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Hello all
Thanks to Clyde Lee and his precious contribution to the list(s), I take
the opportunity to offer a little bit. Enclosed you will find two
studies- variations based on Clyde's work, a picture of what they look
like and the code in text form should any of you would like to check for
yourselves.
[to allow this article to fit within the omega-list's size limits,
the picture can be found at
<ftp://ftp.eskimo.com/u/j/jimo/Bars-Price_Since_Pvt.gif>
-list maintainer]
Basically, it is Clyde's work with more bells and whistles; all
parametrical that allow us to choose how we want the info displayed.
It is about two studies. The first deals with Cumulative Volume (see
code below) and the other adds some filters to the way info is treated
and displayed. Those of you who have a more responsive and smoother
algorithm than T3Average (Mark Juric's Adaptive Average, for instance)
are encouraged to use it.
It took me some time to prepare it and I give it to you with all my
appreciation. I hope you welcome it.
Regards
Zarifis Dimitroulis
***************************************************************************
{Indicator: Bars-Price_Since_Pvt
Purpose: Display the number of bars and/or the price difference since the
last detected pivot using Swing_Lee_Simple.
Note that if both elements are to be plotted on the same graph
it will be necessary to use the ScalPric parameter
(which is a multiplier for the price difference computed)
to get the price range and bar range to be approximately the
same.
For the QQQ that value is around 20;
Author: Clyde Lee, Copyright SYTECH Corporation 2002
Permission: This application may be used/distributed for non commercial
purposes by including above information/credit.
Comment: Zarifis Dimitroulis made a few changes-modifications to the
original code provided by Clyde Lee.
Namely, the Swing_Lee function changed to series to include
variable time length... FourPeriod and Hilbert come to mind.
Also, better graphics have been added to make look better.
However, should one prefer to revert back to the original
code, one must select KeepCode=True
else the detailed graphics and the auto adjust for ScalePric
take place.
Zarifis Dimitroulis Nov, 14 2002
}
Input: NBars(13), {Number of bars to be used by
Swing_Lee_Simple to pick pivot points. }
ScalPric(1), {Scaling factor to apply to price to put in
same range as the bars plot if doing both. }
DoPlots(2), {-1=CumVol, 0=bars, 1=price, >1=both price
and bars and CumVol if selected }
KeepCode(False),
Smooth(True),
PlotCumV(True),
SmoothCV(True),
Normal_V(True), {A re-scaled Volume may be a better choice
since every security is a different case by itself.
However, if unscaled Volume is prefered,
then set Normal_V to False.}
ShowHelp(True);
Vars: Direct(0), HoldPrice(0), HoldBars(0), StepBack(0),
PlotBars(0), PlotPrice(0), BarsSD(0), PriceSD(0), X1(0),
CumVol(0), HoldVol(0);
If ShowHelp then begin
Commentary(" Comment: Zarifis Dimitroulis made a few
changes-modifications to the original");
Commentary(" code provided by Clyde Lee. Namely, the Swing_Lee
function changed to series");
Commentary(" to include variable time length... FourPeriod and
Hilbert come to mind."+NewLine);
Commentary(" Also, better graphics have been added to make look
better. However, should ");
Commentary(" one prefer to revert back to the original code, one
must select KeepCode=True.");
Commentary(" Else, the detailed graphics and the auto adjust for
