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Darvas Box for Amibroker (AFL)
Rating:
5 / 5 (Votes 2)
Tags:
trading system, amibroker, pivots, darvas
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 | _SECTION_BEGIN ( "Darvas Box SupportResistance by Isfandi" ); box1=0; box2=0; SetBarsRequired (10000,10000); procedure fillDarvas(start,end,swap,top, bottom ) { for ( j = start; j < end; j++) { if ( box1[j] == swap) box1[j]= top ; else box1[j]= bottom; if (box2[j] == swap) box2[j]= bottom ; else box2[j]= top; } } BoxArr1 = 0; BoxArr2 = 0; StateArray = 0; DBuy = 0; DSell = 0; TopArray = 0; BotArray = 0; tick=0; BoxTop = High [0]; BoxBot = Low [0]; swap=0; state = 0; BoxStart = 0; for (i=0; i< BarCount ; i++) { if (state==5) { TopArray[i]=BoxTop; BotArray[i]=BoxBot; if ( Low [i]<(BoxBot*(1-tick/100)) || High [i]>(BoxTop*(1+tick/100))) { fillDarvas(BoxStart,i,swap,BoxTop,BoxBot); state = 1; swap = !swap; BoxTop = High [i]; BoxStart = i; } } else { if ( High [i]<BoxTop) { if ((state<3) || ( Low [i]>BoxBot)) { state++; } else { state=3; } if (state==3) BoxBot= Low [i]; } else { state=1; BoxTop= High [i]; } } StateArray[i] = state; } fillDarvas(BoxStart, BarCount ,swap,BoxTop,BoxBot); Buy = Cover = H > Ref (box1,-1) AND H > Ref (box2,-1) AND Ref (statearray,-1)==5; Short = Sell = L < Ref (box1,-1) AND L < Ref (box2,-1) AND Ref (statearray,-1)==5; PlotShapes ( shapeUpArrow *( Buy ) , colorGreen , 0, H ,Offset= 25); PlotShapes ( shapeDownArrow *( Sell ) , colorRed , 0, L ,Offset= 35); Plot ( box1, "" , 1 + statearray, styleLine ); Plot ( box2, "" , 1 + statearray , styleLine ); _SECTION_END (); _SECTION_BEGIN ( "14 Line HHLL by: Isfandi" ); //****** sahamlq45.blogspot.com ****** of=1; n=100; Hh= HHV ( H ,n); Ll= LLV ( L ,n); p1=ll+(hh-ll)*0.5; p2=ll+(hh-ll)*0.382; p3=ll+(hh-ll)*0.618; p4=ll+(hh-ll)*0.236; p5=ll+(hh-ll)*0.786; Plot (p1, "p1:" ,9, styleDashed ); Plot (p2, "p1:" ,24, styleDashed ); Plot (p3, "p1:" ,24, styleDashed ); Plot (p4, "p1:" ,24, styleDashed ); Plot (p5, "p1:" ,24, styleDashed ); Plot (Hh, "p1:" ,8, styleDashed ); Plot (Ll, "p1:" ,13, styleDashed ); _SECTION_END (); _SECTION_END (); _SECTION_BEGIN ( "Price ADX" ); function PercentR( periods ) { return -100 * ( HHV ( H , periods ) - C )/( HHV ( H , periods ) - LLV ( L , periods ) ); } range = Param ( "Periods" , 14, 2, 200, 1 ); ADX (range); PDI (range) ; MDI (range); SetChartOptions (0, chartShowArrows | chartShowDates ); _N (Title = StrFormat ( "{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " + WriteVal ( V , 1.0 ) + " {{VALUES}}" , O , H , L , C , SelectedValue ( ROC ( C , 1 )) )); Plot ( C , "Close" , IIf ( PDI (range) > MDI (range), ParamColor ( "Up Color" , colorGreen ), ParamColor ( "Down Color" , colorRed ) ), styleNoTitle | ParamStyle ( "Style" ) | GetPriceStyle () ); Bull_Trend=(PercentR( Param ( "Periods" , 14, 2, 100 ) )> -30); Bear_Trend=(PercentR( Param ( "Periods" , 14, 2, 100 ) )< -70); Ribbon_kol= IIf ( Bull_Trend, colorGreen , IIf (Bear_Trend, colorRed , colorYellow )) ; Plot (6, "ribbon" , Ribbon_kol, styleOwnScale | styleArea | styleNoLabel ,-0.5,100); _SECTION_END (); /* ********************************** Code to automatically identify pivots ********************************** */ // -- what will be our lookback range for the hh and ll? farback= Param ( "How Far back to go" ,100,50,5000,10); nBars = Param ( "Number of bars" , 12, 5, 40); // -- Title. Title = Name () + " (" + StrLeft ( FullName (), 15) + ") O: " + Open + ", H: " + High + ", L: " + Low + ", C: " + Close ; // -- Plot basic candle chart PlotOHLC ( Open , High , Low , Close , "BIdx = " + BarIndex () + "\n" + "O = " + O + "\n" + "H = " + H + "\n" + "L = " + L + "\n" + "C " , colorBlack , styleCandle ); GraphXSpace =7; // -- Create 0-initialized arrays the size of barcount aHPivs = H - H ; aLPivs = L - L ; // -- More for future use, not necessary for basic plotting aHPivHighs = H - H ; aLPivLows = L - L ; aHPivIdxs = H - H ; aLPivIdxs = L - L ; nHPivs = 0; nLPivs = 0; lastHPIdx = 0; lastLPIdx = 0; lastHPH = 0; lastLPL = 0; curPivBarIdx = 