تنصيب -- خصائص -- مؤشرات -- لبرنامج -- Wealth-Lab Pro --

 
{#OptVar1 6;4;12;1} // Peak/Trough detection control
{#OptVar2 15;3;30;3} // Sensitivity for matching rectangle peaks/troughs
{#OptVar3 10;0;30;2} // Breakout sensitivity
ChangeScale( #Daily ); // written for daily scale only
type TRect = class
public
idBar: integer; // bar at which rect detected. (When adding to Result, use idBar as the Item)
stBar: integer; // bar at which rect starts
enBar: integer; // bar at which rect ends (confirmed breakout)
pVal, tVal: float; // upper/lower levels
T1, T2: float; // target levels. T1 = rect height; T2 uses equation from SAC article
breakUp: boolean; // true if breakout ***ection is up, false if down; valid only if enBar <> -1
end;
type TLevel = class
public
b1, b2: integer; // bar numbers of the peaks (or troughs) b1 = most recent
MinBar: integer; // bar at which level is crossed when projecting back; used to determine the start of the rect
Value: float; // price level
end;
var rectList: TList = TList.Create; // access this list of rectangles after calling FindRectangles
procedure FindRectangles( PCT, SENS, brkoutPCT: float );
var
Bar, b, b2, n, pb, tb, pbN, tbN, ptBar: integer;
pVal, tVal, f, diff, C: float;
rect: TRect;
Plvl, Tlvl: TLevel;
peakMatch, troughMatch: boolean;
begin
var LastRectEndBar: integer = 0;
var RectActive: boolean = false;
procedure CreateLevel( bar, b1, b2: integer; IsPeak: boolean; Val: float; var lvl: TLevel );
begin
var b: integer = b2;
if IsPeak then // find the previous bar that was greater than this peak (trough)
begin
repeat b := b - 1;
if b < 0 then break;
until PriceClose( b ) > Val;
end
else
repeat b := b - 1;
if b < 0 then break;
until PriceClose( b ) < Val;
lvl.b1 := b1;
lvl.b2 := b2;
lvl.Value := Val;
if b = -1 then
lvl.MinBar := 0
else
lvl.MinBar := b + 1;
end;
function IsARect( bar: integer ): boolean;
begin
Result := ( Plvl.b1 > Tlvl.b1 ) and ( Tlvl.b1 > Plvl.b2 ) and ( Plvl.b2 > Tlvl.b2 )
and ( Tlvl.b2 >= Plvl.MinBar ) and ( Plvl.b2 >= Tlvl.MinBar );
if not Result then
Result := ( Tlvl.b1 > Plvl.b1 ) and ( Plvl.b1 > Tlvl.b2 ) and ( Tlvl.b2 > Plvl.b2 )
and ( Tlvl.b2 >= Plvl.MinBar ) and ( Plvl.b2 >= Tlvl.MinBar );
if Result then
begin
rect := TRect.Create;
rect.stBar := Round( Max( Plvl.MinBar, Tlvl.MinBar ) );
rect.enBar := -1;
rect.idBar := bar;
rect.pVal := Plvl.Value;
rect.tVal := Tlvl.Value;
rect.T1 := 0;
rect.T2 := 0;
rectList.AddObject( bar, rect );
// Print( 'Plvl.b1: ' + IntToStr( Plvl.b1 ) + '; Plvl.b2: ' + IntToStr( Plvl.b2 ) + '; Tlvl.b1: ' + IntToStr( Tlvl.b1 ) + '; Tlvl.b2: ' + IntToStr( Tlvl.b2 ) );
end;
end;
procedure ProjectTargets( Bar: integer; ShowUpper, ShowLower, Breakout: boolean; var R: TRect );
{* Called when rect level crossed (breakout) or when rect is active on the final bar of chart *}
var
d, T1, T2, idBar: float;
Color: integer;
begin
procedure DrawTargets( b: integer; Start, T1, T2: float );
begin
DrawLine( b, Start, b, T2, 0, #Blue, #Dotted );