ScalePric take place. ");
Commentary(" Regarding Cumulative Volume, there is provision for
auto rescale");
Commentary(" since every security is a different case by itself. If
that is not what ");
Commentary(" you want, set Normal_V to False."+NewLine);
Commentary(" Enjoy.");
end;
{Direct = Swing_Lee_Simple(NBars,false);} {ZaF's modification to include
a variable time span ... see Hilbert}
Direct = Swing_Lee_Series(NBars,false);
StepBack=0;
If Sign(Direct)<>Sign(Direct[1]) and Direct[1]<>0 then begin { *
* * change of trend * * * }
StepBack=AbsValue(direct);
HoldBars=CurrentBar-StepBack;
If Direct>0
then HoldPrice=L[direct]
else HoldPrice=H[direct];
CumVol=0;
HoldVol=Volume[AbsValue(Direct)];
if SmoothCV then HoldVol=Average(HoldVol, Nbars);
End;
If Direct<>0 and Direct[1]<>0 then begin { * * *
trend continuation * * * }
For Value1=StepBack downto 0 begin
If Direct>0 then Value9=L[Value1] else Value9=H[Value1];
PlotPrice=(Value9-HoldPrice);
PlotBars =(CurrentBar-Value1-HoldBars)*Sign(Direct);
If Normal_V=True then
if Direct>0 then CumVol=CumVol+iff(HoldVol<>0,
Volume/HoldVol, 0)
else CumVol=CumVol-iff(HoldVol<>0, Volume/HoldVol, 0)
else
if Direct>0 then CumVol=CumVol+Volume
else CumVol=CumVol-Volume;
If KeepCode=False then {a multiplier of 1.5 is
added for better appearance}
If PlotPrice<>0 then X1=1.5*AbsValue(PlotBars)/AbsValue(PlotPrice) else
X1=1.5*AbsValue(PlotBars)
else
X1=ScalPric;
If DoPlots>1 then begin
{ PlotPrice=PlotPrice*ScalPric;}
PlotPrice=PlotPrice*X1;
If KeepCode=False and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
If KeepCode=True and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
Plot1(PlotPrice,"PR");
Plot2(PlotBars, "BR");
if PlotCumV then Plot3(CumVol, "CumVol");
End
Else If DoPlots=0 then begin
{ PlotPrice=PlotPrice*ScalPric;}
PlotPrice=PlotPrice*x1;
If KeepCode=False and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
If KeepCode=True and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
Plot1(PlotPrice,"PR");
Plot2(0,"BR");
if PlotCumV then Plot3(CumVol, "CumVol");
End
Else If DoPlots=1 then begin
Plot2(PlotBars, "BR");
if PlotCumV then Plot3(CumVol, "CumVol");
End
Else If DoPlots=-1 then begin
Plot3(CumVol, "CumVol");
End;
End;
End;
*************************************************************************
*************************************************************************
{Indicator: Bars-Price_Since_Pvt
Purpose: Display the number of bars and/or the price difference since the
last detected pivot using Swing_Lee_Simple.
Note that if both elements are to be plotted on the same graph
it will be necessary to use the ScalPric parameter
(which is a multiplier for the price difference computed)
to get the price range and bar range to be approximately the
same.
For the QQQ that value is around 20;
Author: Clyde Lee, Copyright SYTECH Corporation 2002
Permission: This application may be used/distributed for non commercial
purposes by including above information/credit.
Comment: Zarifis Dimitroulis made a few changes-modifications to the
original code provided by Clyde Lee.
Namely, the Swing_Lee function changed to series to include
variable time length... FourPeriod and Hilbert come to mind.
Also, better graphics have been added to make look better.
However, should one prefer to revert back to the original
code, one must select KeepCode=True
else the detailed graphics and the auto adjust for ScalePric
take place. There is also provision for
a cutoff of information of choppy areas of the graph.
