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COG - Center of Gravity for Amibroker (AFL)
empottasch
over 13 years ago
Amibroker (AFL)

Rating:
4 / 5 (Votes 5)
Tags:
amibroker, polynomial

Center of Gravity (COG) indicator, original idea from El Mostafa Belkhayate
Amibroker AFL code by E.M.Pottasch, 2011
Based on code by Fred Tonetti, 2006, n-th order Polynomial fit (see Amibroker Lib)
JohnCW provided Gaussian_Eliminationsv function based on static variables.

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Indicator / Formula

Indicator
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// Center of Gravity (COG) indicator, original idea from El Mostafa Belkhayate
// Amibroker AFL code by E.M.Pottasch, 2011 
// Based on code by Fred Tonetti, 2006, n-th order Polynomial fit (see Amibroker Lib)
// JohnCW provided Gaussian_Eliminationsv function based on static variables.

//SetBarsRequired(sbrAll,sbrAll);
BI=BarIndex();
PF_EndBar=LastValue(BI);
PF_Y=(H+L)/2;
PF_Order=Param("nth Order",3,1,8,1);
PF_ExtraB=Param("Extrapolate Backwards",0,0,50,1);
PF_ExtraF=Param("Extrapolate Forwards",0,0,50,1);
Lookback=Param("Lookback Period",100,50,500,1);
sv=ParamToggle("Use Selected Value","Off|On",1);
norm=ParamToggle("Error Levels","Fibonacci|Normal",1);

if (sv)
{
	PF_EndBar=SelectedValue(bi);
	PF_BegBar=PF_EndBar-Lookback;
}
else
{
	PF_BegBar=PF_EndBar-Lookback;
}
function D2Set(L_value,i,j,L_name)
{
	local L_value,L_name,i,j;
	StaticVarSet(L_name + ":" + i + "," + j, L_value); 
}
function D2Get(i,j,L_name)
{
	local L_name,i,j;
	return(Nz(StaticVarGet(L_name + ":" + i + "," + j),0));
}
function Gaussian_Eliminationsv(GE_Order,GE_N,GE_SumXn,GE_SumYXn)
{
    w=0;Coeff=0;
    n=GE_Order+1;
	for(i=1;i<=n;i++ )
	{
		for(j=1;j<=n;j++)
		{
            if (i==1 AND j==1)
                D2Set(GE_N,i,j,"b");
            else
                D2Set(GE_SumXn[i+j-2],i,j,"b");
        }
        w[i]=GE_SumYXn[i];
    }
    n1=n-1;
    for(i=1;i<=n1;i++)
    {
        big=abs(D2Get(i,i,"b"));
        q=i;
        i1=i+1;
        for(j=i1;j<=n;j++)
        {
            ab=abs(D2Get(j,i,"b"));
            if(ab>=big)
            {
                big=ab;
                q=j;
            }
        }
        if (big!=0)
        {
            if (q!=i)
            {
                for (j=1;j<=n;j++)
                {
                    Temp=D2Get(q,j,"b");
                    D2Set(D2Get(i,j,"b"),q,j,"b");
                    D2Set(Temp,i,j,"b");
                }
                Temp=w[i];
                w[i]=w[q];
                w[q]=Temp;
            }
        }
        for(j=i1;j<=n;j++)
        {
            t=D2Get(j,i,"b")/D2Get(i,i,"b");
            for(k=i1;k<=n;k++)
            {
                D2Set(D2Get(j,k,"b")-t*D2Get(i,k,"b"),j,k,"b");
            }
            w[j]=w[j]-t*w[i];
        }
    }
    if(D2Get(n,n,"b")!=0)
    {
        Coeff[n]=w[n]/D2Get(n,n,"b");
        i=n-1;
        while(i>0)
        {
            SumY=0;
            i1=i+1;
            for(j=i1;j<=n;j++)
            {
                SumY=SumY+D2Get(i,j,"b")*Coeff[j];
            }
            Coeff[i]=(w[i]-SumY)/D2Get(i,i,"b");
            i=i-1;
        }
    }
    return Coeff;
}
function PolyFit(GE_Y,GE_BegBar,GE_EndBar,GE_Order,GE_ExtraB,GE_ExtraF)
{
	BI=BarIndex();
	GE_N=GE_EndBar-GE_BegBar+1;
	GE_XBegin=-(GE_N-1)/2;
	GE_X=IIf(BI<GE_BegBar,0,IIf(BI>GE_EndBar,0,(GE_XBegin+BI-GE_BegBar)));
	GE_X_Max=LastValue(Highest(GE_X));
	GE_X=GE_X/GE_X_Max;
	X1=GE_X;
	GE_Y=IIf(BI<GE_BegBar,0,IIf(BI>GE_EndBar,0,GE_Y));
	GE_SumXn=Cum(0);
	
