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RE: [amibroker] Re: Writing a fib cluster indicator

  • Date: Tue, 22 Dec 2009 15:55:42 -0600
  • From: "Joris Schuller" <jschuller@xxxxxxxxxxx>
  • Subject: RE: [amibroker] Re: Writing a fib cluster indicator

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Kevin,

I understand that you had an error when displaying the afl. The afl I sent you works. Most of the time before I send out code, including this time I first send the email from Outlook to one of my online accounts (e.g. gmail, hotmail). From there I copy the code back into the AB editor and verify that it displays properly. This morning I repeated that process again and had no problems. Below a copy of the original afl. See whether it 2nd time around works.

 

I looked a little bit more at your afl. I believe there are some errors. In a couple of days I will send you some changes/additions which will facilitate localizing the problem.

//===============Verify that afl below works===============

//=========================Begin Original Fibonacci Levels-Original =====================================
Title = EncodeColor(4)+ _DEFAULT_NAME()+";  "+EncodeColor(1) + StrFormat("{{NAME}} - {{INTERVAL}}; {{DATE}}; O=%g, H=%g, L=%g, C=%g (%.1f%%)
{{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) );
SetBarsRequired(sbrAll,sbrAll);
//============== Begin Addition===================
Plot(C,"C",1,64);
ZigZagHL=ParamToggle("ZigZagHL","Off|On",1);
NoOfLastPeaksTroughs=Param("NoOfLastPeaksTroughs",9,1,10,1);
NoOfFibonacciLevels=Param("NoOfFibonacciLevels",9,1,10,1);
Adjfactor=Param("Adjfactor",0.003,0,0.05,0.001); //Forex values;
MinPlotValue=(1-Adjfactor)*LowestVisibleValue(L);
MaxPlotValue=(1+Adjfactor)*HighestVisibleValue(H);
Plot(MinPlotValue,"MinPlotValue",colorGreen,5);
Plot(MaxPlotValue,"MaxPlotValue",4,5);
//===============End Addition===========
n = 0.3 ;//approx. 4 point swing on ES
//fibs[1] = .62; fibs[2] = .27; fibs[3] = 0.01; fibs[4] = .38; fibs[5] = .5;//added ??????????  fibs[3] = 0.01??;fibs[1]=fibs [6] = .62???????? fibs[2] = .27;???????
//fibs [6] = .62; fibs[7] = 1; fibs[8] = 1.27; fibs[9] = 1.62; //9 symmetric levels//added????????(instead of:0,0.236,0.382,0.5,0.618,0.786.1,1.272)
fibs[1] = 0.0; fibs[2] = .238; fibs[3] = .382; fibs[4] = .5;//added ??????????  fibs[3] = 0.01??;fibs[1]=fibs [6] = .62???????? fibs[2] = .27;???????
