I did give it a shot some while back, until I gave up since I couldn't match
his results. I will post the code to get you started. As a warning, it is
UNFINISHED WORK IN PROGRESS.
You are welcome to check and make it work for you. If you do please let me know.
I am a begginer in amibroker so bear with me.... I actually tried a modified
version of the following script to track recent Volume
accumulation/Distribution but without luck....
Do not backtest this. The results are unrealistic (see bulkowski for
explanation).
Two scripts: One to calculate the composite and one to plot the results.
First Script: Run as SCAN on watchlist of Companies (i.e. SP500)
////////////////////////////////////
_SECTION_BEGIN("CPI Calc");
range=H-L;
NR7=range<Ref(range,-1) AND range<Ref(range,-2) AND range<Ref(range,-3) AND
range<Ref(range,-4) AND range<Ref(range,-5) AND range<Ref(range,-6);
lnr7=LLV(L,7);
lnr7bar=LLVBars( L, 7 );
Hnr7=HHV(H,7);
Hnr7bars=HHV(H,7);
bullbrkt=C>Ref(Hnr7,-1) AND BarsSince(nr7)<=7 ;
bullbrkt=ExRem(bullbrkt,nr7);
bearbrkt=C<Ref(lnr7,-1) AND BarsSince(nr7)<=7 ;
bearbrkt=ExRem(bearbrkt,nr7);
////////////////////
bullsignal=0;
bearsignal=0;
pendingbrkt=0;
for( i = 9; i < BarCount; i++ )
{
if (bullbrkt[i]) ///if bull breakout
{
bullsignal[i]=1; ///set bullsignal to 1 for //this bar
for( n = 0; n < 8; n++ ) //go back 7 bars and //find
NR7 signal
{
if (nr7[i-n]==0) // go backwards and //keep
setting bullsignal to 1 until NR7
{
bullsignal[i-n]=1; ///set
bullsignal to all bars between Breakout bar and NR7 bar
bullsignal[i-n-1]=1; //include
NR7 bar
pendingbrkt[i]=0;
}
else
n=9; //
}
}
else if (bearbrkt[i])
{
bearsignal[i]=1; ///set bearsignal to 1 for //this bar
for( n = 0; n < 8; n++ ) //go back 7 bars and //find
NR7 signal
{
if (nr7[i-n]==0) //
{
bearsignal[i-n]=1; ///set
bullsignal to all bars between Breakout bar and NR7 bar
bearsignal[i-n-1]=1; //include
NR7 bar
pendingbrkt[i]=0;
}
else
n=9; //
}
}
else
{
bullsignal[i]=0;
bearsignal[i]=0;
pendingbrkt[i]=nr7[i];
}
}
pendingbrkt=Flip(pendingbrkt,bullsignal OR bearsignal);
////////////////////
AddToComposite(bullsignal,"~nr7bull","V");
AddToComposite(bearsignal,"~nr7bear","V");
AddToComposite(pendingbrkt,"~nr7PendingBrkts","V");
AddToComposite(1,"~nr7count","V");
Buy=0;
Plot(Hnr7,"",colorBlack);
PlotShapes(IIf(NR7,shapeStar,shapeNone),colorRed,0,H);
PlotShapes(IIf(bullbrkt,shapeUpArrow,shapeNone),colorGreen,0,L);
PlotShapes(IIf(bearbrkt,shapeDownArrow,shapeNone),colorRed,0,H);
Plot(bullsignal,"",colorGreen,styleOwnScale+styleHistogram);
Plot(bearsignal,"",colorRed,styleOwnScale+styleHistogram);
//"pending bkrt" + pendingbrkt;
_SECTION_END();
_SECTION_BEGIN("Price");
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();
/////////////////
Second Script: PLOT COMPOSITE & Stats:
/////////////////////////////////////////
_SECTION_BEGIN("CPI PLOT");
CPI= 100 * Foreign ("~nr7bull","V") / (Foreign ("~nr7bull","V")+ Foreign
("~nr7bEAR","V"));
Plot(CPI,"CPI",colorBlack);
Plot(65,"BULLISH",colorGreen);
Plot(35,"BEARISH",colorRed);
/////////////////////////////////////////////////
Buy=Cross(CPI,65);
Short=Cross(35,CPI);
Sell=Short;
Cover=Buy;
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, CPI, CPI) );
_SECTION_END();
Title = "{{DATE}} - CPI= "
+"bullish Percent breakout="
+" "
+Cpi
+ " Bullish Breakouts= "
+Foreign ("~nr7bull","V")
+""
+ " Bearish Breakouts= "
+Foreign ("~nr7bear","V")
+""
+ " Pending Breakouts= "
+Foreign ("~nr7PendingBrkts","V")
+""
+ " % of companies Pending Signal= "
+100 * Foreign ("~nr7PendingBrkts","V") / Foreign ("~nr7count","V")
+"%";
/////////////////end of 2nd script///////////////////////////////
Good Luck,
Vangelis
--- In [email protected], "droskill" <drosk...@...> wrote:
>
> Appreciate the feedback - I was interest if anyone had programmed the core of
> the CPI to check it on, say, the S&P500.
>
> --- In [email protected], Jeff Henderson <jeffro861@> wrote:
> >
> > Bulkowski is a joke. CPI is a joke because hr doesn't update it till after
> > the fact. I've tried to duplicate his experiments with data only to
> > realize after we communicated via email that he preselects his stock
> > universe using subjective opinion! This guy is every person in sales that
> > I despise. The majority of his results were obtained in a bull market.
> > Your better off looking on ssrn.com for good research.
> >
>
