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Bollinger EMA TRADING SYSTEM WITH EXPLORATION for Amibroker (AFL)
anandnst
over 12 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 7)
Tags:
trading system, amibroker, bands

This is bollinger EMA TRADING SYSTEM. Works well in 15 min real time system. This system is with exploration.

Screenshots

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Indicator / Formula

Indicator
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_SECTION_BEGIN("Background_Setting");
SetChartBkGradientFill( ParamColor("BgTop", colorWhite),

ParamColor("BgBottom", colorAqua),ParamColor("titleblock",colorYellow )); 


_SECTION_BEGIN("SAM");
//------------------------------------------------------------------------------
// Both indicator and exploration code for combination of fibonacci
// retracements identified in "Fibonacci for the Active Trader" by Derrik
// Hobbes. Determines pivots, draws retracements, and explores for them.
//------------------------------------------------------------------------------

// **************************
// BEING EXPLORATION CODE
// **************************

// -- what will be our lookback range for the hh and ll?
nBars = Param("Number of bars", 20, 5, 40);
bTrace = Param("Include trace output", 1, 0, 1);
nNoPivsInSetup = Param("No. Pivs in Setup", 4, 3, 4, 1);
bShowTCZ = Param("Show TCZ", 1, 0, 1); 
nMinBarsBtwPivs = Param("Min. number of bars btw. pivots", 1, 1, 10, 1);
nMinPctBtwPivs = Param("Min. percent diff. btw. pivots", .05, .04, .2, .01);
bLastBarCanBePiv = Param("Last bar can be a pivot", 1, 0, 1); 
retrcTolerance = .01;
tczTolerance = .005;
nNumBarsToScan = 120;

// -- added from exploration version 20040204
nExploreBarIdx = 0;
nExploreDate = 0;
nCurDateNum = 0;
DN = DateNum();
DT = DateTime();

// -- key exploration variables
bTCZLong = False;
bTCZShort = False;
nAnchorPivIdx = 0;

ADX8 = ADX(8);

// 1 - INDICATOR, 2 - COMMENTARY, 3 - SCAN, 
// 4 - EXPLORATION, 5 - BACKTEST / Optimize 
if(Status("action")==1) {
bDraw = True;
bUseLastVis = Param("Use last visible bar", 1, 0, 1);
} else {
bDraw = False;
bUseLastVis = False;
bTrace = False;
nExploreDate = Status("rangetodate");
for (i=LastValue(BarIndex());i>=0;i--) {
nCurDateNum = DN[i];
if (nCurDateNum == nExploreDate) {
nExploreBarIdx = i;
}
}
// -- if(Status("action")==1...
}

GraphXSpace=7;

// -- basic candle chart
// -- if this appears inside if block, strange
// drawing results!
PlotOHLC(Open, High, Low, Close, 
"BIdx = " + BarIndex() + 
"\n" + "O = " + O + "\n"+"H = "+ H + "\n"+"L = " + L 
+ "\n"+"C ",
colorBlack, styleCandle); 

if (bDraw) {
Plot(MA(C, 15), "15 bar MA", colorRed, 
styleLine+styleNoRescale+styleNoLabel);
Plot(MA(C, 55), "55 bar MA", colorBlack, 
styleLine+styleNoRescale+styleNoLabel);
//Plot(MA(C, 233), "233 bar MA", colorDarkRed, 
//	styleLine+styleNoRescale+styleNoLabel);
}

// -- Create 0-initialized arrays the size of barcount
aHPivs = H - H;
aLPivs = L - L;
aHPivHighs = H - H;
aLPivLows = L - L;
aHPivIdxs = H - H;
aLPivIdxs = L - L;
aAddedHPivs = H - H;
aAddedLPivs = L - L;
aLegVol = H - H;
aRetrcVol = H - H;

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);

// -- Initialize value of curTrend
nLastVisBar = LastValue(
Highest(IIf(Status("barvisible"), BarIndex(), 0)));

curBar = IIf(nlastVisBar > 0 AND bUseLastVis, nlastVisBar, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, nExploreBarIdx,
LastValue(BarIndex())));

curTrend = "";
if (aLLVBars[curBar] < aHHVBars[curBar]) 
curTrend = "D";
else 
curTrend = "U";

// -- Loop through bars. Search for 
// entirely array-based approach
// in future version
/* *******************
Find main pivots
******************* */