Zarifis Dimitroulis Nov, 14 2002
}
Input: NBars(13), {Number of bars to be used by
Swing_Lee_Simple to pick pivot points. }
ScalPric(1), {Scaling factor to apply to price to put
in same range as the bars plot if doing both. }
DoPlots(2), {0=bars, 1=price, >1=both);
}
KeepCode(False),
Smooth(True),
CutOff(False),
CutOffCh(0.5),
ShowHelp(False);
Vars: Direct(0), HoldPrice(0), HoldBars(0), StepBack(0), PlotBars(0),
PlotPrice(0),
BarsSD(0), PriceSD(0), x1(0), x21(0), x22(0), Condition1(False),
Condition2(False);
{Direct = Swing_Lee_Simple(NBars,false);} {ZaF's modification to
include a variable time span ... see Hilbert}
Direct = Swing_Lee_Series(NBars,false);
StepBack=0;
If ShowHelp then begin
Commentary(" Comment: Zarifis Dimitroulis made a few
changes-modifications to the original");
Commentary(" code provided by Clyde Lee. Namely, the Swing_Lee
function changed to series");
Commentary(" to include variable time length... FourPeriod and
Hilbert come to mind."+NewLine);
Commentary(" Also, better graphics have been added to make look
better. However, should ");
Commentary(" one prefer to revert back to the original code, one
must select KeepCode=True.");
Commentary(" Else, the detailed graphics and the auto adjust for
ScalePric take place. ");
Commentary(" Also, there is provision for the CutOff Channel width
as a multiplier ");
Commentary(" of the StdDev.");
end;
If Sign(Direct)<>Sign(Direct[1]) and Direct[1]<>0 then begin { * * *
change of trend * * * }
StepBack=AbsValue(direct);
HoldBars=CurrentBar-StepBack;
If Direct>0 then HoldPrice=L[direct] else HoldPrice=H[direct];
if Plotbars>0 then x21=Average(PlotBars,
NBars)+CutOffCh*StdDev(PlotBars, NBars);
if Plotbars<0 then x22=Average(PlotBars,
NBars)-CutOffCh*StdDev(PlotBars, NBars);
End;
If Direct<>0 and Direct[1]<>0 then begin { * * * trend
continuation * * * }
For Value1=StepBack downto 0 begin
If Direct>0 then Value9=L[Value1] else Value9=H[Value1];
PlotPrice=(Value9-HoldPrice);
PlotBars =(CurrentBar-Value1-HoldBars)*Sign(Direct);
If KeepCode=False then {a multiplier of 1.5 is
added for better appearance}
begin
if PlotPrice<>0 then
x1=1.5*AbsValue(PlotBars)/AbsValue(PlotPrice) else
x1=1.5*AbsValue(PlotBars);
end
else
X1=ScalPric;
end;
PlotPrice=PlotPrice*x1;
Condition1=cutoff=true;
Condition2=(plotbars<0 and x22>plotbars) or (plotbars>0 and
x21<plotbars);
If DoPlots>1 then
begin
If KeepCode=False and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
If KeepCode=True and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
if PlotPrice>0 then begin
if condition1=false or (condition1=true and
condition2=true) then begin
Plot1(PlotPrice,"PR");
Plot3(0, "PR");
end;
end
else begin
if condition1=False or (condition1=true and
condition2=true) then
begin
Plot1(0,"PR");
Plot3(PlotPrice, "PR");
end;
end;
if condition1=False or (condition1=true and
condition2=true) then
begin
if PlotBars>0 then Plot2(PlotBars, "BR")
else Plot4(PlotBars, "BR");
End;
End
Else If DoPlots=0 then
begin
If KeepCode=False and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
If KeepCode=True and Smooth=True then
PlotPrice=T3AverageFast(PlotPrice, 0.5*NBars);
if PlotPrice>0 then
begin
if condition1=False or (condition1=true and
condition2=true) then begin
Plot1(PlotPrice,"PR");
Plot3(0, "PR");
end;
end
else begin
if condition1=False or (condition1=true and
condition2=true) then begin
Plot1(0,"PR");
Plot3(PlotPrice, "PR");
end;
end;
if condition1=False or (condition1=true and
condition2=true) then Plot2(0,"BR");
End
Else If DoPlots=1 then
begin
if condition1=False or (condition1=true and
condition2=true) then
begin
if PlotBars>0 then Plot2(PlotBars, "BR")
else Plot4(PlotBars, "BR");
Plot1(0,"PR");
End;
End;
End;
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