📄 cci(20) divergence indicator.afl
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//------------------------------------------------------------------------------
//
// Formula Name: CCI(20) Divergence Indicator
// Author/Uploader: Dennis Skoblar
// E-mail: DennisAndLisa@sbcglobal.net
// Date/Time Added: 2006-02-12 09:28:43
// Origin: Divergence Indicator for CCI(20)
// Keywords:
// Level: semi-advanced
// Flags: indicator
// Formula URL: http://www.amibroker.com/library/formula.php?id=586
// Details URL: http://www.amibroker.com/library/detail.php?id=586
//
//------------------------------------------------------------------------------
//
// This is a diveregence indeicator for the CCI(20)...I did not write this
// excellent program and take no credit for it. I just modified the params a
// bit to work with the cci. Thank you to the author for the excellent work!
//
//------------------------------------------------------------------------------
/*
FileName: Mod - Osc-Price Divergence31
October 25, 2005
Version 1.0
====================================
Use with MACD or Stochastics
program detects and plots trendlines on oscillators
generates price divergence data
====================================
Program is built as an include module
Program does not return anything. It plots the divergence area.
The global variables below are available to controlling code
===============================================================
- Modify divergence detection to account for continuation cases properly
- Currently case #18 useed for continuation
*/
// Parameters needed to be defined before calling this module
Issue = CCI(20);
Middle = 0;
//Middle: MACD=0, Stoc=50, RSI=50
Div_Version = 32;
Pattern = Diverge = "";
//Parameters
Trendlines = Param("Trendlines",3,0,3,1);
TradeON = Param("TradeON",1,0,1,1);
Diag_Trace = Param("Diag_Trace",0,0,1,1);
Alerts = Param("Alerts",0,0,1,1);
function ParameterSetup(Osc_Issue)
{
//Variables are defined here if they are assigned values in more than one location
global Pattern, Diverge, PlotDiverge;
global PlotOver1, PLotOver2, Line1, Line2;
global Backtest, explore;
global Sel_BarIndex, Sel_Osc_Issue;
pattern = "";
diverge = "";
PlotDiverge = 0;
Plotover1 = Plotover2 = Line1 = Line2 = 0;
Backtest = Status("action") == 5;
Explore = Status("action") == 4;
Sel_OscIssue = IIf(TradeON==1,LastValue(Osc_Issue),SelectedValue(Osc_Issue));
Sel_BarIndex = IIf(TradeON==1,LastValue(BarIndex()),SelectedValue(BarIndex()));
// verify this segment
if (Backtest ==1)
{
TradeON = 0;
Sel_OscIssue = Osc_Issue;
Sel_BarIndex = BarIndex();
}
} // end ParameterSetup
// ****************************************************************************************** //