// -- Make sure there are enough bars!
if (curBar >= nNumBarsToScan) {
for (i=0; i<nNumBarsToScan; i++) {

// -- value of curBar dependent on two parameters
curBar = IIf(nlastVisBar > 0 AND bUseLastVis, 
nlastVisBar-i, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, 
nExploreBarIdx-i,
LastValue(BarIndex())-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
} 
}
/* *******************
Found main pivots
******************* */

/* *************************
Finding missed pivot(s)
************************* */

// -- Start at last bar. Reestablish curBar
curBar = 
IIf(nlastVisBar > 0 AND bUseLastVis, 
nlastVisBar, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, 
nExploreBarIdx,
LastValue(BarIndex()))
);

// -- Make sure I found at least two of each above.
if (nHPivs >= 2 AND nLPivs >= 2) {

lastLPIdx = aLPivIdxs[0];
lastLPL = aLPivLows[0];

lastHPIdx = aHPivIdxs[0];
lastHPH = aHPivHighs[0];

nLastHOrLPivIdx = Max(lastLPIdx, lastHPIdx);

nAddPivsRng = curBar - nLastHOrLPivIdx;
aLLVAfterLastPiv = LLV(L, nAddPivsRng); 
nLLVAfterLastPiv = aLLVAfterLastPiv[curBar];
aLLVIdxAfterLastPiv = LLVBars(L, nAddPivsRng); 
nLLVIdxAfterLastPiv = curBar - aLLVIdxAfterLastPiv[curBar];
aHHVAfterLastPiv = HHV(H, nAddPivsRng); 
nHHVAfterLastPiv = aHHVAfterLastPiv[curBar];
aHHVIdxAfterLastPiv = HHVBars(H, nAddPivsRng); 
nHHVIdxAfterLastPiv = curBar - aHHVIdxAfterLastPiv[curBar];

// -- Later want to add last high pivot only if
// not in buy mode from last and still in trade

/*
Note - I'm only interested in adding pivots if I'm in 
a higher-highs or lower-lows scenario
*/


// -- OK, let's start where the last high pivot occurs after the
// last Low pivot
if (lastHPIdx > lastLPIdx) {

/*	There are at least two possibilities here. One is that
the previous high was higher, indicating that this is a 
possible short retracement or one in the making.
The other is that the previous high was lower, indicating 
that this is a possible long retracement in the working. 
However, both depend on opposing pivots. E.g., if I find 
higher highs, what if I have lower lows? 

If the highs are descending, then I can consider:
- a lower low, and leave it at that
- a higher high and higher low
- a lower low and another lower high
*/
if (aHPivHighs[0] < aHPivHighs[1]) {

if (nLLVAfterLastPiv < aLPivLows[0] AND 
(nLLVIdxAfterLastPiv - lastHPIdx - 1) >= nMinBarsBtwPivs
AND nLLVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aLPivs[nLLVIdxAfterLastPiv] = 1;
aAddedLPivs[nLLVIdxAfterLastPiv] = 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] = nLLVAfterLastPiv;
aLPivIdxs[0] = nLLVIdxAfterLastPiv;
nLPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

// -- Here, the last piv is a high piv, and we have 
// higher-highs. The most likely addition is a 
// Low piv that is a retracement.
} else {

if (nLLVAfterLastPiv > aLPivLows[0] AND 
(nLLVIdxAfterLastPiv - lastHPIdx - 1) >= nMinBarsBtwPivs
AND nLLVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aLPivs[nLLVIdxAfterLastPiv] = 1;
aAddedLPivs[nLLVIdxAfterLastPiv] = 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] = nLLVAfterLastPiv;
aLPivIdxs[0] = nLLVIdxAfterLastPiv;
nLPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}	
// -- The last piv is a high and we have higher highs 
// OR lower highs
}

/* ************************************************** **************
Still finding missed pivot(s). Here, the last piv is a low piv.
************************************************** ************** */
} else {

// -- First case, lower highs
if (aHPivHighs[0] < aHPivHighs[1]) {

if (nHHVAfterLastPiv < aHPivHighs[0] AND 
(nHHVIdxAfterLastPiv - lastLPIdx - 1) >= nMinBarsBtwPivs
AND nHHVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark that for plotting
aHPivs[nHHVIdxAfterLastPiv] = 1;
aAddedHPivs[nHHVIdxAfterLastPiv] = 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] = nHHVAfterLastPiv;
aHPivIdxs[0] = nHHVIdxAfterLastPiv;
nHPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

