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Trendlines for Amibroker (AFL)
empottasch
about 14 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 6)
Tags:
trendline, amibroker, fractal

Creates trendlines throughout the dataset using “fractal” patterns. Code omits downtrending lower trendlines and uptrending upper trendlines since the idea is that when an uptrending lower trendline is broken the uptrend is broken and vise versa.

This is work in progress so suggestions are welcome.

Screenshots

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Indicator / Formula

Indicator
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// E.M.Pottasch, 9/20/2010
// using fractals for trendlines
// Version 6a: 
// each trendline has 3 segments, see explanations 
// between code. Segments are not combined because 
// some trendlines partially overlap

SetBarsRequired(sbrAll,sbrAll);
xx = Cum(1);
nbar = Param("nbar",5,2,50,1); 

// define fractals
PHigh = H > Ref(HHV(H,nbar),-1) AND Ref(HHV(H,nbar),nbar) <= H;
PHighPrice = ValueWhen(PHigh,H);
PLow = L < Ref(LLV(L,nbar),-1) AND Ref(LLV(L,nbar),nbar) >= L;
PLowPrice = ValueWhen(PLow,L); 

// lower trendline, segment 1: between fractal points
startval_L = ValueWhen(PLow,L,1); 
endval_L = ValueWhen(PLow,L,0); 
startbar_L = ValueWhen(PLow,xx,1); 
endbar_L = ValueWhen(PLow,xx,0); 
aa_L = (endval_L-startval_L)/(endbar_L-startbar_L);
bb_L = startval_L;
trendline_L = aa_L * (xx - startbar_L) + bb_L;
// slope calculations for display purpose only
dtrendline_L = trendline_L - Ref(trendline_L,-1);

// lower extended trendline, segment 2: extend segment 1 to next fractals pivot 
startval_L_extend = ValueWhen(PLow,L,2); 
endval_L_extend = ValueWhen(PLow,L,1); 
startbar_L_extend = ValueWhen(PLow,xx,2); 
endbar_L_extend = ValueWhen(PLow,xx,1); 
aa_L_extend = (endval_L_extend-startval_L_extend)/(endbar_L_extend-startbar_L_extend);
bb_L_extend = startval_L;
trendline_L_extend = aa_L_extend * (xx - startbar_L) + endval_L_extend; 
// slope calculations for display purpose only
dtrendline_L_extend = trendline_L_extend - Ref(trendline_L_extend,-1);
dtrendline_L_extend = IIf(PLow,Ref(dtrendline_L,-1),dtrendline_L_extend);

// lower extended trendline, segment 3: extend segment 2 nbars past the fractal pivot
startval_L_extend2 = ValueWhen(PLow,L,3); 
endval_L_extend2 = ValueWhen(PLow,L,2); 
startbar_L_extend2 = ValueWhen(PLow,xx,3); 
endbar_L_extend2 = ValueWhen(PLow,xx,2); 
aa_L_extend2 = (endval_L_extend2-startval_L_extend2)/(endbar_L_extend2-startbar_L_extend2);
bb_L_extend2 = endval_L_extend2;
trendline_L_extend2 = aa_L_extend2 * (xx - endbar_L_extend2) + endval_L_extend2; 
// slope calculations for display purpose only
dtrendline_L_extend2 = trendline_L_extend2 - Ref(trendline_L_extend2,-1);
dtrendline_L_extend2 = IIf(PLow,Ref(dtrendline_L_extend,-1),dtrendline_L_extend2);

// upper trendline, segment 1: between fractal points
startval_H = ValueWhen(PHigh,H,1); 
endval_H = ValueWhen(PHigh,H,0); 
startbar_H = ValueWhen(PHigh,xx,1); 
endbar_H = ValueWhen(PHigh,xx,0); 
aa_H = (endval_H-startval_H)/(endbar_H-startbar_H);
bb_H = startval_H;
trendline_H = aa_H * (xx - startbar_H) + bb_H; 
// slope calculations for display purpose only
dtrendline_H = trendline_H - Ref(trendline_H,-1);