fibs [5] = .618; fibs[6] = 0.786;fibs[7] = 1; fibs[8] = 1.272; fibs[9] = 1.618;//for(i=1;i<=9;i++) //Original
for(i=1;i<=NoOfLastPeaksTroughs;i++)//Added
{
p[i] = LastValue(ValueWhen(PeakBars(H,n)==0,H,i)); //last 9 peaks  
t[i] = LastValue(ValueWhen(TroughBars(L,n)==0,L,i));//last 9 troughs
//for(j=1;j<=9;j++) //Original
for(j=1;j<=NoOfLastPeaksTroughs;j++) //added
{
//for(k=1;k<=9;k++)
for(k=1;k<=NoOfFibonacciLevels;k++) //added assumed that this are the Fibonacct levels
{
array[100*i+10*j+k-111] = t[i] + fibs[k] * (p[j] - t[i]); // calc fib levels //added  might have to adjust the constants(100,10,111) to reflect the param values
}}}
// Plot levels for testing purposes
for(i=1;i<=900;i++) {
//Plot(IIf(array[i]>0,array[i],-1e10),"a",colorBlue); //Original
Plot(IIf(array[i]>MinPlotValue AND array[i]<MaxPlotValue,array[i],-1e10),"a",colorBlue);//Added
}
//==============ZigZagHL=========================added
if (ZigZagHL)
{
//added
Plot( C, "Close", 1,64);
zigpct = Param( "ZigHL %",0.2,0.01,10,0.01);
ATRmult = Param("ATRmult",1.8,0.1,3,0.1);
Arrowadj = Param("Arrowadj; ",12,2,25,1);
HHLLSel = ParamToggle("Each Pk/Tr|HH/LL","Each Pk/Tr|HH/LL",1);
pk=PeakBars(H,zigpct)==0;
tr=TroughBars(L,zigpct)==0;
zHi=Zig(H,zigpct); zLo=Zig(L,zigpct); HLAvg=(zHi+zLo)/2;
zp=IIf(pk,zHi,IIf(tr,zLo,IIf(HLAvg>Ref(HLAvg,-1),H,L)));
zag=Zig(zp,zigpct);
pR=Ref(zag,-1)<zag AND zag>Ref(zag,1);
pS=Ref(zag,-1)>zag AND zag<Ref(zag,1);
Plot(C,"C",1,64);
Plot(zag,"",11,1|styleNoLabel);//Zig H-L
PlotShapes(shapeDownArrow*pR,colorGreen,0,H,-Arrowadj);
PlotShapes(shapeUpArrow*pS,colorRed,0,L,-Arrowadj);
if(HHLLSel)
{
HH=((zag>Ref(zag,- 1) AND zag > Ref(zag,1)) AND (Peak(zag,zigpct,1 )>Peak(zag,zigpct,2 ))); //HH
LL=((zag<Ref(zag,- 1) AND zag < Ref(zag,1)) AND (Trough(zag,zigpct,1 ) <Trough(zag,zigpct,2 ))); //LL
}
if(!HHLLSel)
{
HH=((zag>Ref(zag,- 1) AND zag > Ref(zag,1)));
LL=((zag<Ref(zag,- 1) AND zag < Ref(zag,1)));
}
dist = ATRmult*ATR (20);//might not want that
for( i = 0; i < BarCount; i++ )
{
// ONLY THIS should be inside the loop
if( HH [i]) PlotText( "HH"+ "\n"+H[ i ], i, H[ i ]+dist[i], colorGreen );
if( LL [i] ) PlotText( ""+L[ i ]+"\nLL", i, L[ i ]-dist[i], colorRed );
}
}
//=========================End Original Fibonacci Levels-Original =====================================

