gordon rose.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

// -- 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", 12, 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, 21), "21 bar MA", colorAqua, 
		styleLine+styleNoRescale+styleNoLabel);
	Plot(MA(C, 55), "55 bar MA", colorGreen, 
		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