// Functions
//
//Determine Peaks - Bearish Reversal
function DetectLastHigh(Osc_Issue)
{
global LastHigh, LastHighBars, TurnDn_OK, Sel_TurnDn_OK;
TurnDn_OK = False;
Sel_TurnDn_OK = False;
Def_Peak1 = 0;
Def_Peak2 = 0;
LastHigh = 0;
LastHighBars = 0;
Def_Peak1 = Osc_Issue < Ref(Osc_Issue,-1) AND Ref(Osc_Issue,-1) > Ref(Osc_Issue,-2) AND Osc_Issue < Ref(Osc_Issue,-2);
Def_Peak2 = Osc_Issue < Ref(Osc_Issue,-1) AND Ref(Osc_Issue,-1) < Ref(Osc_Issue,-2) AND Ref(Osc_Issue,-2) > Ref(Osc_Issue,-3)
AND Osc_Issue < Ref(Osc_Issue,-3);
TurnDn_OK = Def_Peak1 OR Def_Peak2;
Sel_TurnDn_OK = IIf(TradeON==1,LastValue(TurnDn_OK),SelectedValue(TurnDn_OK));
HighBar1 = IIf(Def_Peak1==1,1,0);
HighBar2 = IIf(Def_Peak2==1,1,0);
HighBar = IIf(HighBar1==1,3,4);
LastHigh = HHV(Osc_Issue,HighBar);
LastHighBars = HHVBars(Osc_issue,HighBar);
_TRACE("Sel_TurnDn_OK " + WriteVal(Sel_TurnDn_OK));
if (Diag_Trace==1)
{
_TRACE("Detect LastHigh - " + WriteVal(LastHigh,1.2) + " Def Peak1 " + WriteVal(Def_Peak1,1.0)
+ " Def Peak2 " + WriteVal(Def_Peak2,1.0) + " TurnDn " + WriteVal(TurnDn_OK,1.0));
_TRACE("Detect LastHigh - Osc " + WriteVal(Osc_Issue,1.2) + " Ref Osc -2 " + WriteVal(Ref(Osc_Issue,-2))
+ " Ref Osc -3 " + WriteVal(Ref(Osc_Issue,-3)));
}
return Sel_TurnDn_OK;
} // end DetectLastHigh
function DetectBearishReversal(Osc_Issue,Middle)
{
global SDiv_Code, BT_SDiv_Code, Bear_Diverge;
SDiv_Code = BT_SDiv_Code = Bear_Diverge = 0;
Sel_TurnDn_OK = DetectLastHigh(Osc_Issue);
_TRACE("Bear Reversal - Enter Bear Diverge");
if (Sel_TurnDn_OK ==1 OR Backtest==1)
{
//Find Current Peak
FirstBar_CurrGroup = BarsSince(Cross(Osc_Issue,Middle))+1;
CurrPeak = HHV(Osc_Issue,FirstBar_Currgroup);
CurrPeakBars = HHVBars(Osc_Issue,FirstBar_Currgroup)+0;
Sel_CurrPeak = IIf(TradeON==1,LastValue(CurrPeak),SelectedValue(CurrPeak));
_TRACE("Bear Reversal 02-0 - CPeak " + WriteVal(Sel_CurrPeak,1.2));
//Determine Prior Peak
//Distances computed relative to selected bar
i=0;
_TRACE("Bear Reversal 00 - start of loop ------- ");
do
{
i++;
LastBar_PriorGroup = Sel_BarIndex-ValueWhen(Cross(Middle,Osc_Issue),BarIndex(),i);
FirstBar_PriorGroup = Sel_BarIndex-ValueWhen(Cross(Osc_Issue,Middle),BarIndex(),i+1);
Sel_LastBar_PG = IIf(TradeON==1,LastValue(LastBar_PriorGroup),SelectedValue(LastBar_PriorGroup));
Sel_FirstBar_PG = IIf(TradeON==1,LastValue(FirstBar_PriorGroup),SelectedValue(FirstBar_PriorGroup));
//Lines below need the selected variable to function correctly
Peak_PriorGroup = Ref(HHV(Osc_Issue,Sel_FirstBar_PG - Sel_LastBar_PG+1),-Sel_LastBar_PG+1);
PeakBars_PriorGroup = Ref(HHVBars(Osc_Issue,Sel_FirstBar_PG - Sel_LastBar_PG+1),-Sel_LastBar_PG+1);