// -- Second case when last piv is a low piv, higher highs 
// Most likely addition is high piv that is a retracement.
// Considering adding a high piv as long as it is higher
} else {

// -- Where I have higher highs,
if (nHHVAfterLastPiv > aHPivHighs[0] AND 
(nHHVIdxAfterLastPiv - lastLPIdx - 1) >= nMinBarsBtwPivs
AND nHHVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aHPivs[nHHVIdxAfterLastPiv] = 1;
aAddedHPivs[nHHVIdxAfterLastPiv] = 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] = nHHVAfterLastPiv;
aHPivIdxs[0] = nHHVIdxAfterLastPiv;
nHPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

}

} 

// -- If there are at least two of each
}

/* ****************************************
// -- Done with finding pivots
***************************************** */ 

if (bDraw) {

// -- OK, let's plot the pivots using arrows
PlotShapes(
IIf(aHPivs==1, shapeDownArrow, shapeNone), 
colorRed, 0, High, Offset=-15);
PlotShapes(
IIf(aAddedHPivs==1, shapeDownArrow, shapeNone),
colorDarkRed, 0, High, Offset=-15);
PlotShapes(
IIf(aLPivs==1, shapeUpArrow , shapeNone),	
colorGreen, 0, Low, Offset=-15);
PlotShapes(
IIf(aAddedLPivs==1, shapeUpArrow , shapeNone), 
colorDarkGreen, 0, Low, Offset=-15);
}

/* ****************************************
// -- Done with discovering and plotting pivots 
***************************************** */ 

// -- I'm going to want to look for possible retracement
risk = 0;
profInc = 0;
nLeg0Pts = 0;
nLeg0Bars = 0;
nLeg0Vol = 0;
nLeg1Pts = 0;
nLeg1Bars = 0;
nLeg1Vol = 0;
nLegBarsDiff = 0;
nRtrc0Pts = 0;
nRtrc0Bars = 0;
nRtrc0Vol = 0;
nRtrc1Pts = 0;
nRtrc1Bars = 0;
nRtrc1Vol = 0;

minRtrc = 0;
maxRtrc = 0;
minLine = 0;
maxLine = 0;
triggerLine = 0;
firstProfitLine = 0;
triggerInc = 0;
triggerPrc = 0;
firstProfitPrc = 0;
retrcPrc = 0;
retrcBar = 0;
retrcBarIdx = 0;
retrcRng = 0;
aRetrcPrc = H-H;
aRetrcPrcBars = H-H;
aRetrcClose = C;
retrcClose = 0;

// -- Do TCZ calcs. Arrangement of pivs very specific
// for this setup.
if (nHPivs >= 2 AND 
nLPivs >=2 AND 
aHPivHighs[0] > aHPivHighs[1] AND
aLPivLows[0] > aLPivLows[1]) {

tcz500 = 
(aHPivHighs[0] -
(.5 * (aHPivHighs[0] - aLPivLows[1])));

tcz618 = 
(aHPivHighs[0] -
(.618 * (aHPivHighs[0] - aLPivLows[1])));

tcz786 = 
(aHPivHighs[0] -
(.786 * (aHPivHighs[0] - aLPivLows[0])));

retrcRng = curBar - aHPivIdxs[0];
aRetrcPrc = LLV(L, retrcRng);
retrcPrc = aRetrcPrc[curBar];
aRetrcPrcBars = LLVBars(L, retrcRng);
retrcBarIdx = curBar - aRetrcPrcBars[curBar];
retrcClose = aRetrcClose[retrcBarIdx];

// -- bTCZLong setup?
bTCZLong = (

// -- Are retracement levels arranged in
// tcz order?
tcz500 >= (tcz786 * (1 - tczTolerance))
AND 
// .681 is below .786 for long setups
tcz618 <= (tcz786 * (1 + tczTolerance))
AND

// -- Is the low in the tcz range
// -- Is the close >= low of tcz range
// and low <= high of tcz range
retrcClose >= ((1 - retrcTolerance) * tcz618)
AND
retrcPrc <= ((1 + retrcTolerance) * tcz500)
); 

// -- risk would be high of signal bar minus low of zone
//risk = 0;

