One more thought, over your 5 min window you can have multiple peaks. Or, peak may be achieved after 1 minute and remain flat thereafter. Instead of using a fixed window, you may want to have an expanding window, up to a maximum size of 5 minutes.
________________________________ From: Astor <[email protected]> To: [email protected] Sent: Wed, December 22, 2010 7:26:58 AM Subject: Re: [JBookTrader] peak and reversal detection -> help needed Over your window of interest, i,e.5 min, compute two ratios rise = (max - first)/(max - min) fall = (max - last)/(max - min) The values of the above ratios will be between 0 and 1. The first ratio will tell you if the tension has been rising and how much. The second if it subsequently fell and how much. Define thresholds for each ratio that are meanignful to you (I would recommend using some multiple of the standard deviation of the tension over the window to avoid spurious signals due to changing volatility). IF rise > threshold and fall > threshold THEN peak = true ________________________________ From: new_trader <[email protected]> To: JBookTrader <[email protected]> Sent: Wed, December 22, 2010 5:24:02 AM Subject: [JBookTrader] peak and reversal detection -> help needed can anybody give me some hints on how to implement a peak and reversal detection? the idea behind this: the current strategies like Defender look if some entry and exit criterions are met. this is done by simple comparison: if(tension>= entry) setPosition(1); I want to add an additional crtiterion. I want to look if tension was rising for the last 5 minutes and has reached a peak and now is falling. In the chart you see this as a reversal of tension. if this "chart pattern" is detected and some other conditions are met then a position can be opened. So I need a pattern detector which detects the reversal of tension. can anybody give me some hints how such a thing can be implemented? I hope I have described it in an understandable way :-) -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
