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How can you backtest a compressed chart that does not relate to time?
Even the possible price values may never have existed because the PF
chart fills in the blank spaces during a column
You need to translate the PF values into real time (to match the date
X axis) to get any meaningful results. This means get rid of any
compression.
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2008/6/19 <apforex@xxxxxxxxx>:
> Hello Larry,
>
> pfsig (box) will return the trading signals calculated inside the function.
>
> box = yourvalue;
> pfsig(box);
> Filter = Status("lastbarinrange")
> AddColumn(Buy, "buysignal");
>
> If you are uncomfortable with the function you can use only the code inside,
> initializing BOX on top of the code as in the code below:
>
> /*----------------------------------------------------------------------
> Simple Break-Out Strategy :
> Generates trading signals, entry prices as well as PnF Plot on bar chart
> (you need to set TickSize per symbol).
> -----------------------------------------------------------------------*/
> SetBarsRequired(100000,100000);
> box = Param("box", 10,10,30,1)*TickSize;
> Buy = Sell = Short = Cover = 0;
> BuyPrice = ShortPrice = CoverPrice = SellPrice = C;
>
> j = 0;
> Lo[0] = Box * ceil(L[0]/Box) ;
> Hi[0] = Lo[0] + box;
> direction = 0;
> reverse = 3;
> pfline[0] = Lo[0];
> for( i = 1 ; i < BarCount ; i++ )
> {
> if(direction[j] == 0)
> {
> if(L[i] <= Lo[j] - Box)
> {
> diff = Lo[j] - L[i];
> n= floor(diff/box);
> Lo[j] = Lo[j] - n* box;
> }
>
> else
> {
> if(H[i] >= Lo[j] + Reverse*Box)
> {
> diff = H[i] - Lo[j];
> n = floor(diff/box);
> j++;
> direction[j] = 1;
> Hi[j] = Lo[j-1] + n* Box;
> Lo[j] = Lo[j-1] + Box;
>
>
> }
> }
> }
> else
> {
> if(H[i] >= Hi[j] + Box)
> {
> diff = H[i] - Hi[j];
> n= floor(diff/box);
> Hi[j] = Hi[j] + n*box;
>
> }
>
> else
> {
> if(L[i] <= Hi[j] - Reverse * Box )
> {
> diff = Hi[j] - L[i];
> n= floor(diff/box);
> j++;
> direction[j] = 0;
> Lo[j] = Hi[j-1] - n*box;
> Hi[j] = Hi[j-1] - Box;
>
> }
> }
> }
> if(direction[j]) pfline[i] = Hi[j]; else pfline[i] = Lo[j];
>
> /* Calculate Signals
> -------------------------------*/
> if( j>1) // num Columns > 1
> {
> if(direction[j])
> {
>
> prevTop = Hi[j-2];
> bol = prevTop + box; // breakout Level
> if (H[i] >= bol && H[i-1] < bol) // cross High previous top
> {
>
> Buy[i] = 1;
> BuyPrice[i] = bol;
> }
> }
> else
> {
>
> prevBot = Lo[j-2];
> bol = prevBot - box; // breakout Level
> if (L[i] <= bol && L[i-1] > bol) // cross Low previous bottom
>
> {
> Short[i] = 1;
> ShortPrice[i] = bol;
> }
> }
> }
>
> }
> // remove excess signals for the same condition
> nochange = pfline == Ref(pfline,-1);
> Buy = IIf( nochange, 0, Buy);
> Short = IIf(nochange, 0, Short);
>
>
>
> Plot(C,"", IIf(Buy, colorBrightGreen,IIf(Short,colorRed, 39)),styleBar);
> Plot(pfline,"", colorYellow, styleDots|styleNoLine);
> PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,L);
> PlotShapes(Short*shapeDownArrow,colorRed,0,H);
>
> if( Status("action") == actionExplore)
> {
> Filter = Status("lastbarinrange");
> AddColumn(Buy, "Buy");
> AddColumn(Short, "Short");
> }
>
> //-----------------------------------End of Code
> --------------------------------------------------------
>
>
> onelkm wrote:
>
> Ok, Ive had a chance to look at your code and it does nice plots
> showing the buy and sell arrows. However, and I don't know why, I can't
> get it to produce buy sell results in a backtest. Possibly I am
> not "calling" the function pfsig(box) correctly. Can you help me
> understand how to produce actual buy and sells in automatic analysis?
>
> using the following code ( or several other variations ) converts your
> impulse buy and sell signal to a state function, buy it will not
> produce actual buy & sells!??
>
> Onbuy = Buy;
> Onsell = Sell;
> Onbuy = Flip(Buy,Sell);
> Onsell = Flip(Sell,Buy);
>
> buy = onbuy;
> sell = onsell;
>
> Thanks again
> Larry
>
>
> ------------------------------------
>
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>
>
>
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>
>
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