// -- lower highs and lower lows
} else if (nHPivs >= 2 AND nLPivs >=2 
AND aHPivHighs[0] < aHPivHighs[1] 
AND aLPivLows[0] < aLPivLows[1]) {

tcz500 = 
(aHPivHighs[1] -
(.5 * (aHPivHighs[1] - aLPivLows[0])));

tcz618 = 
(aHPivHighs[0] -
(.618 * (aHPivHighs[1] - aLPivLows[0])));

tcz786 = 
(aHPivHighs[0] -
(.786 * (aHPivHighs[0] - aLPivLows[0])));

retrcRng = curBar - aLPivIdxs[0];
aRetrcPrc = HHV(H, retrcRng);
retrcPrc = aRetrcPrc[curBar];
aRetrcPrcBars = HHVBars(H, retrcRng);
retrcBarIdx = curBar - aRetrcPrcBars[curBar];
retrcClose = aRetrcClose[retrcBarIdx];

bTCZShort = (
// -- Are retracement levels arranged in
// tcz order?

// .500 is below .786 for short setups
tcz500 <= (tcz786 * (1 + tczTolerance))
AND	
// .681 is above .786 for short setups
tcz618 >= (tcz786 * (1 - tczTolerance)) 
AND

// -- Is the close <= high of tcz range
// and high >= low of tcz range
retrcClose <= ((1 + retrcTolerance) * tcz618)
AND
retrcPrc >= ((1 - retrcTolerance) * tcz500)
); 

// -- Risk would be top of zone - low of signal bar 
//risk = 0;
}

Filter = (bTCZShort OR bTCZLong);
AddColumn(C, "Close");
AddColumn(IIf(bTCZLong, 76, 83), "L/S", formatChar);

// **************************
// END EXPLORATION CODE
// **************************

// **************************
// BEGIN INDICATOR CODE
// **************************

// -- what will be our lookback range for the hh and ll?
nBars = Param("Number of bars", 20, 5, 40);
bTrace = Param("Include trace output", 1, 0, 1);
nNoPivsInSetup = Param("No. Pivs in Setup", 4, 3, 4, 1);
bShowTCZ = Param("Show TCZ", 1, 0, 1); 
nMinBarsBtwPivs = Param("Min. number of bars btw. pivots", 1, 1, 10, 1);
nMinPctBtwPivs = Param("Min. percent diff. btw. pivots", .05, .04, .2, .01);
bLastBarCanBePiv = Param("Last bar can be a pivot", 1, 0, 1); 
retrcTolerance = .01;
tczTolerance = .005;
nNumBarsToScan = 120;

// -- added from exploration version 20040204
nExploreBarIdx = 0;
nExploreDate = 0;
nCurDateNum = 0;
DN = DateNum();
DT = DateTime();

// -- key exploration variables
bTCZLong = False;
bTCZShort = False;
nAnchorPivIdx = 0;

ADX8 = ADX(8);

// 1 - INDICATOR, 2 - COMMENTARY, 3 - SCAN, 
// 4 - EXPLORATION, 5 - BACKTEST / Optimize 
if(Status("action")==1) {
bDraw = True;
bUseLastVis = Param("Use last visible bar", 1, 0, 1);
} else {
bDraw = False;
bUseLastVis = False;
bTrace = False;
nExploreDate = Status("rangetodate");
for (i=LastValue(BarIndex());i>=0;i--) {
nCurDateNum = DN[i];
if (nCurDateNum == nExploreDate) {
nExploreBarIdx = i;
}
}
// -- if(Status("action")==1...
}

GraphXSpace=7;

// -- basic candle chart
// -- if this appears inside if block, strange
// drawing results!
PlotOHLC(Open, High, Low, Close, 
"BIdx = " + BarIndex() + 
"\n" + "O = " + O + "\n"+"H = "+ H + "\n"+"L = " + L 
+ "\n"+"C ",
colorBlack, styleCandle); 

if (bDraw) {
Plot(MA(C, 15), "15 bar MA", colorRed, 
styleLine+styleNoRescale+styleNoLabel);
Plot(MA(C, 55), "55 bar MA", colorBlack, 
styleLine+styleNoRescale+styleNoLabel);
//Plot(MA(C, 233), "233 bar MA", colorDarkRed, 
//	styleLine+styleNoRescale+styleNoLabel);
}

