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In "Candlesticks, Condensed"
in this issue, author Dave Cline presents a way to condense candlestick chart information
so that statistics about candlestick patterns can be derived. The AmiBroker code provided
here presents an AmiBroker Formula Language (AFL) formula that produces condensed candlestick
pattern statistics similar to those presented in Cline’s article.
SegmentCount
= 5;
SegmentDivisor = 100
/ SegmentCount;
CandleRange = High
- Low;
AvgRange = MA(
CandleRange, 6
);
RangeMultiplier = CandleRange / AvgRange;
CandleRange
/= 100;
RangeMultiplier = Min(
RangeMultiplier, 1
);
HO = round(
( RangeMultiplier * ( High
- Open
) / CandleRange ) / SegmentDivisor );
HC = round(
( RangeMultiplier * ( High
- Close
) / CandleRange ) / SegmentDivisor );
OL = round(
( RangeMultiplier * ( Open
- Low
) / CandleRange ) / SegmentDivisor );
DigitMult =
SegmentCount + 1;
//
signature is encoded to fit into integer
CandleSignature
= DigitMult * DigitMult * HO + DigitMult * HC + OL;
Title
= Name()
+ " "
+ Date()
+ " "
+ StrFormat(
"Signature
%.0f:%.0f:%.0f", HO, HC, OL
);
Plot(
C,
"Close",
colorDefault,
styleCandle
);
Filter
= False;
//
statistics
Pct1P = Pct2P =
Pct3P = Pct4P = 0;
Avg1P = Avg2P = Avg3P = Avg4P = 0;
//
count of occurrence of patterns
Cnt
= 0;
MaxSegment = SegmentCount * DigitMult * DigitMult +
SegmentCount * DigitMult + SegmentCount;
if(
BarCount
> MaxSegment )
{
//
changes over 1..4 periods
// you can change
it to Close - Ref( Close, -1 )
// to get dollar
gains instead of percent changes
Chg1P = ROC(
Close,
1
);
Chg2P = ROC(
Close,
2
);
Chg3P = ROC(
Close,
3
);
Chg4P = ROC(
Close,
4
);
//
number of times given pattern is followed by UP movement
Up1P = Up2P = Up3P = Up4P = 0;
//
gain
Gain1P =
Gain2P = Gain3P = Gain4P = 0;
for(
i = 0;
i < BarCount
- 4;
i++ )
{
sig = CandleSignature[ i ];
if(
sig >= 0
&& sig <= MaxSegment )
{
Cnt[ sig
]++; // increase
occurrence counter for given sig
// if change >
0 increase UP counter
Up1P[ sig ] += Chg1P[ i + 1
] > 0;
//
add change to total gain
Gain1P[ sig ] += Chg1P[ i + 1
];
Up2P[ sig ] +=
Chg1P[ i + 2
] > 0;
Gain2P[ sig ]
+= Chg1P[ i + 2
];
Up3P[
sig ] += Chg1P[ i + 3
] > 0;
Gain3P[ sig ]
+= Chg1P[ i + 3
];
Up4P[ sig ]
+= Chg4P[ i + 1
] > 0;
Gain4P[ sig ]
+= Chg4P[ i + 1
];
}
}
for(
sig = 0;
sig <= MaxSegment; sig++ )
{
// if any patterns
of given signature were found
if(
Cnt[ sig ] )
{
qty
= Cnt[ sig ];
Pct1P[
sig ] = Up1P[ sig ] / qty;
Pct2P[
sig ] = Up2P[ sig ] / qty;
Pct3P[
sig ] = Up3P[ sig ] / qty;
Pct4P[
sig ] = Up4P[ sig ] / qty;
Avg1P[
sig ] = Gain1P[ sig ] / qty;
Avg2P[
sig ] = Gain2P[ sig ] / qty;
Avg3P[
sig ] = Gain3P[ sig ] / qty;
Avg4P[
sig ] = Gain4P[ sig ] / qty;
}
}
Filter
= Cnt;
}
else
{
PopupWindow("Not
enough bars in " + Name()
+ " Please
select symbols that have more than "
+
MaxSegment
+ " bars",
"Problem"
);
}
//
multiply factors by 100 to get percents
Pct1P
*= 100;
Pct2P *= 100;
Pct3P *= 100;
Pct4P *= 100;
bi = BarIndex();
Sig1 = bi % DigitMult;
Sig2 = floor(
bi / DigitMult ) % DigitMult;
Sig3 = floor(
bi / ( DigitMult * DigitMult ) );
Signature = 100
* Sig3 + 10
* Sig2 + Sig1;
SetOption("NoDefaultColumns",
True
);
AddTextColumn(
Name(),
"Symbol"
);
AddColumn(
Signature, "Signature",
3.0
);
AddColumn(
Cnt, "Count",
1.0
);
AddColumn(
Pct1P, "Pct1P%",
1.1
);
AddColumn(
Pct2P, "Pct2P%",
1.1
);
AddColumn(
Pct3P, "Pct3P%",
1.1
);
AddColumn(
Pct4P, "Pct4P%",
1.1
);
AddColumn(
Avg1P, "Avg1P%",
1.1
);
AddColumn(
Avg2P, "Avg2P%",
1.1
);
AddColumn(
Avg3P, "Avg3P%",
1.1
);
AddColumn(
Avg4P, "Avg4P%",
1.1
);