 

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of kevinoversby
Sent: Monday, December 21, 2009 3:35 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Writing a fib cluster indicator

 

 

Hi Joris,

Thanks very much for your comments, I will work on it further tonight. Regarding the levels, the first three were intended to be the extensions -.62, -.27 & 0 but there was a problem at the time with negative values (now solved). I agree .786 & .236 were missing.

The idea behind adjusting the array indexing by 111 was to start at zero (when i=j=k=1, array index = 111 - 111) but this is not necessary, or could be fixed by starting i,j & k at zero.

Kevin

--- In amibroker@xxxxxxxxxxxxxxx, "Joris Schuller" <jschuller@xxx> wrote:
>
> Don't know how experienced you are; with that in mind, I would first
> simplify code verification somewhat:
>
> 1. limit the plot to the current meaningful visible section by using
> MinPlotValue=(1-Adjfactor)*LowestVisibleValue(L) and
> MaxPlotValue=(1+Adjfactor)*HighestVisibleValue(H);
>
> 2. start with and verify a simple case (1 pair of peaks and troughs) and
> expand from that. Compare results with the results using the Fibonacci
> toolbar
>
> 3. use params to be able to methodically build up in complexity
>
> 4. turn on/off the included ZigZagHL to verify that the correct
> peaks/troughs are selected
>
> 5. verify that the (incorrect) Fib levels you selected are what you want
>
> 6. convert the constants in the Fib level loop (10,100,111) to params
> (currently incorrect Fib values are displayed).
>
> 7. changes are prefaced by "added"
>
>
>
> The proposed changes are shown below.
>
>
>
> Title = EncodeColor(4)+ _DEFAULT_NAME()+"; "+EncodeColor(1) +
> StrFormat("{{NAME}} - {{INTERVAL}}; {{DATE}}; O=%g, H=%g, L=%g, C=%g
> (%.1f%%)
> {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) );
> SetBarsRequired(sbrAll,sbrAll);
> //============== added; Begin First Addition===================
> Plot(C,"C",1,64);
> ZigZagHL=ParamToggle("ZigZagHL","Off|On",1);
> NoOfLastPeaksTroughs=Param("NoOfLastPeaksTroughs",9,1,10,1);
> NoOfFibonacciLevels=Param("NoOfFibonacciLevels",9,1,10,1);
> Adjfactor=Param("Adjfactor",0.003,0,0.05,0.001); //added. Forex values; for
> stocks use change as necessary
> MinPlotValue=(1-Adjfactor)*LowestVisibleValue(L);
> MaxPlotValue=(1+Adjfactor)*HighestVisibleValue(H);
> Plot(MinPlotValue,"MinPlotValue",colorGreen,5);
> Plot(MaxPlotValue,"MaxPlotValue",4,5);
> //===============End First Addition===========
> n = 0.3 ;//approx. 4 point swing on ES
> //fibs[1] = .62; fibs[2] = .27; fibs[3] = 0.01; fibs[4] = .38; fibs[5] =
> .5;//added ?????????? fibs[3] = 0.01??;fibs[1]=fibs [6] = .62????????
> fibs[2] = .27;???????
> //fibs [6] = .62; fibs[7] = 1; fibs[8] = 1.27; fibs[9] = 1.62; //9 symmetric
> levels//added????????(instead of:0,0.236,0.382,0.5,0.618,0.786.1,1.272)
> fibs[1] = 0.0; fibs[2] = .238; fibs[3] = .382; fibs[4] = .5;//added
> ?????????? fibs[3] = 0.01??;fibs[1]=fibs [6] = .62???????? fibs[2] =
> .27;???????
> fibs [5] = .618; fibs[6] = 0.786;fibs[7] = 1; fibs[8] = 1.272; fibs[9] =
> 1.618;//for(i=1;i<=9;i++) //Original
> for(i=1;i<=NoOfLastPeaksTroughs;i++)//Added
> {
> p[i] = LastValue(ValueWhen(PeakBars(H,n)==0,H,i)); //last 9 peaks
> t[i] = LastValue(ValueWhen(TroughBars(L,n)==0,L,i));//last 9 troughs
>
> //for(j=1;j<=9;j++) //Original
> for(j=1;j<=NoOfLastPeaksTroughs;j++) //added
> {
> //for(k=1;k<=9;k++)
> for(k=1;k<=NoOfFibonacciLevels;k++) //added; assumed that this are the
> Fibonacci levels
> {
> array[100*i+10*j+k-111] = t[i] + fibs[k] * (p[j] - t[i]); // calc fib levels
> //added; might have to adjust the constants(100,10,111) to reflect the
> param values
> }}}
> // Plot levels for testing purposes
> for(i=1;i<=900;i++) {
> //Plot(IIf(array[i]>0,array[i],-1e10),"a",colorBlue); //Original
> Plot(IIf(array[i]>MinPlotValue AND