// -- Create 0-initialized arrays the size of barcount
aHPivs = H - H;
aLPivs = L - L;
aHPivHighs = H - H;
aLPivLows = L - L;
aHPivIdxs = H - H;
aLPivIdxs = L - L;
aAddedHPivs = H - H;
aAddedLPivs = L - L;
aLegVol = H - H;
aRetrcVol = H - H;

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);

// -- Initialize value of curTrend
nLastVisBar = LastValue(
Highest(IIf(Status("barvisible"), BarIndex(), 0)));

curBar = IIf(nlastVisBar > 0 AND bUseLastVis, nlastVisBar, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, nExploreBarIdx,
LastValue(BarIndex())));

curTrend = "";
if (aLLVBars[curBar] < aHHVBars[curBar]) 
curTrend = "D";
else 
curTrend = "U";

// -- Loop through bars. Search for 
// entirely array-based approach
// in future version
/* *******************
Find main pivots
******************* */

// -- Make sure there are enough bars!
if (curBar >= nNumBarsToScan) {
for (i=0; i<nNumBarsToScan; i++) {

// -- value of curBar dependent on two parameters
curBar = IIf(nlastVisBar > 0 AND bUseLastVis, 
nlastVisBar-i, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, 
nExploreBarIdx-i,
LastValue(BarIndex())-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
} 
}
/* *******************
Found main pivots
******************* */

/* *************************
Finding missed pivot(s)
************************* */

// -- Start at last bar. Reestablish curBar
curBar = 
IIf(nlastVisBar > 0 AND bUseLastVis, 
nlastVisBar, 
IIf(Status("action")==4 AND nExploreBarIdx > 0, 
nExploreBarIdx,
LastValue(BarIndex()))
);

// -- Make sure I found at least two of each above.
if (nHPivs >= 2 AND nLPivs >= 2) {

lastLPIdx = aLPivIdxs[0];
lastLPL = aLPivLows[0];

lastHPIdx = aHPivIdxs[0];
lastHPH = aHPivHighs[0];

nLastHOrLPivIdx = Max(lastLPIdx, lastHPIdx);

nAddPivsRng = curBar - nLastHOrLPivIdx;
aLLVAfterLastPiv = LLV(L, nAddPivsRng); 
nLLVAfterLastPiv = aLLVAfterLastPiv[curBar];
aLLVIdxAfterLastPiv = LLVBars(L, nAddPivsRng); 
nLLVIdxAfterLastPiv = curBar - aLLVIdxAfterLastPiv[curBar];
aHHVAfterLastPiv = HHV(H, nAddPivsRng); 
nHHVAfterLastPiv = aHHVAfterLastPiv[curBar];
aHHVIdxAfterLastPiv = HHVBars(H, nAddPivsRng); 
nHHVIdxAfterLastPiv = curBar - aHHVIdxAfterLastPiv[curBar];

// -- Later want to add last high pivot only if
// not in buy mode from last and still in trade

/*
Note - I'm only interested in adding pivots if I'm in 
a higher-highs or lower-lows scenario
*/


// -- OK, let's start where the last high pivot occurs after the
// last Low pivot
if (lastHPIdx > lastLPIdx) {

/*	There are at least two possibilities here. One is that
the previous high was higher, indicating that this is a 
possible short retracement or one in the making.
The other is that the previous high was lower, indicating 
that this is a possible long retracement in the working. 
However, both depend on opposing pivots. E.g., if I find 
higher highs, what if I have lower lows? 

If the highs are descending, then I can consider:
- a lower low, and leave it at that
- a higher high and higher low
- a lower low and another lower high
*/
if (aHPivHighs[0] < aHPivHighs[1]) {

if (nLLVAfterLastPiv < aLPivLows[0] AND 
(nLLVIdxAfterLastPiv - lastHPIdx - 1) >= nMinBarsBtwPivs
AND nLLVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aLPivs[nLLVIdxAfterLastPiv] = 1;
aAddedLPivs[nLLVIdxAfterLastPiv] = 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] = nLLVAfterLastPiv;
aLPivIdxs[0] = nLLVIdxAfterLastPiv;
nLPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

