Hello,
This has been answered already in my previous response in this thread:
http://finance.groups.yahoo.com/group/amibroker/message/148933
(It was back in 2003
http://www.amibroker.com/members/traders/11-2003.html
when the formula was provided in the Traders' Tips section that:
a) shows how to use Zig/Peak/Trough SAFELY in backtest
b) provides actual code that marks points where you know when
Peak/Trough is true
The 'expected lag' is dynamic and is given by distance between
peak/trough and
the signal in ZZT variable. ZZT variable crosses zero when peak / trough
is guaranteed. Such signals are backtest-safe.
Once again the formula:
|array = *Close*;
amount = Param("Amount", 15.5, 1, 50, 0.5 );
zz0 = Zig( array, amount );
zz1 = Ref( zz0, -1 );
zz2 = Ref( zz0, -2 );
tr = ValueWhen(zz0 > zz1 *AND* zz1 < zz2, zz1);
pk = ValueWhen(zz0 < zz1 *AND* zz1 > zz2, zz1);
PU = tr + 0.01 * abs(tr)*amount;
PD = pk - 0.01 * abs(pk)*amount;
ZZT = IIf( array >= PU *AND* zz0 > zz1, 1,
IIf( array <= PD *AND* zz0 < zz1, -1, 0 ) );
ZZT = ValueWhen( ZZT != 0, ZZT );
// plot price bar chart
Plot( *Close*, "Price", *colorBlack*, *styleBar* );
// plot Zigzag and zigzag trend
Plot( ZZT, "ZigZagTrend", *colorRed*, *styleOwnScale* );
Plot( zz0, "ZigZag line", *colorBlue*, *styleThick* );
// Plot the ribbon
ribboncol= IIf( ZZT > 0, *colorGreen*, *colorRed* );
Plot( 2, "ZZT Ribbon", ribboncol, *styleArea* | *styleOwnScale* |
*styleNoLabel*, 0, 100 );
*GraphXSpace* = 10;
*Buy* = *Cover* = Cross( ZZT, 0 );
*Sell* = *Short* = Cross( 0, ZZT );
// plot arrows
PlotShapes( *Buy* + 2 * *Sell*, ribboncol, 0, IIf( *Buy*, *L*, *H* ),
-30 );
PlotShapes( *Buy* + 2 * *Sell*, ribboncol, 0, IIf( *Buy*, *L*, *H* ),
-30 );|
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-04-27 08:41, Ton Sieverding wrote:
Tomasz how do I calculate this 'Expected Lag' in Bars? So how do I
know when the Peak/Through is true ?
Regards, Ton.
----- Original Message -----
*From:* Tomasz Janeczko <mailto:gro...@amibroker.com>
*To:* amibroker@yahoogroups.com <mailto:amibroker@yahoogroups.com>
*Sent:* Tuesday, April 27, 2010 12:59 AM
*Subject:* Re: [amibroker] Re: How to backtest or plot a script,
which uses SelectedValue or LastValue?
Hello,
> The script never looks after the BAR, but, of course, it does look
after the peak if the peak is in the past.
This is *exactly* looking into the future. You can only claim a peak
when you look several bars AFTER the peak
- that is looking into the future in purest form.
You don't know that the PEAK occurred until many bars AFTER the fact.
You can call it "expected lag" and I am calling it "looking into the
future", both having same net effect
- the result is useless for profitable trading, as useless as knowing
what kind of market cycle we had one year ago.
You can not profit from the information that is several bars
(days) old.
For me this ends this purely academic discussion.
Best regards,
Tomasz Janeczko
amibroker.com
On 2010-04-26 23:43, jhnlmn wrote:
>
> Hi,
>
>
>> You admit that you are complete novice, yet you make definitive
statements ...
>>
> Sure. This is because I wrote a script, which generates exactly
the same output as Peak/Trough in WL.
> So, I know for sure that this script does not use a Zigzag (WL
simply does not have this indicator)
> and it does not look into the future, that is when I call
TroughBars[bar] I do know that it does not
> use any bars with indexes> bar. So, it does not look into the
future, but have some lag,
> which is expected. Please, correct me if I am wrong.
>
>
>> (i.e. you must look at bars that occur AFTER THE PEAK) and find
out that the price moved in opposite
>>
> Sure, but I never look AFTER THE BAR when I call
TroughBars[bar]. Therefore, my script does not look into the
future. That is, it will generate exactly the same answer no
matter whether bar is the last in the series or some time later
when bar will be in the middle of historical data.
>
>
>> Finding "that reversal happens" is where looking into the
future occurs.
>>
> No. The script never looks after the BAR, but, of course, it
does look after the peak if the peak is in the past.
>
>
>
>> *IS* actually zig-zag algorithm and that peak and trough
functions are _products_ of zig-zag algorithm.
>>
> This may be true, but it is not really important. It does not
matter how a particular trading program chose to name each
function. It is more important what exactly the function does, in
particular whether it does look into the future, that is when I
call TroughBars[bar] will it look after the bar or not? And here,
if I understood you correctly, AB is profoundly different from WL
because in WL TroughBars[bar] does NOT touch any data after bar,
but AB does.
>
>
>> You can not simply remove SelectedValue from such formula
because it relied on manual input
>>
> Of course. I stated this in my original question.
>
>
>> In order to remove SelectedValue you would need to come up
first with
>> conditions that say when to start and when to end the trendline
because it is not always obvious.
>>
> I already did that in my post
> http://finance.groups.yahoo.com/group/amibroker/message/148924
<http://finance.groups.yahoo.com/group/amibroker/message/148924>
> I, as well as other users, found it very difficult to understand
AB array-based language,
> so it is very likely that I made some mistake in my rewritten
scripts.
> So, I would appreciate if somebody with experience will comment
on it.
>
> Thank you
> John
>
>
>
>
>
>
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