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Stan
> I've seen the term "latch" used when referencing certain formulas. Can
> someone tell me what it means to "use something as a latch" Thanks
When I first created and started using a latch structure I called it a
"flag". This was confusing for those that think of flags as chart patterns
and so someone suggested the term "latch". In digital electronics a latch is
a bi-state memory device. It's either true or false (on or off).
The following discussion on simple latches is a short excerpt from the
"Thanks for the memory" chapter of my upcoming book. The longer discussion
on PREV-based latches is not included. Please note that the text is not yet
in its final form, and that the line spacing has been distorted by OE.
Roy
Definition:
A Latch is a memory device that is used to catch and hold a value or event.
Latches enhance the ability of MetaStock to remember the timing of related
events and/or the values associated with specific events.
Simple Latch Description
The simplest form of a latch is presented in Exercise 1. It requires two
signals to function - typically a "set" and a "reset" signal. You might like
to think of these signals as the on and off buttons of the latch. By
comparing BarsSince(set) to BarsSince(reset) we are able to determine which
signal occurred most recently, and therefore whether the current state of
the latch is set or reset.
If the set signal occurred more recently then the latch will be in the set
state (on), and if the reset signal occurred more recently then the latch
will be in the reset state (off). MetaStock processes a chart from the first
bar on the left to the last bar on the right - from oldest to the most
recent data. The state of a latch is checked and updated as each new bar on
a chart is processed moving from left to right. The perspective used with
the BarsSince() function is always from the current bar, or bar being
examined, backward to the left side of the chart. The essence of a simple
latch is in knowing which of two events occurred more recently.
All exercises in this chapter use the crossover of two exponential moving
averages to generate set and reset signals. These signals have no inherent
significance other than their usefulness in this series of exercises.
{Exercise 1} {simple latch}
Set:=Cross(Mov(C,15,E),Mov(C,25,E));
Reset:=Cross(Mov(C,25,E),Mov(C,15,E));
BarsSince(Set)<BarsSince(Reset); {did a set occur since a reset?}
This basic latch format works fine up to a point but one shortcoming that
needs to be addressed is that the output line (the last line) may not plot
any signal until many bars after the start of the chart. This is known as an
N/A plot, and it means that the formula is unable to plot a valid value.
This is also a common problem with the ValueWhen() function. The N/A period
will extend from the first of the chart until the first bar when the set
signal is active and the reset signal is valid. The use of a 25 period
moving average in this exercise forces at least 25 N/A bars, 26 in fact
because an extra N/A is added by the Cross function, but most often the
number of N/A bars will be higher. An extended N/A plot can be reduced to an
absolute minimum by including an "INITIALISED" variable into the formula. I
call this variable 'I' or 'Init', and its purpose is to inform any following
code that the 'Set' and 'Reset' variables are both valid - they are each
capable of plotting a real value. MS v7.0 and later versions can use the
IsDefined() function to achieve the same effect as 'Init' but that function
is not available to MS 6.52 users, and neither does it provide any real
advantage.
With exercise 2 the 'Init' variable is used to simulate initial set and
reset signals, and these signals in turn provide a specific starting point
for the latch to begin to function. If you can compare the plot from
exercise 1 with the plot from exercise 2 then you will see that exercise 2
has an N/A period of 26 bars. Exercise 1 however will have an N/A period
that extends until the bar where exercise 2 is set for the first time. This
may occur many bars later.
{Exercise 2} {simple latch with Init}
Set:=Cross(Mov(C,15,E),Mov(C,25,E));
Reset:=Cross(Mov(C,25,E),Mov(C,15,E));
Init:=Cum(Set+Reset>-1)=1;
Trade:=BarsSince(Init OR Set)<BarsSince(Init OR Reset); {Init simulates
first signals}
Trade;
Notice that the output variable has been named 'Trade'. Giving the output
variable a name is desirable because it will usually be followed by code
that needs access to the state of this latch (is it set or reset?). Exercise
2 is a complete binary latch and it can only store two values - typically
those values will be ONE and ZERO (true and false) although other values can
also be used. This variation will be covered in a later paragraph.
