Discuss, backtest & implement pivot based trading systems here

milind · #21 1st August 2008, 09:21 AM

I noticed that the new pivot code is detecting only major pivots (two lowers on each side for a high pivot). Although a good start and improvement over zig function, you are going to need lot of fine tuning. Minor pivots are considered at times - e.g. PL of 4298.

-- Milind

aad · #22 1st August 2008, 02:18 PM

Quote:

Originally Posted by sikandar

Hi
can you make a pivot with out zig, in back test zig function will show enormous result. Pivot of palms center finger.
thanks for this new thread.
regards
sikandar

Dear Sikandar,

Just implemented. Please backtest and let us know.

Regards,

Abhay

aad · #23 1st August 2008, 02:28 PM

Quote:

Originally Posted by kenneth

Hi Abhay,

As Trader No111 suggested we will repair the speedometer first. Here is AFL I suggest.
_SECTION_BEGIN("Simple Pivot based Trading System");
_SECTION_BEGIN("Price");
SetChartBkGradientFill( ParamColor("BgTop", colorLavender),ParamColor("BgBottom", colorBlack));
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();

UpPivot= ValueWhen(
(Ref(H,-2) > Ref(H, -4)) AND
(Ref(H,-2) > Ref(H, -3)) AND
(Ref(H,-2) > Ref(H, -1)) AND
(Ref(H,-2) > H), Ref(H,-2));

DownPivot= ValueWhen(
(Ref(L,-2) <= Ref(L, -4)) AND
(Ref(L,-2) <= Ref(L, -3)) AND
(Ref(L,-2) <= Ref(L, -1)) AND
(Ref(L,-2) <= L), Ref(L,-2));

Plot(Ref(UpPivot,2), "UpPivot", ParamColor("UpPivot Color",colorRed), ParamStyle("UpPivot Style", styleDashed));
Plot(Ref(DownPivot,2), "DownPivot",ParamColor("DownPivot Color",colorBlue), ParamStyle("DownPivot Style", styleDashed));
Regards
ken

Thanks Ken... this code is now implemented in the new afl. Kindly check, backtest and let me know. I am still finetuning it as it looks cluttered with signals. It may not be possible for me to post in coming 2-3 days as I will be moving around to places during this time.

Best regards,

Abhay

Ank!t007 · #24 1st August 2008, 02:34 PM

What could be the problem ?

Ankit

sikandar · #25 1st August 2008, 02:36 PM

Hi
I am poor knowledge in AMI back testing.Some one with better knowledge will try and post
thanks
sikandar

aad · #26 1st August 2008, 04:10 PM

Quote:

Originally Posted by Ank!t007

What could be the problem ?

Ankit

Strange....

Please post more details like :
scrip name (Does this happen with all scrips or only with this particular scrip ?),
view mode (daily, hourly, etc.).
Amibroker ver..
paste your code.

I will try to simulate the same things at my end. Did you try closing and restarting Amibroker ? (Sometimes, when you are editing code, the chart window is not refreshed. Restarting Amibroker works. I found this hardway although..).

Regards,

Abhay

kenneth · #27 1st August 2008, 04:33 PM

Quote:

Originally Posted by aad

Strange....

Please post more details like :
scrip name (Does this happen with all scrips or only with this particular scrip ?),
view mode (daily, hourly, etc.).
Amibroker ver..
paste your code.

I will try to simulate the same things at my end. Did you try closing and restarting Amibroker ? (Sometimes, when you are editing code, the chart window is not refreshed. Restarting Amibroker works. I found this hardway although..).

Regards,
Abhay

Hi Abhay,

I have not down loaded your code yet. But if code does not have the price plot and if the price is dragged below the code this can happen.

Regards
Ken

kenneth · #28 1st August 2008, 05:03 PM

Hi Abhay

See the attached charts.

Can you figure out why they are different?

Regards
ken

aad · #29 1st August 2008, 09:37 PM

Quote:

Originally Posted by kenneth

Hi Abhay

See the attached charts.

Can you figure out why they are different?

Regards
ken

I think you first compressed candles vertically (by pressing SHIFT+drag) on price axis scale and them moved the whole chart upwards by dragging those charts on price axis scale... Right ? But I dont think thats what is his problem. His candles are not compressed vertically. Problem is : his stop lines have not moved down even after price has moved down. I am not worried about the garbled text signal for which I am definitely going to have a replacement in next version but I am curious to know why the stop lines have not moved down. If you observe carefully, 2 singals are generated, first is on left to initiate short and 2nd is to go long. But the placement of text and arrow (on Y axis is wrong) although singals are generated at correct X position. I also wonder why long position is not covered after the decline started at the right hand side of the chart...

Things will be clear if he posts the details requested.

Regards,

Abhay

kenneth · #30 2nd August 2008, 11:15 PM

Hi Trader111,

Thank you for the excellent post giving whole picture given on "Going With The 60min Flow!!! ". At the same time I notice that your post on this thread has been deleted. Since you have understood the system perfectly Will it be possible for you to write the code as the backtest shows that it can give a profit of 25 to 35 % for 3 months after commission.

Regards
ken