DrawCircle( 7, 0, b, T2, #Blue, #Thick );
DrawCircle( 7, 0, b, T1, #Red, #Thick );
AnnotateChart( 'T2: ' + FormatFloat( '0.00', T2 ), 0, b - 23, T2, #Blue, 8 );
AnnotateChart( 'T1: ' + FormatFloat( '0.00', T1 ), 0, b - 23, T1, #Red, 8 );
end;
d := R.pVal - R.tVal;
if ShowUpper then
begin
Color := #BlueBkg;
T1 := R.pVal + d;
T2 := R.pVal + 2.3 * Power( d, 0.8 );
DrawTargets( R.idBar, PriceHigh( R.idBar ) * 1.01, T1, T2 );
end;
if ShowLower then
begin
Color := #RedBkg; // Note! The SAC article did not specify downside targets
T1 := R.tVal - d; // For simplicity, I used the same calculation but constrained the target to 0
if T1 < 0 then
begin
T1 := 0;
T2 := 0;
end
else
T2 := R.tVal - 2.3 * Power( d, 0.8 );
if T2 < 0 then T2 := 0;
DrawTargets( R.idBar, PriceLow( R.idBar ) * 0.99, T1, T2 );
end;
if Breakout then
begin
R.T1 := T1; // if Breakout = true, then only ShowUpper OR ShowLower is true
R.T2 := T2;
R.enBar := Bar;
RectActive := false;
LastRectEndBar := Bar;
end;
end;
procedure ShowRectangle( Bar, Color: integer; var R: TRect );
var
brkoutP, brkoutT: float;
begin
brkoutP := 1 + brkoutPCT/100;
brkoutT := 1 - brkoutPCT/100;
DrawLine( R.stBar, R.pVal * brkoutP, Bar, R.pVal * brkoutP, 0, #Blue, #Thin );
DrawLine( R.stBar, R.tVal * brkoutT, Bar, R.tVal * brkoutT, 0, #Red, #Thin );
DrawRectangle( R.stBar, R.pVal, Bar, R.tVal, 0, Color, #Thick, Color, true );
end;
SENS := SENS / 100;
Plvl := TLevel.Create;
Tlvl := TLevel.Create;
for b := 20 to BarCount - 1 do
begin
pb := PeakBar( b, #Close, PCT );
tb := TroughBar( b, #Close, PCT );
if ( pb > 0 ) and ( tb > 0 ) then
break;
end;
for Bar := b + 1 to BarCount - 1 do
begin
if not RectActive then
begin
pbN := PeakBar( Bar, #Close, PCT );
tbN := TroughBar( Bar, #Close, PCT );
if ( pbN > pb ) or ( tbN > tb ) then
begin
pb := pbN;
pVal := Peak( Bar, #Close, PCT ); // Value of current peak to compare for match
ptBar := pbN - 1; // Subtract 1 to find the previous peak
n := 0;
peakMatch := false;
while ( PeakBar( ptBar, #Close, PCT ) > LastRectEndBar ) and ( n < 6 ) do //and ( n < 6 )
begin
f := Peak( ptBar, #Close, PCT );
ptBar := PeakBar( ptBar, #Close, PCT );
diff := f / pVal - 1;
peakMatch := Abs( diff ) <= SENS;
if peakMatch then
begin
pVal := Max( f, pVal ); // highest "matching" peak value
CreateLevel( Bar, pbN, ptBar, true, pVal, Plvl );
peakMatch := true;
break;
end
else if f > pVal then // already above current peak level
break;
ptBar := ptBar - 1;
n := n + 1;
end;
tb := tbN;
tVal := Trough( Bar, #Close, PCT ); // Value of current trough to compare for match
ptBar := tbN - 1;
n := 0;
troughMatch := false;
while TroughBar( ptBar, #Close, PCT ) > LastRectEndBar and ( n < 6 ) do
begin
f := Trough( ptBar, #Close, PCT );
ptBar := TroughBar( ptBar, #Close, PCT );
diff := f / tVal - 1;
troughMatch := Abs( diff ) <= SENS;
if troughMatch then
begin
tVal := Min( f, tVal );
CreateLevel( Bar, tbN, ptBar, false, tVal, Tlvl );
troughMatch := true;
break;
end