	GE_SumXn[1]=LastValue(Cum(GE_X));
	GE_X2=GE_X*GE_X;GE_SumXn[2]=LastValue(Cum(GE_X2));
	GE_X3=GE_X*GE_X2;GE_SumXn[3]=LastValue(Cum(GE_X3));
	GE_X4=GE_X*GE_X3;GE_SumXn[4]=LastValue(Cum(GE_X4));
	GE_X5=GE_X*GE_X4;GE_SumXn[5]=LastValue(Cum(GE_X5));
	GE_X6=GE_X*GE_X5;GE_SumXn[6]=LastValue(Cum(GE_X6));
	GE_X7=GE_X*GE_X6;GE_SumXn[7]=LastValue(Cum(GE_X7));
	GE_X8=GE_X*GE_X7;GE_SumXn[8]=LastValue(Cum(GE_X8));
	GE_X9=GE_X*GE_X8;GE_SumXn[9]=LastValue(Cum(GE_X9));
	GE_X10=GE_X*GE_X9;GE_SumXn[10]=LastValue(Cum(GE_X10));
	GE_X11=GE_X*GE_X10;GE_SumXn[11]=LastValue(Cum(GE_X11));
	GE_X12=GE_X*GE_X11;GE_SumXn[12]=LastValue(Cum(GE_X12));
	GE_X13=GE_X*GE_X12;GE_SumXn[13]=LastValue(Cum(GE_X13));
	GE_X14=GE_X*GE_X13;GE_SumXn[14]=LastValue(Cum(GE_X14));
	GE_X15=GE_X*GE_X14;GE_SumXn[15]=LastValue(Cum(GE_X15));
	GE_X16=GE_X*GE_X15;GE_SumXn[16]=LastValue(Cum(GE_X16));
	
	GE_SumYXn=Cum(0);
	GE_SumYXn[1]=LastValue(Cum(GE_Y));
	GE_YX=GE_Y*GE_X;GE_SumYXn[2]=LastValue(Cum(GE_YX));
	GE_YX2=GE_YX*GE_X;GE_SumYXn[3]=LastValue(Cum(GE_YX2));
	GE_YX3=GE_YX2*GE_X;GE_SumYXn[4]=LastValue(Cum(GE_YX3));
	GE_YX4=GE_YX3*GE_X;GE_SumYXn[5]=LastValue(Cum(GE_YX4));
	GE_YX5=GE_YX4*GE_X;GE_SumYXn[6]=LastValue(Cum(GE_YX5));
	GE_YX6=GE_YX5*GE_X;GE_SumYXn[7]=LastValue(Cum(GE_YX6));
	GE_YX7=GE_YX6*GE_X;GE_SumYXn[8]=LastValue(Cum(GE_YX7));
	GE_YX8=GE_YX7*GE_X;GE_SumYXn[9]=LastValue(Cum(GE_YX8));
	
	GE_Coeff=Cum(0);
	
	GE_Coeff=Gaussian_Eliminationsv(GE_Order,GE_N,GE_SumXn,GE_SumYXn);
	
	for (i = 1; i <= GE_Order + 1; i++) printf(NumToStr(i, 1.0) + " = " + NumToStr(GE_Coeff[i], 1.9) + "\n");

	GE_X=IIf(BI<GE_BegBar-GE_ExtraB-GE_ExtraF,0,IIf(BI>GE_EndBar,0,(GE_XBegin+BI-GE_BegBar+GE_ExtraF)/GE_X_Max));
	
	GE_X2=GE_X*GE_X;GE_X3=GE_X2*GE_X;GE_X4=GE_X3*GE_X;GE_X5=GE_X4*GE_X;GE_X6=GE_X5*GE_X;
	GE_X7=GE_X6*GE_X;GE_X8=GE_X7*GE_X;GE_X9=GE_X8*GE_X;GE_X10=GE_X9*GE_X;GE_X11=GE_X10*GE_X; 
	GE_X12=GE_X11*GE_X;GE_X13=GE_X12*GE_X;GE_X14=GE_X13*GE_X;GE_X15=GE_X14*GE_X;GE_X16=GE_X15*GE_X; 
	
	GE_Yn=IIf(BI<GE_BegBar-GE_ExtraB-GE_ExtraF,-1e10,IIf(BI>GE_EndBar,-1e10,GE_Coeff[1]+
	GE_Coeff[2]*GE_X+GE_Coeff[3]*GE_X2+GE_Coeff[4]*GE_X3+GE_Coeff[5]*GE_X4+GE_Coeff[6]*GE_X5+
	GE_Coeff[7]*GE_X6+GE_Coeff[8]*GE_X7+GE_Coeff[9]*GE_X8));
	
	return GE_Yn;
}
	
Yn=PolyFit(PF_Y,PF_BegBar,PF_EndBar,PF_Order,PF_ExtraB,PF_ExtraF);