// -- Here, the last piv is a high piv, and we have 
// higher-highs. The most likely addition is a 
// Low piv that is a retracement.
} else {

if (nLLVAfterLastPiv > aLPivLows[0] AND 
(nLLVIdxAfterLastPiv - lastHPIdx - 1) >= nMinBarsBtwPivs
AND nLLVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aLPivs[nLLVIdxAfterLastPiv] = 1;
aAddedLPivs[nLLVIdxAfterLastPiv] = 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] = nLLVAfterLastPiv;
aLPivIdxs[0] = nLLVIdxAfterLastPiv;
nLPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}	
// -- The last piv is a high and we have higher highs 
// OR lower highs
}

/* ************************************************** **************
Still finding missed pivot(s). Here, the last piv is a low piv.
************************************************** ************** */
} else {

// -- First case, lower highs
if (aHPivHighs[0] < aHPivHighs[1]) {

if (nHHVAfterLastPiv < aHPivHighs[0] AND 
(nHHVIdxAfterLastPiv - lastLPIdx - 1) >= nMinBarsBtwPivs
AND nHHVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark that for plotting
aHPivs[nHHVIdxAfterLastPiv] = 1;
aAddedHPivs[nHHVIdxAfterLastPiv] = 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] = nHHVAfterLastPiv;
aHPivIdxs[0] = nHHVIdxAfterLastPiv;
nHPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

// -- Second case when last piv is a low piv, higher highs 
// Most likely addition is high piv that is a retracement.
// Considering adding a high piv as long as it is higher
} else {

// -- Where I have higher highs,
if (nHHVAfterLastPiv > aHPivHighs[0] AND 
(nHHVIdxAfterLastPiv - lastLPIdx - 1) >= nMinBarsBtwPivs
AND nHHVIdxAfterLastPiv != curBar	) {

// -- OK, we'll add this as a pivot. 
// Mark it for plotting...
aHPivs[nHHVIdxAfterLastPiv] = 1;
aAddedHPivs[nHHVIdxAfterLastPiv] = 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] = nHHVAfterLastPiv;
aHPivIdxs[0] = nHHVIdxAfterLastPiv;
nHPivs++;

// -- Test whether to add piv given last piv is high 
// AND we have lower highs	
}

}

} 

// -- If there are at least two of each
}

/* ****************************************
// -- Done with finding pivots
***************************************** */ 

if (bDraw) {

// -- OK, let's plot the pivots using arrows
PlotShapes(
IIf(aHPivs==1, shapeDownArrow, shapeNone), 
colorRed, 0, High, Offset=-15);
PlotShapes(
IIf(aAddedHPivs==1, shapeDownArrow, shapeNone),
colorDarkRed, 0, High, Offset=-15);
PlotShapes(
IIf(aLPivs==1, shapeUpArrow , shapeNone),	
colorGreen, 0, Low, Offset=-15);
PlotShapes(
IIf(aAddedLPivs==1, shapeUpArrow , shapeNone), 
colorDarkGreen, 0, Low, Offset=-15);
}

/* ****************************************
// -- Done with discovering and plotting pivots 
***************************************** */ 

// -- I'm going to want to look for possible retracement
risk = 0;
profInc = 0;
nLeg0Pts = 0;
nLeg0Bars = 0;
nLeg0Vol = 0;
nLeg1Pts = 0;
nLeg1Bars = 0;
nLeg1Vol = 0;
nLegBarsDiff = 0;
nRtrc0Pts = 0;
nRtrc0Bars = 0;
nRtrc0Vol = 0;
nRtrc1Pts = 0;
nRtrc1Bars = 0;
nRtrc1Vol = 0;

minRtrc = 0;
maxRtrc = 0;
minLine = 0;
maxLine = 0;
triggerLine = 0;
firstProfitLine = 0;
triggerInc = 0;
triggerPrc = 0;
firstProfitPrc = 0;
retrcPrc = 0;
retrcBar = 0;
retrcBarIdx = 0;
retrcRng = 0;
aRetrcPrc = H-H;
aRetrcPrcBars = H-H;
aRetrcClose = C;
retrcClose = 0;