> array[i]<MaxPlotValue,array[i],-1e10),"a",colorBlue);//Added
> }
>
> //==============ZigZagHL; added for verification
> purposes=========================
> if (ZigZagHL)
> {
> //added
> Plot( C, "Close", 1,64);
> zigpct = Param( "Zag %",0.2,0.01,10,0.01);
> ATRmult = Param("ATRmult",1.8,0.1,3,0.1);
> Arrowadj = Param("Arrowadj; ",12,2,25,1);
> HHLLSel = ParamToggle("Each Pk/Tr|HH/LL","Each Pk/Tr|HH/LL",1);
> pk=PeakBars(H,zigpct)==0;
> tr=TroughBars(L,zigpct)==0;
> zHi=Zig(H,zigpct); zLo=Zig(L,zigpct); HLAvg=(zHi+zLo)/2;
> zp=IIf(pk,zHi,IIf(tr,zLo,IIf(HLAvg>Ref(HLAvg,-1),H,L)));
> zag=Zig(zp,zigpct);
> pR=Ref(zag,-1)<zag AND zag>Ref(zag,1);
> pS=Ref(zag,-1)>zag AND zag<Ref(zag,1);
> Plot(C,"C",1,64);
> Plot(zag,"",11,1|styleNoLabel);//Zig H-L
> PlotShapes(shapeDownArrow*pR,colorGreen,0,H,-Arrowadj);
> PlotShapes(shapeUpArrow*pS,colorRed,0,L,-Arrowadj);
> if(HHLLSel)
> {
> HH=((zag>Ref(zag,- 1) AND zag > Ref(zag,1)) AND (Peak(zag,zigpct,1
> )>Peak(zag,zigpct,2 ))); //HH
> LL=((zag<Ref(zag,- 1) AND zag < Ref(zag,1)) AND (Trough(zag,zigpct,1 )
> <Trough(zag,zigpct,2 ))); //LL
> }
> if(!HHLLSel)
> {
> HH=((zag>Ref(zag,- 1) AND zag > Ref(zag,1)));
> LL=((zag<Ref(zag,- 1) AND zag < Ref(zag,1)));
> }
> dist = ATRmult*ATR (20);//might not want that
> for( i = 0; i < BarCount; i++ )
> {
> // ONLY THIS should be inside the loop
> if( HH [i]) PlotText( "HH"+ "\n"+H[ i ], i, H[ i ]+dist[i], colorGreen );
> if( LL [i] ) PlotText( ""+L[ i ]+"\nLL", i, L[ i ]-dist[i], colorRed );
> }
> }
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of kevinoversby
> Sent: Saturday, December 19, 2009 4:32 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Writing a fib cluster indicator
>
>
>
>
>
>
>
> http://groups.yahoo.com/group/amibroker/photos/album/1601688415/pic/10192004
> 79/view
>
> See link for plot of unfiltered levels. Levels will be filtered by proximity
> and could also be weighted, for example, by size of swing producing them.
>
> Constructive comments welcome and appreciated.
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "kevinoversby" <kevinoversby@> wrote:
> >
> >
> >
> > OK, its running stably now, execution time well under 0.5 s. Next steps
> are to sort the levels and detect clusters for plotting.
> >
> > If I try to set any of the fibs values to negative values they are
> returned as {EMPTY} - why is that?
> >
> > Thanks / Kevin
> >
> > SetBarsRequired(sbrAll,sbrAll);
> >
> > n = 0.3 ;//approx. 4 point swing on ES
> > fibs[1] = .62; fibs[2] = .27; fibs[3] = 0.01; fibs[4] = .38; fibs[5] = .5;
> > fibs [6] = .62; fibs[7] = 1; fibs[8] = 1.27; fibs[9] = 1.62; //9 symmetric
> levels
> >
> > for(i=1;i<=9;i++)
> > {
> >
> > p[i] = LastValue(ValueWhen(PeakBars(H,n)==0,H,i)); //last 9 peaks
> > t[i] = LastValue(ValueWhen(TroughBars(L,n)==0,L,i));//last 9 troughs
> >
> > for(j=1;j<=9;j++)
> > {
> > for(k=1;k<=9;k++)
> > {
> >
> > array[100*i+10*j+k-111] = t[i] + fibs[k] * (p[j] - t[i]); // calc fib
> levels
> > }}}
> >
> > // Plot levels for testing purposes
> >
> > for(i=1;i<=900;i++) {
> > Plot(IIf(array[i]>0,array[i],-1e10),"a",colorBlue);
> > }
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "kevinoversby" <kevinoversby@> wrote:
> > >
> > >
> > >
> > >
> > >
> > >
> > > I've now got the levels plotting on ES 15 second data and its actually
> quite fast as the array function calls are in a small loop. The strange part
> is that the array reverts to empty shortly after plotting. Can anyone see
> why?
> > >
> > > Thanks / Kevin
> > >
> > >
> > > n = 0.3 ; //approx. 4 point swing on ES
> > > fibs[1] = -.62; fibs[2] = -.27; fibs[3] = 0; fibs[4] = .38; fibs[5] =
> .5;
> > > fibs [6] = .62; fibs[7] = 1; fibs[8] = 1.27; fibs[9] = 1.62; //9
> symmetric levels
> > >
> > > PeakCondition=PeakBars(H,n)==0;
> > > TroughCondition=TroughBars(L,n)==0;
> > >
> > > for(i=1;i<=10;i++)
> > > {
> > >
> > > p[i]=LastValue(ValueWhen(PeakCondition,H,i));
