Spot Swing High's / Swing Low's

[fullautotrading]

Quote from croupier:

Thanks Tom, entry and exit are not based on this calculations. These points are just a part of the system. The system combines these points to possible signals, also with other parameters.

Maybe the original question should now be, how do you filter these signals, according to my definition?

Ps. With realtime I meant extracting the signals out of a datafeed. Not that I have a dataset from past market action.

I am not sure what "signals" you mean here.

Again, it seems your concern is a previsive one. You wish to find a "filtered" combination of (no matter how many) "signals" that signify, for instance that the price will go down after a "swing high". This is probably equivalent to believe that past prices carry condensed information on future direction.

Not all people would share the same belief.

Tom

 

[trade4ever2day]

Quote from croupier:

Definition of a swing high:

- My swing high is built out of 5 candles. Like this: CCBABCC

((Where (A) is the "high", (B) has a lower high than (A), (C) has a lower high than (B)))

- Each set of 5 candles has a "high" candle (A) (absolute high) OR two candles that have the same absolute high.

-

I measure 7 candles in your example

Anyway, look here

http://www.investopedia.com/terms/s/swinghigh.asp

You are making things complicated. This method is easy in hindsight only and it does not work in real-time, too many false positives.

 

[jprad]

Quote from croupier:

My swing high is built out of 5 candles. Like this: CCBABCC

((Where (A) is the "high", (B) has a lower high than (A), (C) has a lower high than (B)))

TradeStation includes two functions; SwingHigh() and SwingLow() that will find exactly what you've described here.

Also, "realtime" in this case would be a 3 bar delay before your swing pattern is confirmed.

 

[trade4ever2day]

Quote from jprad:

TradeStation includes two functions; SwingHigh() and SwingLow() that will find exactly what you've described here.

Also, "realtime" in this case would be a 3 bar delay before your swing pattern is confirmed.

The issue here is what kind of backtesting profitability these functions have. The 3 bar delay is a good point/suggestion, I like it. Actually I use Price Action Lab to find patterns with 5 bars and up to 3 bars confirmation delay. The program does not tell you how many bars in each pattern in the results but you can figure that out from the code. What you get though is the historical win rate and profit factor. Many of the patterns are swing high/swing low formations with confirmation.

 

[jprad]

Quote from alexandermerwe:

The issue here is what kind of backtesting profitability these functions have.

That's a separate issue from what the OP was looking for, which was a way to identify his definition of a swing high/low.

The 3 bar delay is a good point/suggestion, I like it.

There's nothing to or not to like. The 3 bar delay is a byproduct of his definition of a swing point. You simply can't declare a given bar as a swing point until after the BCC bars have completed and met his criteria.

 

[croupier]

Quote from jprad:

TradeStation includes two functions; SwingHigh() and SwingLow() that will find exactly what you've described here.

Also, "realtime" in this case would be a 3 bar delay before your swing pattern is confirmed.

Thanks jprad,

This is from the Tradestation Help:

A Swing High occurs when the Price of a bar is at least as high as the same Price on the preceding bar(s), and higher than the same Price on the bar(s) that follow it.

The input Strength is the number of bars on each side of the SwingHigh. A strength of one indicates that the value returned by the input Price must be greater than or equal to the same value returned for the bar on its left and greater than the bar on its right.

The input Length refers to the number of bars being examined for the SwingHigh.

The input Instance refers to which SwingHigh you want to use. For example, if in a twenty-one bar period three swing highs were found, it becomes necessary to specify which SwingHigh is desired. If the most recent SwingHigh is desired, a one (1) would be substituted for the input Instance.

http://help.tradestation.com/09_00/elword/function/swinghigh_function_.htm

This pattern is also formed in sideways / choppy markets. What filter would you add to skip these points?

Croupier

 

[ronblack]

Useless indicators.

 

[jprad]

Quote from croupier:

This pattern is also formed in sideways / choppy markets. What filter would you add to skip these points?

That would depend on what your definition is for a sideways/choppy market.