sp() function - Trading Software

sp() function

Obuli Govindaraju
2012-09-18 05:12:07

SP() function returns the swing high or low. Is it possible for it to return the bar number (index) of the swing low/high as well (maybe using another function)?

Thanks,
Obuli

SystemTrade
2012-09-18 07:38:27

Hi Obuli,

I like this question, below is the answer. Changes compared to the original version are commented // v 2.0.
Just add a numeric parameter "output" to the function. If this is 0, than the function will return the price level as before - if it is 1, it will return the lag.

Enjoy!

// ------------------------ C# --------------- sp function v 2.0 with bar lag output ------------------------------

VectorD lows = cFunctions.Low * (1 - TA.Sign(TA.LlvLb(cFunctions.Low, bars)));
VectorD highs = cFunctions.High * (1 - TA.Sign(TA.HhvLb(cFunctions.High, bars)));

QSFormula ll = cFunctions.CreateFormula("lowest_low = LowestSince(condition, array);");
ll.SetParameter("condition", TA.Ref(highs, 1));
ll.SetParameter("array", cFunctions.Low);
ll.Compile();

QSFormula hh = cFunctions.CreateFormula("highest_high = HighestSince(condition, array);");
hh.SetParameter("condition", TA.Ref(lows, 1));
hh.SetParameter("array", cFunctions.High);
hh.Compile();

lows = TA.Iff(lows, ll.GetVectorDouble("lowest_low"), 0);
lows[0] = 0;
highs = TA.Iff(highs, hh.GetVectorDouble("highest_high"), 0);
highs[0] = 0;

VectorD sti = highs - lows;
sti = TA.Iff(TA.Sign(lows) * TA.Sign(highs) * TA.Sign(cFunctions.Open - cFunctions.Close), highs, sti);
sti = TA.Iff(TA.Sign(lows) * TA.Sign(highs) * TA.Sign(cFunctions.Close - cFunctions.Open), lows, sti);
sti = TA.Iff(TA.Sign(lows) * TA.Sign(highs) * (1 - TA.Absolute(TA.Sign(cFunctions.Open - cFunctions.Close))), 0, sti);
sti = TA.ValueWhen(sti != 0, sti);

VectorD sti_bars = TA.Iff(sti > 0, TA.BarsSince(highs) + 1, -1 * TA.BarsSince(lows) - 1); // v 2.0
for (int i = 0; i < point[0]; i++)
{
sti_bars = TA.Iff(sti > 0, -1 * TA.BarsSince(sti < 0) + TA.ValueWhen(sti < 0, sti_bars), TA.BarsSince(sti > 0) + TA.ValueWhen(sti > 0, sti_bars)); // v 2.0
sti = TA.Iff(sti > 0, TA.ValueWhen(sti < 0, sti), TA.ValueWhen(sti > 0, sti));
}
if (output[0] == 0) result = (TA.Iff(point < 0, sti, TA.Absolute(sti)));
if (output[0] == 1) result = (sti_bars); // v 2.0

Obuli Govindaraju
2012-09-19 05:08:54

Thank you very much for your reply. I see that you have modified the code to include the no. of bars between two swing points. However what I was referring to is that the bar index number of the swing point high/low bar in relation to total bars in the chart.

For example if the chart has 3000 bars then the sp(3,0) bar number could be 2800, sp(3,1) bar number could be 2792, sp(3,2) could be 2788 etc.,

The reason I am asking for bar index is because once I get this number I can calculate the number of days between the total bars and the swing point bar (using NbDays) and then use that info to automatically draw Support/Resistance lines using the AutoSR function.

Hope you can understand what I am trying to do here.

Thanks.

SystemTrade
2012-09-19 08:37:03

Hi Obuli,

sp(3, 0, 1) already returns the number of bars since the last swingpoint.
In AutoSR(SR, lag, length) you could use something like sp(3, 0, 1) as lag and (sp(3, 2, 1) - lag) as length if you want to draw a line between the two points.
Note that sp() returns negative values if the swingpoint is a low.

Please be aware that AutoSR will calculate the lowest angle between the two points, which might not be a direct line between the points, for example:
bar high
1 1000 (this is supposed to be the first swing high)
2 990
3 999 (not a swing high, if period is set to 3 as in your example)
4 990
5 990
6 990
7 991 (second swing high)
AutoSR will probably draw a line between bar 3 and bar 7 and not between 1 and 7 as expected.

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