// upper extended trendline, segment 2: extend segment 1 to next fractals pivot 
startval_H_extend = ValueWhen(PHigh,H,2); 
endval_H_extend = ValueWhen(PHigh,H,1); 
startbar_H_extend = ValueWhen(PHigh,xx,2); 
endbar_H_extend = ValueWhen(PHigh,xx,1); 
aa_H_extend = (endval_H_extend-startval_H_extend)/(endbar_H_extend-startbar_H_extend);
bb_H_extend = startval_H;
trendline_H_extend = aa_H_extend * (xx - startbar_H) + endval_H_extend; 
// slope calculations for display purpose only
dtrendline_H_extend = trendline_H_extend - Ref(trendline_H_extend,-1);
dtrendline_H_extend = IIf(PHigh,Ref(dtrendline_H,-1),dtrendline_H_extend);

// upper extended trendline, segment 3: extend segment 2 nbars past the fractal pivot
startval_H_extend2 = ValueWhen(PHigh,H,3); 
endval_H_extend2 = ValueWhen(PHigh,H,2); 
startbar_H_extend2 = ValueWhen(PHigh,xx,3); 
endbar_H_extend2 = ValueWhen(PHigh,xx,2); 
aa_H_extend2 = (endval_H_extend2-startval_H_extend2)/(endbar_H_extend2-startbar_H_extend2);
bb_H_extend2 = endval_H_extend2;
trendline_H_extend2 = aa_H_extend2 * (xx - endbar_H_extend2) + endval_H_extend2; 
// slope calculations for display purpose only
dtrendline_H_extend2 = trendline_H_extend2 - Ref(trendline_H_extend2,-1);
dtrendline_H_extend2 = IIf(PHigh,Ref(dtrendline_H_extend,-1),dtrendline_H_extend2);

tld = ParamToggle("All trendlines","show|hide",1);
if (tld)
{
	// omit uptrending upper trendlines and downtrending lower trendlines
	trendline_L = IIf(dtrendline_L > 0,trendline_L,Null);
	trendline_L_extend = IIf(dtrendline_L_extend > 0,trendline_L_extend,Null);
	trendline_L_extend2 = IIf(dtrendline_L_extend2 > 0,trendline_L_extend2,Null);
	trendline_H = IIf(dtrendline_H < 0,trendline_H,Null);
	trendline_H_extend = IIf(dtrendline_H_extend < 0,trendline_H_extend,Null);
	trendline_H_extend2 = IIf(dtrendline_H_extend2 < 0,trendline_H_extend2,Null);
}

trendline_L_extend2 = IIf(BarsSince(Plow) <= nbar,trendline_L_extend2,Null);
trendline_H_extend2 = IIf(BarsSince(PHigh) <= nbar,trendline_H_extend2,Null);

// chart
GraphXSpace = 5;
SetChartOptions(0, chartShowDates);
chartflag = ParamToggle("Heikin Ashi","show|hide",1);
if (chartFlag)
{
	Plot( C, "\nPrice",colorWhite, styleCandle );
} 
else
{
	HaClose = (O+H+L+C)/4; 
	HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); 
	HaHigh = Max( H, Max( HaClose, HaOpen ) ); 
	HaLow = Min( L, Min( HaClose, HaOpen ) ); 
	PlotOHLC( HaOpen, HaHigh, HaLow, HaClose, "Modified " + Name(), colorWhite, styleCandle );	
}

