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As a postscript to the previous post, let me add this. I did not test
it a lot and the formula is slightly different if the pip is 1 or
larger. The modification is simple enough, but the version I gave is
really for pips smaller than 1. If anybody is interested, I can
complete the back-of-envelope calcs for the 1 or larger pip size and
translate that into code and post it as well.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx> wrote:
>
> Hi Jose,
>
> This is neat but a bit bulky for such a simple task. Here is an
> alternative pip detector, that uses some mathemagics, and does the
> same thing. It should also be more accurate than the original as it
> is not based on the smallest change, but on the decimal in which this
> change occurs, as described below.
>
> ----8<--------------------------------------------
> {Calculates pip value
> For personal use only
> MG Ferreira
> http://www.ferra4models.com}
>
> rr:=Abs(C-Ref(C,-1));
> ss:=Log(Lowest((rr=0)+rr)*1.001)/2.302585;
> Exp((Int(ss)-1)*2.302585)
> ----8<--------------------------------------------
>
> This works by looking at the smallest digit that changes between
> consequetive closes. So if yesterday's close was 10.56, and today's
> is 10.87, then the difference is 0.31. The smallest digit visible in
> the change is the 1 in 0.31, so it assumes the smallest change
> possible is 0.01 and gives this as the pip. A change of say 0.1234
> will yield a pip of 0.0001 and so on.
>
> Note the assumption! If you have an actual pip of say 0.25, then this
> code will pick up a second decimal change and report the pip size as
> 0.01. It assumes pip changes occur in powers of 10, so 10, 1, 0.1,
> 0.01, 0.001 and so on are tested. It is very easy to change this to
> anything else, but 10 makes most sense.
>
> Anyhow, let me know if this works - one drawback of the mathemagics is
> that the formula has to deal with rounding of results. As they say,
> to a computer, 1 + 1 = 1.99999999....
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xxxx>
> wrote:
> >
> > This MS code attempts to detect the smallest traded price movement
> > (pip) on a chart. Useful when adding slippage/spread to a trading
> > strategy.
> >
> > ============
> > Pip detector
> > ============
> > ---8<---------------
> >
> > { Detects lowest historical Pip on chart }
> > { Use on any periodicity }
> >
> > { ©Copyright 2005 Jose Silva }
> > { For personal use only }
> > { http://www.metastocktools.com }
> >
> > noPip:=1000;
> > p1:=If(H-O=0,noPip,H-O);
> > p2:=If(O-L=0,noPip,O-L);
> > p3:=Abs(If(O-C=0,noPip,O-C));
> > p4:=If(H-C=0,noPip,H-C);
> > p5:=If(C-L=0,noPip,C-L);
> > p6:=If(H-L=0,noPip,H-L);
> > p7:=Abs(If(O-Ref(C,-1)=0,noPip,O-Ref(C,-1)));
> > minPip:=Min(p1,Min(p2,Min(p3,Min(p4,Min(p5,
> > Min(p6,p7))))));
> > pip:=Lowest(minPip);
> >
> > pip
> >
> > ---8<---------------
> >
> >
> > jose '-)
> > http://www.metastocktools.com
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