// -- Do TCZ calcs. Arrangement of pivs very specific
// for this setup.
if (nHPivs >= 2 AND 
nLPivs >=2 AND 
aHPivHighs[0] > aHPivHighs[1] AND
aLPivLows[0] > aLPivLows[1]) {

tcz500 = 
(aHPivHighs[0] -
(.5 * (aHPivHighs[0] - aLPivLows[1])));

tcz618 = 
(aHPivHighs[0] -
(.618 * (aHPivHighs[0] - aLPivLows[1])));

tcz786 = 
(aHPivHighs[0] -
(.786 * (aHPivHighs[0] - aLPivLows[0])));

retrcRng = curBar - aHPivIdxs[0];
aRetrcPrc = LLV(L, retrcRng);
aRetrcPrcBars = LLVBars(L, retrcRng);

retrcPrc = aRetrcPrc[curBar];
retrcBarIdx = curBar - aRetrcPrcBars[curBar];
retrcClose = aRetrcClose[retrcBarIdx];

// -- bTCZLong setup?
bTCZLong = (

// -- Are retracement levels arranged in
// tcz order?

// .500 is above .786 for long setups
tcz500 >= (tcz786 * (1 - tczTolerance))
AND 
// .681 is below .786 for long setups
tcz618 <= (tcz786 * (1 + tczTolerance))
AND

// -- Is the low in the tcz range
// -- Is the close >= low of tcz range
// and low <= high of tcz range
retrcClose >= ((1 - retrcTolerance) * tcz618)
AND
retrcPrc <= ((1 + retrcTolerance) * tcz500)
); 

// -- risk would be high of signal bar minus low of zone
//risk = 0;

// -- lower highs and lower lows
} else if (nHPivs >= 2 AND nLPivs >=2 
AND aHPivHighs[0] < aHPivHighs[1] 
AND aLPivLows[0] < aLPivLows[1]) {

tcz500 = 
(aHPivHighs[1] -
(.5 * (aHPivHighs[1] - aLPivLows[0])));

tcz618 = 
(aHPivHighs[0] -
(.618 * (aHPivHighs[1] - aLPivLows[0])));

tcz786 = 
(aHPivHighs[0] -
(.786 * (aHPivHighs[0] - aLPivLows[0])));

retrcRng = curBar - aLPivIdxs[0];
aRetrcPrc = HHV(H, retrcRng);
retrcPrc = aRetrcPrc[curBar];
aRetrcPrcBars = HHVBars(H, retrcRng);
retrcBarIdx = curBar - aRetrcPrcBars[curBar];
retrcClose = aRetrcClose[retrcBarIdx];

bTCZShort = (
// -- Are retracement levels arranged in
// tcz order?

// .500 is below .786 for short setups
tcz500 <= (tcz786 * (1 + tczTolerance))
AND	
// .681 is above .786 for short setups
tcz618 >= (tcz786 * (1 - tczTolerance)) 
AND

// -- Is the close <= high of tcz range
// and high >= low of tcz range
retrcClose <= ((1 + retrcTolerance) * tcz618)
AND
retrcPrc >= ((1 - retrcTolerance) * tcz500)
); 

// -- Risk would be top of zone - low of signal bar 
//risk = 0;
}

// -- Show zone if present
if (bTCZShort OR bTCZLong) { 

// -- Be prepared to see symmetry
if (bTCZShort) {
if (aLPivIdxs[0] > aHPivIdxs[0]) {	
// -- Valuable, useful symmetry information 
nRtrc0Pts = aHPivHighs[0] - aLPivLows[1];
nRtrc0Bars = aHPivIdxs[0] - aLPivIdxs[1] + 1;
nRtrc1Pts = retrcPrc - aLPivLows[0];
nRtrc1Bars = retrcBarIdx - aLPivIdxs[0] + 1;
} else {
nRtrc0Pts = aHPivHighs[1] - aLPivLows[1];
nRtrc0Bars = aHPivIdxs[1] - aLPivIdxs[1] + 1;
nRtrc1Pts = aHPivHighs[0] - aLPivLows[0];
nRtrc1Bars = aHPivIdxs[0] - aLPivIdxs[0] + 1;
}
} else { // bLongSetup
if (aLPivIdxs[0] > aHPivIdxs[0]) {	
nRtrc0Pts = aHPivHighs[0] - aLPivLows[1];
nRtrc0Bars = aHPivIdxs[0] - aLPivIdxs[1] + 1;
nRtrc1Pts = retrcPrc - aLPivLows[0];
nRtrc1Bars = retrcBarIdx - aLPivIdxs[0] + 1;
} else {
nRtrc0Pts = aHPivHighs[1] - aLPivLows[0];
nRtrc0Bars = aLPivIdxs[0] - aHPivIdxs[1] + 1;
nRtrc1Pts = aHPivHighs[0] - aLPivLows[0];
nRtrc1Bars = aLPivIdxs[0] - aHPivIdxs[0] + 1;
}
}