PlotShapes(shapeSmallCircle*PLow,colorGreen,0,L,-10);
PlotShapes(shapeSmallCircle*PHigh,colorRed,0,H,10);
// segment 1
Plot(trendline_L, "\nLower Trendline", colorBrightGreen,styleLine);
// segment 2, grey dots unconfirmed trend, green confirmed trend
Plot(IIf(BarsSince(Plow) <= nbar,trendline_L_extend,Null), "", colorLightGrey,styleNoLine | styleDots | styleThick);
Plot(IIf(BarsSince(Plow) > nbar,trendline_L_extend,Null), "",colorDarkGreen, styleNoLine | styleDots | styleThick);
// segment 3
Plot(IIf(BarsSince(Plow) <= nbar,trendline_L_extend2,Null), "",colorDarkGreen,styleNoLine | styleDots| styleThick);
// segment 1
Plot(trendline_H, "\nUpper Trendline", colorRed,styleLine);
// segment 2, grey dots unconfirmed trend, green confirmed trend
Plot(IIf(BarsSince(PHigh) <= nbar,trendline_H_extend,Null), "", colorLightGrey, styleNoLine | styleDots | styleThick);
Plot(IIf(BarsSince(PHigh) > nbar,trendline_H_extend,Null), "",colorOrange, styleNoLine | styleDots | styleThick);
// segment 3
Plot(IIf(BarsSince(PHigh) <= nbar,trendline_H_extend2,Null), "",colorOrange, styleNoLine | styleDots | styleThick);

Title = Name() + 
" | " + EncodeColor( colorYellow ) + "nbar: " + nbar + EncodeColor( colorWhite ) +
" | " + EncodeColor( colorBrightGreen ) + "Lower Trendline: " + trendline_L + EncodeColor( colorWhite ) +
" | " + EncodeColor( colorRed ) + "Upper Trendline: " + trendline_H + EncodeColor( colorWhite );

signalFlag = ParamToggle("Possible Signals","show|hide",1);
if (signalFlag)
{
// ***** possible buy and short signal *****
Buy = (!IsEmpty(trendline_H_extend) AND Cross(C,trendline_H_extend) AND BarsSince(PHigh) > nbar) OR 
(!IsEmpty(trendline_H_extend2) AND Cross(C,trendline_H_extend2) AND !PHigh) OR
(PHigh AND C > trendline_H_extend2 AND Ref(C,-1) < Ref(trendline_H_extend,-1) AND !IsEmpty(trendline_H_extend) AND !IsEmpty(trendline_H_extend2) );
BuyPrice = C;
Short = (!IsEmpty(trendline_L_extend) AND Cross(trendline_L_extend,C)  AND BarsSince(PLow) > nbar)  OR 
(!IsEmpty(trendline_L_extend2) AND Cross(trendline_L_extend2,C) AND !PLow) OR
(PLow AND C < trendline_L_extend2 AND Ref(C,-1) > Ref(trendline_L_extend,-1) AND !IsEmpty(trendline_L_extend) AND !IsEmpty(trendline_L_extend2)); 
ShortPrice = C;
Sell = 0;
Cover = 0;

PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowUpArrow,shapeNone),colorWhite,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);

PlotShapes(IIf(Short,shapeDownTriangle,shapeNone),colorYellow,0,H,IIf(Short AND Sell,-30,-15));
PlotShapes(IIf(Short,shapeHollowDownTriangle,shapeNone),colorWhite,0,H,IIf(Short AND Sell,-30,-15));
PlotShapes(IIf(Short,shapeHollowCircle,shapeNone),colorWhite,0,ShortPrice,0);
}

7 comments

1. vaenu999
about 14 years ago

IT SHOWN SYNTAX ERROR IN AMIBROKER5.00

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2. empottasch
about 14 years ago

I developed the code in 5.30. Version 5.0 must be at least a few years old. Not sure what has changed but my guess is that if you comment out setbarsrequired(sbrall,sbrall); it will work,

like:
// setbarsrequired(sbrall,sbrall);

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3. vaenu999
about 14 years ago

ya. now it is working after change as u told., and tell me how we observe this and how we trade.

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4. empottasch
about 14 years ago

I posted an updated version in the Amibroker Library, see: “automatic trendlines using fractal patterns”

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5. administrator
about 14 years ago

Thanks, I updated it with the newer version.

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6. empottasch
about 14 years ago

ok thanks. For consistancy the signal flag should be coded as:

if (!signalFlag)

(so the exclamation mark (!) I forgot)

also: can I send you an updated chart as well?

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7. ecopharmist
about 3 years ago

very nice indicator, making the chart analysis much faster.

I was wondering if you could re-write the code to also work with logarithmic scale of the price on the chart.

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