Sel_LastBar_PriorGroup = IIf(TradeON==1,LastValue(LastBar_PriorGroup),SelectedValue(LastBar_PriorGroup));
Sel_PeakBars_PriorGroup = IIf(TradeON==1,LastValue(PeakBars_PriorGroup),SelectedValue(PeakBars_PriorGroup));
Sel_Peak_PriorGroup = IIf(TradeON==1,LastValue(Peak_PriorGroup),SelectedValue(Peak_PriorGroup));
Final_Bars = Sel_PeakBars_PriorGroup + Sel_LastBar_PriorGroup;
// Diagnostic
_TRACE("Bear Reversal - loop 01 - i= " + WriteVal(i,1.0) + " FB_PrGr " + WriteVal(Sel_FirstBar_PG,1.0) + " LB_PrGr " + WriteVal(Sel_LastBar_PG,1.0));
_TRACE("Bear Reversal - loop 02 - CPeak " + WriteVal(Sel_CurrPeak,1.2));
_TRACE("Bear Reversal - loop 03 - Pk_PG " + WriteVal(Sel_Peak_PriorGroup,1.2) + " Pk_PGBars " + WriteVal(Sel_PeakBars_PriorGroup,1.0) + " F Bars " + WriteVal(Final_Bars));
_TRACE("Bear Reversal - loop 04 - While1= " + WriteVal((SelectedValue(Peak_PriorGroup)-Middle),1.2) + " Compare= " + WriteVal(((SelectedValue(CurrPeak)-Middle) / 3),1.2));
} while (((Sel_Peak_PriorGroup-Middle) < (Sel_CurrPeak-Middle) / 3) AND i<10);
_TRACE("Bear Reversal 05 - end of loop ------- ");
PriorPeak = Peak_PriorGroup;
PriorPeakBars = Final_Bars;
Sel_LastHigh = IIf(TradeON==1,LastValue(LastHigh),SelectedValue(LastHigh));
Sel_CurrPeak = IIf(TradeON==1,LastValue(CurrPeak),SelectedValue(CurrPeak));
Sel_PriorPeak = IIf(TradeON==1,LastValue(PriorPeak),SelectedValue(PriorPeak));
Sel_LastHighBars = IIf(TradeON==1,LastValue(LastHighBars),SelectedValue(LastHighBars));
Sel_CurrPeakBars = IIf(TradeON==1,LastValue(CurrPeakBars),SelectedValue(CurrPeakBars));
Sel_PriorPeakBars = IIf(TradeON==1,LastValue(PriorPeakBars),SelectedValue(PriorPeakBars));
//Needed for Backtest Arrays
SR1 = CurrPeak > PriorPeak AND LastHigh == CurrPeak; //Curr Peak Higher - Divergence not possible
SR2 = CurrPeak < PriorPeak AND LastHigh == CurrPeak; //Curr Peak Lower
SR3 = Osc_Issue > Middle AND CurrPeak > PriorPeak AND LastHigh < CurrPeak; //Curr Peak Higher - Last High Lower
SR4 = Osc_Issue > Middle AND CurrPeak < PriorPeak AND LastHigh < CurrPeak; //Curr Peak Lower - Best
SR5 = LastHigh < Middle AND LastHigh < CurrPeak AND SR4==0 AND SR3==0; //Continuation signal with Osc_Issue < Middle
//Needed for display
Sel_SR1 = IIf(TradeON==1,LastValue(SR1),SelectedValue(SR1));
Sel_SR2 = IIf(TradeON==1,LastValue(SR2),SelectedValue(SR2));
Sel_SR3 = IIf(TradeON==1,LastValue(SR3),SelectedValue(SR3));
Sel_SR4 = IIf(TradeON==1,LastValue(SR4),SelectedValue(SR4));
Sel_SR5 = IIf(TradeON==1,LastValue(SR5),SelectedValue(SR5));
//Determine Price Divergence
if (Sel_SR1==1)
{
Bear_Diverge = 0;
SDiv_Code = 11;
Diverge = "";
Pattern = "Higher High";
}
if (Sel_SR2==1)
{
Curr_HighPrice = HHV(High,5);