> > > t[i] = LastValue(ValueWhen(TroughCondition,L,i));
> > >
> > > for(j=1;j<=10;j++)
> > > {
> > > for(k=1;k<=5;k++)
> > > {
> > >
> > > array[i+j+k-2] = t[i] + fibs[k] * (p[j] - t[i]); // calc fib levels
> > > }}}
> > >
> > > // Plot first 100 unfiltered levels for test purposes
> > >
> > > for(i=1;i<=100;i++) {
> > > Plot(IIf(array[i]>0,array[i],-1e10),"a",colorBlue);
> > > }
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "kevinoversby" <kevinoversby@> wrote:
> > > >
> > > > Hi Mike,
> > > >
> > > > Thank you very much for taking the time to post these tips. I will
> incorporate as much as I can and post the update later.
> > > >
> > > >
> > > > Kevin
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> , "Mike" <sfclimbers@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > A couple of quick points to spare you some wasted time.
> > > > >
> > > > > 1. In general; I think that you would benifet greatly by reading the
> following:
> > > > >
> > > > > http://www.amibroker.com/guide/h_understandafl.html
> > > > >
> > > > > 2. You *really* do not want to be making array based function calls
> (e.g. PeakBars, ValueWhen, IIF, TroughBars, etc) within a loop. This will be
> horribly slow. Look for a way to calculate everything outside of a loop.
> > > > >
> > > > > 3. The termination check of all your for loops are incorrect. Do not
> use "i = 10". You probably want something like "i <= 10". It needs to be a
> boolean if you ever want it to terminate. Also "=" is assignment, "==" is
> equivalence test.
> > > > >
> > > > > http://www.amibroker.com/guide/a_mistakes.html
> > > > >
> > > > > 4. When trying to populate an array inside a loop, you generally
> should be populating bar by bar: e.g. array[i] = ...
> > > > >
> > > > > Mike
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com> , "kevinoversby" <kevinoversby@> wrote:
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > Parts 1) & 2)
> > > > > >
> > > > > > n = 0.3 //approx. 4 point swing on ES
> > > > > > fibs = [-.62 -.27 0 .38 .5 .62 1 1.27 1.62]; //symmetric
> > > > > >
> > > > > > for(i=1;i=10;i++)
> > > > > > {
> > > > > > PeakCondition=PeakBars(H,n)==0;
> > > > > > p[i] = ValueWhen(PeakCondition,H,i);
> > > > > > p[i] = IIf(p[i] >= HHV(p,i),p[i],0); //set to zero if not HH
> > > > > >
> > > > > > TroughCondition=TroughBars(L,n)==0;
> > > > > > t[i] = ValueWhen(TroughCondition,L,i);
> > > > > > t[i] = IIf(t[i] <= LLV(t,i),t[i],0); //set to zero if not LL
> > > > > >
> > > > > > for(j=1;j=10;j++)
> > > > > > {
> > > > > > for(k=1;k=9;k++)
> > > > > > {
> > > > > >
> > > > > > array = t[i] + fibs[k] * (p[j] - t[i]); // calc fib levels
> > > > > > }}}
> > > > > >
> > > > > > I'm unsure of the last line - how to assign the fib levels to an
> array for sorting. Thanks in advance for any help.
> > > > > >
> > > > > >
> > > > > > Kevin
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com> , "kevinoversby" <kevinoversby@> wrote:
> > > > > > >
> > > > > > > I have not found an AFL implementation of this so decided to
> develop my own. I'm doing it here as there are a couple of coding issues I'm
> unsure of. Constructive comments and tips most welcome.
> > > > > > >
> > > > > > > Process:
> > > > > > >
> > > > > > > 1) Find i last higher peaks and j last lower troughs
> > > > > > > 2) For each peak/trough pair, calculate fib levels and add to
> array
> > > > > > > 3) Sort array
> > > > > > > 4) Discard a level if distance to next level > tolerance
> > > > > > > 5) Plot remaining levels, preferably at left or right edge like
> volume at price (VAP) to simplify chart.
> > > > > > >
> > > > > > > (A thought just occurred that this would also be a useful
> exercise with VAP levels - investigate later).
> > > > > > >
> > > > > > >
> > > > > > > Kevin
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>



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