The 'Init' variable confuses many people so don't be alarmed if you also
struggle to comprehend its nuances. It will be true for the first bar when
both the set and reset signals are valid, for one bar only, and false for
every subsequent bar. Unless both the set and reset signals are valid it
will remain invalid itself and not plot any value (except N/A of course).
'Init' being true for one bar provides the simulated set and reset signals
that are used to kick the latch into action. Each BarsSince() function
contains a simulated signal on the first possible valid bar (bar 26 for our
Exercises), and that simulated signal provides a reference signal for the
other BarsSince() to relate to.
Remember that construction of an 'Init' signal is not concerned with actual
values but whether or not 'Set' and 'Reset' are VALID. The sum of the two
inputs ('Set' and 'Reset') cannot be greater than -1 until both plot a real
value, i.e. each signal is valid. Both 'Set' and 'Reset' are binary in
nature, zero or one, so by definition neither signal can ever be less than
zero. The test for a Cumulative count of 1 ensures that this signal is true
for the first valid bar only and false for every subsequent bar. That's
quite OK because the whole purpose of 'Init' is to generate a 'true' for
just the one initial bar. This signal true for one bar informs us that the
set and reset signals are both INITIALISED.
As I mentioned earlier it is possible to assign values other than zero and
one to a latch. The If() function can be used to select two different
constant values for the latch to alternate between. Unfortunately the If()
function does not allow the accurate storing of prices. Secondary set
signals would allow a stored value to change with each new signal if
constants were not used.
{Exercise 3} {simple latch with modified output}
Set:=Cross(Mov(C,15,E),Mov(C,25,E));
Reset:=Cross(Mov(C,25,E),Mov(C,15,E));
Init:=Cum(Set+Reset>-1)=1;
Trade:=If(BarsSince(Init OR Set)<BarsSince(Init OR Reset),3,-5);
Trade; {swings between -3 and +5}
Now that you are able to assign different values to the 'Trade' variable
using the If() function you also need to be aware that not all methods of
creating 'Trade' produce identical results. Here are four different
constructions of the trade variable but only two of the four, {a} and {b},
are logically correct prior to the first set signal.
{a} Trade:=If(BarsSince(Init OR Set)<BarsSince(Init OR Reset),1,0);
Is functionally identical to
{b} Trade:=If(BarsSince(Init OR Set)>=BarsSince(Init OR Reset),0,1);
But neither is the same as
{c} Trade:=If(BarsSince(Init OR Set)>BarsSince(Init OR Reset),0,1); {wrong}
or
{d} Trade:=If(BarsSince(Init OR Set)<=BarsSince(Init OR Reset),1,0); {wrong}
The difference is in the use of "=" with ">" or "<" symbols. When written
the wrong way the plot of the latch prior to the first set signal will be
the inverse of its correct state. This may be only a small point but for
those few bars it is still wrong. The testing of historical data requires
that our test signals be as accurate as possible for all data under test so
please take care and avoid this trap whatever your use of the simple latch
may be. The correct constructions of Trade when not using the If() function
are demonstrated by {f} and {g}.
{f} Trade:=BarsSince(Init OR Set)<BarsSince(Init OR Reset);
{g} Trade:=BarsSince(Init OR Set)>=BarsSince(Init OR Reset)=0;
{h} Trade:=BarsSince(Init OR Set)>BarsSince(Init OR Reset)=0; {wrong}
{i} Trade:=BarsSince(Init OR Set)<=BarsSince(Init OR Reset); {wrong}
Signal Timing for a Simple Latch
Exercise 4 can be used to show the precise relationships on any MetaStock
chart. Obviously the actual signals plotted will vary from chart to chart,
but the intrinsic relationships will remain the same.
{Exercise 4} {signal timing for a simple latch}
Set:=Cross(Mov(C,15,E),Mov(C,25,E)); Set+3.75;
Reset:=Cross(Mov(C,25,E),Mov(C,15,E)); Reset+2.5;
Init:=Cum(Set+Reset>-1)=1; Init+1.25;
Trade:=BarsSince(Init OR Set)<BarsSince(Init OR Reset);
Trade;
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