0; // -- looking back from the current bar, how many bars // back were the hhv and llv values of the previous // n bars, etc.? aHHVBars = HHVBars ( H , nBars); aLLVBars = LLVBars ( L , nBars); aHHV = HHV ( H , nBars); aLLV = LLV ( L , nBars); // -- Would like to set this up so pivots are calculated back from // last visible bar to make it easy to "go back" and see the pivots // this code would find. However, the first instance of // _Trace output will show a value of 0 aVisBars = Status ( "barvisible" ); nLastVisBar = LastValue ( Highest ( IIf (aVisBars, BarIndex (), 0))); _TRACE ( "Last visible bar: " + nLastVisBar); // -- Initialize value of curTrend curBar = ( BarCount -1); curTrend = "" ; if (aLLVBars[curBar] < aHHVBars[curBar]) { curTrend = "D" ; } else { curTrend = "U" ; } // -- Loop through bars. Search for // entirely array-based approach // in future version for (i=0; i<farback; i++) { curBar = ( BarCount - 1) - i; // -- Have we identified a pivot? If trend is down... if (aLLVBars[curBar] < aHHVBars[curBar]) { // ... and had been up, this is a trend change if (curTrend == "U" ) { curTrend = "D" ; // -- Capture pivot information curPivBarIdx = curBar - aLLVBars[curBar]; aLPivs[curPivBarIdx] = 1; aLPivLows[nLPivs] = L [curPivBarIdx]; aLPivIdxs[nLPivs] = curPivBarIdx; nLPivs++; } // -- or current trend is up } else { if (curTrend == "D" ) { curTrend = "U" ; curPivBarIdx = curBar - aHHVBars[curBar]; aHPivs[curPivBarIdx] = 1; aHPivHighs[nHPivs] = H [curPivBarIdx]; aHPivIdxs[nHPivs] = curPivBarIdx; nHPivs++; } // -- If curTrend is up...else... } // -- loop through bars } // -- Basic attempt to add a pivot this logic may have missed // -- OK, now I want to look at last two pivots. If the most // recent low pivot is after the last high, I could // still have a high pivot that I didn't catch // -- Start at last bar curBar = ( BarCount -1); candIdx = 0; candPrc = 0; lastLPIdx = aLPivIdxs[0]; lastLPL = aLPivLows[0]; lastHPIdx = aHPivIdxs[0]; lastHPH = aHPivHighs[0]; if (lastLPIdx > lastHPIdx) { // -- Bar and price info for candidate pivot candIdx = curBar - aHHVBars[curBar]; candPrc = aHHV[curBar]; if ( lastHPH < candPrc AND candIdx > lastLPIdx AND candIdx < curBar) { // -- OK, we'll add this as a pivot... aHPivs[candIdx] = 1; // ...and then rearrange elements in the // pivot information arrays for (j=0; j<nHPivs; j++) { aHPivHighs[nHPivs-j] = aHPivHighs[nHPivs- (j+1)]; aHPivIdxs[nHPivs-j] = aHPivIdxs[nHPivs-(j+1)]; } aHPivHighs[0] = candPrc ; aHPivIdxs[0] = candIdx; nHPivs++; } } else { // -- Bar and price info for candidate pivot candIdx = curBar - aLLVBars[curBar]; candPrc = aLLV[curBar]; if ( lastLPL > candPrc AND candIdx > lastHPIdx AND candIdx < curBar) { // -- OK, we'll add this as a pivot... aLPivs[candIdx] = 1; // ...and then rearrange elements in the // pivot information arrays for (j=0; j<nLPivs; j++) { aLPivLows[nLPivs-j] = aLPivLows[nLPivs-(j+1)]; aLPivIdxs[nLPivs-j] = aLPivIdxs[nLPivs-(j+1)]; } aLPivLows[0] = candPrc; aLPivIdxs[0] = candIdx; nLPivs++; } } // -- Dump inventory of high pivots for debugging /* for (k=0; k<nHPivs; k++) { _TRACE("High pivot no. " + k + " at barindex: " + aHPivIdxs[k] + ", " + WriteVal(ValueWhen(BarIndex()==aHPivIdxs[k], DateTime(), 1), formatDateTime) + ", " + aHPivHighs[k]); } */ // -- OK, let's plot the pivots using arrows PlotShapes ( IIf (aHPivs==1, shapeDownArrow , shapeNone ), colorRed , 0, High , Offset=-15); PlotShapes ( IIf (aLPivs==1, shapeUpArrow , shapeNone ), colorBlue , 0, Low , Offset=-15); _SECTION_BEGIN ( "EMA1" ); P = ParamField ( "Price field" ,-1); Periods = Param ( "Periods" , 15, 2, 200, 1, 10 ); Plot ( EMA ( P, Periods ), _DEFAULT_NAME (), ParamColor ( "Color" , colorCycle ), ParamStyle ( "Style" ) ); _SECTION_END (); _SECTION_BEGIN ( "EMA2" ); P = ParamField ( "Price field" ,-1); Periods = Param ( "Periods" , 15, 2, 300, 1, 10 ); Plot ( EMA ( P, Periods ), _DEFAULT_NAME (), ParamColor ( "Color" , colorCycle ), ParamStyle ( "Style" ) ); _SECTION_END (); |
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Very Good!
Thanks so much!