Prior_PeakPrice = Ref(HHV(High,6),-(Sel_PriorPeakBars-3));
Sel_CHighPrice = IIf(TradeON==1,LastValue(Curr_HighPrice),SelectedValue(Curr_HighPrice));
Sel_PPeakPrice = IIf(TradeON==1,LastValue(Prior_PeakPrice),SelectedValue(Prior_PeakPrice));
Sel_Bear_Diverge = Sel_CHighPrice >= Sel_PPeakPrice;
if (Sel_Bear_Diverge==1)
{
Bear_Diverge = 1;
SDiv_Code = 13;
Diverge = "Bearish";
Pattern = "Lower High";
}
else
{
Bear_Diverge = 0;
SDiv_Code = 12;
Diverge = "";
Pattern = "Lower High";
}
}
if (Sel_SR3==1)
{
_TRACE("Bear Reversal - SR3 - True");
Curr_HighPrice = HHV(High,5);
Curr_PeakPrice = Ref(HHV(High,6),-(Sel_CurrPeakBars-3));
Sel_CHighPrice = IIf(TradeON==1,LastValue(Curr_HighPrice),SelectedValue(Curr_HighPrice));
Sel_CPeakPrice = IIf(TradeON==1,LastValue(Curr_PeakPrice),SelectedValue(Curr_PeakPrice));
Sel_Bear_Diverge = Sel_CHighPrice >= Sel_CPeakPrice;
if (Sel_Bear_Diverge==1)
{
Bear_Diverge = 1;
SDiv_Code = 15;
Diverge = "Bearish";
Pattern = "Higher High";
}
else
{
Bear_Diverge = 0;
SDiv_Code = 14;
Diverge = "";
Pattern = "Higher High";
}
}
if (Sel_SR4==1)
{
_TRACE("Bear Reversal - SR4 - True");
Curr_HighPrice = HHV(High,5);
Curr_PeakPrice = Ref(HHV(High,6),-(Sel_CurrPeakBars-3));
Sel_CHighPrice = IIf(TradeON==1,LastValue(Curr_HighPrice),SelectedValue(Curr_HighPrice));
Sel_CPeakPrice = IIf(TradeON==1,LastValue(Curr_PeakPrice),SelectedValue(Curr_PeakPrice));
Sel_Bear_Diverge = Sel_CHighPrice >= Sel_CPeakPrice;
if (Sel_Bear_Diverge==1)
{
Bear_Diverge = 1;
SDiv_Code = 17;
Diverge = "Bearish";
Pattern = "Lower High";
}
else
{
Bear_Diverge = 0;
SDiv_Code = 16;
Diverge = "";
Pattern = "Lower High";
}
} // end Sel_Bear_Diverge
if (Sel_SR5==1)
{
Bear_Diverge = 0;
SDiv_Code = 18;
Diverge = "";
Pattern = "Continuation";
}
BT_SDiv_Code = IIf(SR1==1,11,
IIf(SR2==1 AND Bear_Diverge==0,12,IIf(SR2==1 AND Bear_Diverge==1,13,
IIf(SR3==1 AND Bear_Diverge==0,14,IIf(SR3==1 AND Bear_Diverge==1,15,
IIf(SR4==1 AND Bear_Diverge==0,16,IIf(SR4==1 AND Bear_Diverge==1,17,
IIf(SR5==1 AND SR4==0 AND SR3==0,18,0))))))));
if (Diag_trace)
{
_TRACE("Bear Reversal #00 - Div_Code " + WriteVal(SDiv_Code,1.0) + " -- SR1 " + WriteVal(Sel_SR1,1.0)
+ " SR2 " + WriteVal(Sel_SR2,1.0) + " SR3 " + WriteVal(Sel_SR3,1.0) + " SR4 " + WriteVal(Sel_SR4,1.0));
_TRACE("Bear Reversal #00 - LastHigh " + WriteVal(Sel_LastHigh,1.2) + " CurrPeak " + WriteVal(Sel_CurrPeak,1.2)
+ " PriorPeak " + WriteVal(Sel_PriorPeak,1.2) );
}
if (Backtest == 0)
{
//Assign Values to coordinates
y10=Sel_CurrPeak;
y11=Sel_LastHigh;
x10=BarCount - 1 - Sel_CurrPeakBars - (LastValue(BarIndex()) - Sel_BarIndex);
x11=BarCount - 1 - Sel_LastHighBars - (LastValue(BarIndex()) - Sel_BarIndex);
Line1 = LineArray( x10, y10, x11, y11, 0 );