if (bShowTCZ) {
Plot(
LineArray(	IIf(bTCZLong, aHPivIdxs[0], aLPivIdxs[0]),
tcz500, curBar, tcz500 , 0), 
"tcz500", colorPaleBlue, styleLine);
Plot(
LineArray(	IIf(bTCZLong, aHPivIdxs[0], aLPivIdxs[0]),
tcz618, curBar, tcz618, 0), 
"tcz618", colorPaleBlue, styleLine);
Plot(
LineArray(	IIf(bTCZLong, aHPivIdxs[0], aLPivIdxs[0]),
tcz786, curBar, tcz786, 0), 
"tcz786", colorTurquoise, styleLine);
}

// -- if (bShowTCZ)
}

if (bDraw) {
Title = Name() + " (" + StrLeft(FullName(), 10) + 
") ATR: " + NumToStr(ATR(1), 4.2) + " ( " + 
NumToStr((C - Ref(C, -1)), 4.2) + " / " +
NumToStr((((C - Ref(C, -1)) / Ref(C, -1)) * 100), 2.1) + "% ) " +
WriteVal( SelectedValue( DateTime() ), formatDateTime) +
" \nO: " + Open + 
", \nH: " + High + 
", \nL: " + Low + 
", \nC: " + Close + ", \n" +
//	"Risk: " + WriteVal(risk, 2.1) + "% \n" +
"Rtrc 0/1 Pts: " + WriteVal(nRtrc0Pts, 2.1) + "/" + 
WriteVal(nRtrc1Pts, 2.1) + " \n" +
"Rtrc 0/1 Bars: " + WriteVal(nRtrc0Bars, 2.0) + "/" +
WriteVal(nRtrc1Bars, 2.0);
}

// **************************
// END INDICATOR CODE
// **************************

_SECTION_END();

_SECTION_BEGIN("SAM");
P = ParamField("Price field",-1);
Periods = Param("Periods", 19, 2, 300, 1 );
Width = Param("Width", 2.1, 0, 10, 0.05 );
Color = ParamColor("Color", colorBlue );
Style = ParamStyle("Style", styleLine | styleNoLabel);

CenterLine = MA( P, Periods );
KTop = CenterLine + Width * ATR( Periods );
KBot = CenterLine - Width * ATR( Periods );

Plot( KTop, "KBTop" + _PARAM_VALUES(), Color, Style ); 
Plot( KBot, "KBBot" + _PARAM_VALUES(), Color, Style ); 
_SECTION_END();

11 comments

1. mrnakar@gmail.com
over 12 years ago

Looking in Future

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2. sateshchand
over 12 years ago

repainting signals not much use

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3. kv_maligi
over 12 years ago

If looking into future/repainting signals, it creates lots of fear while trading. Avoid this.

Initially when i saw the chart & code, i thought its Holygrail. Anyway, thanks for author

Viswanath

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4. viet
over 12 years ago

I think this is a great system. Once we create buy and sell signals for this system, its usefulness will be greatly enhanced. Many thanks for such great work and great post!

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5. mrnakar@gmail.com
over 12 years ago

actually its gr8 system if we understand this system parfactly
system based on Support & Resistance level on UPPER or Lower Bollinger Band
thats whay its Repainting ……………

one can keep Watching it for one week to understand it

thanks ……………

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6. nepolien
over 12 years ago

so verry good forfamans

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7. rajasirarul
over 12 years ago

sir congrats. very fine system. Will u pls explain the two line between bands. it will be useful for exit. I am using 5min time frame and its working fine.
keep it up.

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8. swaroop
over 12 years ago

good….
what is the use of ‘ledline?’
what indicates it is?

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9. inkfish123456
almost 12 years ago

Hi, do you have this for metatrader 4?

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10. amitrandive
almost 12 years ago

Keeps repainting signals
Also in real time gives signals after 10 bars , which is of no use.
Kindly modify to change the afl. Also it should not keep repainting signals.

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11. acedubai
almost 9 years ago

When i move the cursor on the chart, the info panel of amibroker keeps on flickering. Please let me know how to rectify this.

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