburg intoduced
> the concept of Directional Day Filter.After the first five minutes
of
> the market day has passed,he records the highest and the lowest
price
> of the day thus far.Then he adds the two recorded prices and
divide by
> two.Then he drows the resulting price as a horizontal line.
> After 1 hour the market reaches a critical point.
> At this point it is critical to determine the amount of market
> activity that has occurred both above and below the line marking
the
> average of the first five minutes of trading.
> If there is substantially greater activity above the average line
than
> below the line at this time of the session,the odds are
significantly
> in favor of the trend for the rest of the day to be higher.
> Conversely,if there is more market activity below the line than
> above,there is a greater tendency for the market to trade lower for
> the remainder of the trading session in question.
>
>
> My question is if there is a way to measure this 1st hour market
> activity above and below the average line.
>
> Clayburg says that : 'The measure of activity to which I refer on
> these charts is defined as strictly the number of trades that have
> occurred above or below our average line.This does not refer to the
> number of closes,the number of highs,the number of lows,the number
of
> complete bars,and so forth.It is strictly an observation of the
> general amount of trading activity that has occurred on either
side of
> this critical average line that we calculated earlier'
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