y20=Sel_PriorPeak;
y21=Sel_CurrPeak;
x20=BarCount - 1 - SelectedValue(Final_Bars) - (LastValue(BarIndex())- Sel_BarIndex);
//x20=BarCount - 1 - Sel_PriorPeakBars - (LastValue(BarIndex())- Sel_BarIndex);
x21=BarCount - 1 - Sel_CurrPeakBars - (LastValue(BarIndex())- Sel_BarIndex);
Line2 = LineArray( x20, y20, x21, y21, 0 );
//Compute area to paint, based on MACD / Stochastic
if (Middle==50)
{
Area_MaxValue = 100;
PlotOver2 = IIf(BarIndex() >= Sel_BarIndex - (x21-x20)-(x11-x10) -1 AND
BarIndex() <= Sel_BarIndex - (x11-x10),Area_MaxValue,0);
PlotOver1 = IIf(BarIndex() >= Sel_BarIndex - (x11-x10) -1 AND BarIndex() <= Sel_BarIndex,Area_MaxValue,0);
if (SelectedValue(SDiv_Code)==15)
{
//Limit the blue bar for divergence to 2nd half of area for code 15
PlotDiverge = IIf(BarIndex() >= Sel_BarIndex - (x11-x10) -1
AND BarIndex() <= Sel_BarIndex AND Diverge=="Bearish",10,0);
}
if (SelectedValue(SDiv_Code)==13 OR SelectedValue(SDiv_Code)==17)
{
PlotDiverge = IIf(BarIndex() >= Sel_BarIndex - (x21-x20)-(x11-x10) -1
AND BarIndex() <= Sel_BarIndex AND Diverge=="Bearish",10,0);
}
}
else
{
Area_MinValue = Max(y10,y20);
PlotOver2 = IIf(BarIndex() >= Sel_BarIndex - (x21-x20)-(x11-x10) -1 AND
BarIndex() <= Sel_BarIndex - (x11-x10),Area_MinValue,0);
PlotOver1 = IIf(BarIndex() >= Sel_BarIndex - (x11-x10) -1 AND BarIndex() <= Sel_BarIndex,Area_MinValue,0);
}
} // end if backtest
if (Diag_Trace==1)
{
_TRACE("Bear Reversal #0 - Backtest " + WriteVal(Backtest,1.0));
_TRACE("Bear Reversal #1 - Sel_TurnDn_OK " + WriteVal(Sel_TurnDn_OK,1.0));
_TRACE("Bear Reversal #2 - CurrPeak " + WriteVal(Sel_CurrPeak,1.2) + " CPBars " + WriteVal(Sel_CurrPeakBars,1.0)
+ " DivCode " + WriteVal(SDiv_Code,1.0));
_TRACE("Bear Reversal #3 - LB_PGroup " + WriteVal(Sel_LastBar_PG,1.0) + " FB_PGroup " + WriteVal(Sel_FirstBar_PG,1.0));
_TRACE("Bear Reversal #4 - Pk_PGroup " + WriteVal(PriorPeak,1.2) + " PB_PG " + WriteVal(PriorPeakBars,1.0));
_TRACE("Bear Reversal #5 - xy1: x10=" + WriteVal(x10,1.0) + " y10=" + WriteVal(y10,1.2)
+ " x11=" + WriteVal(x11,1.0) + " y11=" + WriteVal(y11,1.2));
_TRACE("Bear Reversal $6 - xy2: x20=" + WriteVal(x20,1.0) + " y20=" + WriteVal(y20,1.2)
+ " x21=" + WriteVal(x21,1.0) + " y21=" + WriteVal(y21,1.2));
_TRACE("Bear Reversal - end ================================================ ");
} // end Diag_Trace
} // end Sel_TurnDn_OK
// Add code for troughs
else
{
SDiv_Code = 10;
}
return Sel_TurnDn_OK;
} //end DetectBearishReversal
//Determine Troughs
function DetectLastLow(Osc_Issue)
{
global LastLow, LastLowBars, TurnUp_OK, Sel_TurnUp_OK;
TurnUp_OK = False;
Sel_TurnUp_OK = False;
LastLow = 0;
LastLowBars = 0;
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