Trend Reversal Detector |
//www.aflcode.com // -- 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 // 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", 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 // 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 // **************************
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