SetChartOptions(0, chartShowDates);
Title = "Symbol: "+ Name()+ "\nPoly Order: "+PF_Order;
Plot(C, "Close",colorLightGrey,styleCandle);
Plot(Yn,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,colorBlue)),styleThick,Null,Null,PF_ExtraF);

if(norm)
{
	se=StdErr((C-Yn),LookBack);se=se[PF_EndBar];
	//se=StDev(C,LookBack);se=se[PF_EndBar];
	seh2=Yn+ValueWhen(Yn,se*2);
	sel2=Yn-ValueWhen(Yn,se*2);
	seh1=Yn+ValueWhen(Yn,se*1);
	sel1=Yn-ValueWhen(Yn,se*1);
	Plot(seh2,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(255,0,0))),styleThick,Null,Null,PF_ExtraF);
	Plot(sel2,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(0,255,0))),styleThick,Null,Null,PF_ExtraF);
	Plot(seh1,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(255,100,100))),styleDashed,Null,Null,PF_ExtraF);
	Plot(sel1,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(100,255,100))),styleDashed,Null,Null,PF_ExtraF);
}
else
{
	se=StDev(C,LookBack);se=se[PF_EndBar];
	r1=(1+5^0.5)/2;
	se=se*r1;
	seh3=Yn+ValueWhen(Yn,se);
	sel3=Yn-ValueWhen(Yn,se);
	seh2=Yn+ValueWhen(Yn,se/(1.382));
	sel2=Yn-ValueWhen(Yn,se/(1.382));	
	seh1=Yn+ValueWhen(Yn,se/(1.382*1.618));
	sel1=Yn-ValueWhen(Yn,se/(1.382*1.618));	
	
	Plot(seh3,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(255,0,0))),styleThick,Null,Null,PF_ExtraF);
	Plot(sel3,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(0,255,0))),styleThick,Null,Null,PF_ExtraF);
	Plot(seh2,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(255,100,100))),styleDashed,Null,Null,PF_ExtraF);
	Plot(sel2,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(100,255,100))),styleDashed,Null,Null,PF_ExtraF);
	Plot(seh1,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(255,200,200))),styleDashed,Null,Null,PF_ExtraF);
	Plot(sel1,"",IIf(BI>PF_EndBar-PF_ExtraF,colorWhite,IIf(BI<PF_BegBar-PF_ExtraF,colorWhite,ColorRGB(200,255,200))),styleDashed,Null,Null,PF_ExtraF);
}

6 comments

1. parfumeur
over 13 years ago

Super Duper! Thank you Mr. Pottasch for bringing this indicator to our attention, and writing such an elegant implementation.

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2. tradestrong
over 13 years ago

The best indicator so far posted on this website. Really Thanks!!

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3. kbaki
over 13 years ago

how to interpret with chart, when i in/out

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4. morgen
over 13 years ago

For kbaki
Look at the COG chart and see price like “a boat on the river”;the river’s edges are green and red lines.
You buy when price breaked the green line and, for instance, MACD (or other strong indicator) says “buy”.
You sell when price breaked the red line and, for instance, MACD (or other strong indicator) says “sell”.

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5. empottasch
over 13 years ago

I submitted another version which is faster. About the use. I am no expert on this but first thing to keep in mind is that this code “repaints”. So the way you see the lines nicely around the price in the past data is not what you will see in real time. With each new data point that comes in ALL points in the curve change their value with a little bit.

The way I understand how to use it:
1) only buy or short in the direction of the trend.
2) if the trend is up, the lines are pointing up. Then wait for the price to retrace within the lower green band.
3) Wait for the price to settle somewhat, if dropping hard wait. If settled and band are still pointing up you can buy.
4) use a stop since the price may continue to go down.

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6. prasadmuni
almost 13 years ago

Mr POTTASCH,I AM GREATFULL TO YOU FOR THIS WONDERFULL FORMULA AND THE PAINS TAKEN BY YOU.INFACT AFTER I GOT THIS ON THE SITE WISESTOCK TRADER.COM I AM REALLY SEEING SOME GOOD MONEY IN THE MARKET.I COMBINED IT WITH TIMING INDICATOR AND AS YOU SAID I TRADE WITH THE DIRECTION OF THE END LINE.IF SHOWING UP I CONFIRM AND TRADE LONG IF POINTS DOWN TRADE SHORT.MAY THE LORD BESTOW UPON YOU HIS GRACE FOR A LIFETIME.THANKS ADMINISTRATOR FOR THE AFL.
GOD BLESS POTTASCH
THANKYOU
PRASAD
BEST TO BE USED DURING REAL TIME TRADE.NOT POSITIONAL

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