else if f < tVal then // already below current trough level
break;
ptBar := ptBar - 1;
n := n + 1;
end;
if peakMatch and troughMatch then
RectActive := IsARect( Bar );
end;
end;
if RectActive then
begin
{* Rectangle active, check for breakouts - could happen on the same bar as detection! *}
if CrossOverValue( Bar, #Close, rect.pVal * (1 + brkoutPCT/100) ) then
begin
ShowRectangle( Bar, #BlueBkg, rect );
ProjectTargets( Bar, true, false, true, rect );
rect.breakUp := true;
end
else if CrossUnderValue( Bar, #Close, Tlvl.Value * (1 - brkoutPCT/100) ) then
begin
ShowRectangle( Bar, #RedBkg, rect );
ProjectTargets( Bar, false, true, true, rect );
rect.breakUp := false;
end
else if Bar = BarCount - 1 then
begin
ShowRectangle( Bar, 997, rect );
ProjectTargets( Bar, true, true, false, rect );
end;
end;
end;
end;
var Bar, p, n: integer;
var breakPrice, stopPr: float;
var R: TRect;
var RectActive: boolean = false;
var enBreakEvenStop: boolean = false;
var PeakTroughPct: float = #OptVar1;
var SensitivityPct: float = #OptVar2 / 10;
var boSensitivityPct: float = #OptVar3 / 10;
{* Initialize the list of rectangles, rectList *}
FindRectangles( PeakTroughPct, SensitivityPct, boSensitivityPct );
{* Access and print some values from the rectangles shown on the chart *}
Print( 'stBar' + #9 + 'idBar' + #9 + 'enBar' + #9 + 'T2');
for n := 0 to rectList.Count - 1 do
begin
R := rectList.Object( n ) as TRect;
Print( IntToStr( R.stBar ) + #9 + IntToStr( R.idBar )
+ #9 + IntToStr( R.enBar ) + #9 + FormatFloat( '0.00', R.T2 ) );
end;
PlotStops;
for Bar := 20 to BarCount - 1 do
begin
if LastPositionActive then
begin
p := LastPosition;
var pePrice: float = PositionEntryPrice( p );
if PositionLong( p ) then
begin
if not enBreakEvenStop then
enBreakEvenStop := PriceHigh( Bar ) >= R.T1;
if enBreakEvenStop then
stopPr := pePrice
else
stopPr := GetPositionRiskStop( p );
if not SellAtStop( Bar + 1, stopPr, p, 'Stop Loss' ) then
SellAtLimit( Bar + 1, R.T2, p, 'T2' );
end
else
begin
if not enBreakEvenStop then
enBreakEvenStop := PriceLow( Bar ) <= R.T1;
if enBreakEvenStop then
stopPr := pePrice
else
stopPr := GetPositionRiskStop( p );
if not CoverAtStop( Bar + 1, stopPr, p, 'Stop Loss' ) then
CoverAtLimit( Bar + 1, R.T2, p, 'T2' );
end;
end
else
begin { Entry logic }
if not RectActive then
begin
enBreakEvenStop := false;
n := rectList.IndexOf( Bar ); // was a rectangle identified on this bar?
if n > -1 then
begin
R := rectList.Object( n ) as TRect;
RectActive := true;
end;
end;
{ breakouts occur on R.enBar }
if RectActive and ( Bar = R.enBar ) then
begin
RectActive := false;
stopPr := ( R.tVal + R.pVal ) / 2;
SetRiskStopLevel( stopPr );
if Bar - R.stBar > 60 then // only trade rectangles that span at least 3 months (daily bars)
if R.breakUp then
begin
BuyAtMarket( Bar + 1, '' );
breakPrice := R.pVal * (1 + boSensitivityPct/100);
end
else
begin
ShortAtMarket( Bar + 1, '' );
breakPrice := R.tVal * (1 - boSensitivityPct/100);
end;
end;
end;
end;