How to program to identify HH (Higher High) or LL (Lower Low) or LH (Lower High) or Higher Low( HL) above and below each Peak as shown in below chart?
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- #3
- Edited Aug 21, 2007 2:55pm Aug 20, 2007 11:29pm | Edited Aug 21, 2007 2:55pm
- Joined Sep 2006 | Status: ... | 8,113 Posts
How to program to identify HH (Higher High) or LL (Lower Low) or LH (Lower High) or Higher Low( HL) above and below each Peak as shown in below chart?
I’ll try to offer a little more detail than the last poster.
It’s possible that there’s a custom indicator that already does this, but I’ve searched my library (of over 500 MT4 indicators), and can’t find one.
Re defining “local” highs and lows, what appears obvious to the naked eye is not necessarily as simple to model mathematically. I wrote a charting package about 5 years back (not quite as comprehensive as MT4 though!
), and was forced to address these same kind of issues.One approach is “slicing” the chart into sections, or cycles. It’s then a matter of looping through the bars/candles to find the highest high and/or lowest low in each section. At least that’s the way I approached it.
Here are some possible starting points:
1. Very primitive: X bars in each section, where X is an arbitrary value. An alternative view is to take each bar on the chart and find the highest high and lowest low X bars forward or backward from that point.
2. Use trend following indicators, or oscillators to define the sections as “phases”. As a simple example, when a faster moving average crosses above a slower moving average you’re in an “upward” phase; when it moves below the slower MA, you’re in a “downward” phase. Then it’s a case of finding the highest high in each upward phase, and lowest low in each downward phase. Experiment with various MA calibrations (optimizations) to capture the “cycles” that you wish, or combinations of trend followers (MAs, SAR, countback lines, or oscillators [e.g. RSI, Stochastic or MACD crossing a trigger line, or the midpoint]) to get something close to the desired result. Virtually all of these are all built into MQL4 as functions (iMA, iMACD, iRSI, etc), so it’s not necessary to manually code each algorithm.
3. Instead of slicing the chart into sections, use something like Tom Demark supply and demand points, i.e. a high that’s higher than all of the highs X bars either side of it is a local high; vice versa for a low. One problem with using TD supply/demand points is that it’s possible to get two or more local highs without an intervening low, or vice versa; so you would need to compare them and exclude all but the most extreme one. I’ve included the Demark.MQ4 indicator below. For further explanation, see my posts here: http://www.forexfactory.com/showthread.php?t=37073
4. I’ve included the Zigzag .MQ4 indicator below. Not 100% sure how its algorithm operates; you’ll need to reverse engineer the code for yourself, or perform a search of the forum here for more info.
Of course once you’ve established local highs and lows, it’s simply a case of comparing successive highs and lows to establish whether each is higher or lower than its predecessor.
For whatever it's worth, method #2 was the way I ended up doing it.
Hope this gives you a starting point. It’s not necessarily a trivial task.
Good luck
David
Thank you very hanover.
I have programed it in smartquant C#, it turn out quite close, can further improve on it
I have programed it in smartquant C#, it turn out quite close, can further improve on it
Inserted Code
using System;
using System.Drawing;
using OpenQuant.API;
using OpenQuant.API.Indicators;
public class MyStrategy : Strategy
{
private int barcount = 0;
private double barclose = 0;
private double barlow = 0;
private double barhigh = 0;
private double barlowest = 999999.0;
private double barhighest = 0.0;
private double HH1 = 0;
private double HH2 = 0;
private double LL1 = 0;
private double LL2 = 0;
private bool is_high = true;
private bool is_low = false;
private int HLbarcount = 0;
DateTime barlowestDateTime;
DateTime barhighestDateTime;
TimeSeries HL;
public override void OnStrategyStart()
{
HL = new TimeSeries("High-Low", Color.White);
Draw(HL, 0);
}
public override void OnBar(Bar bar)
{
if ((bar.Close > 0) && (bar.High > 0) && (bar.Low > 0) && (bar.Open > 0))
{
if (Mode != StrategyMode.Simulation)
{
DataManager.Add(Instrument, bar);
}
barcount++;
HLbarcount++;
barclose = bar.Close;
barhigh = bar.High;
barlow = bar.Low;
if (barcount > 1)
{
if ((barlow) < barlowest)
{
barlowest = barlow;
barlowestDateTime = bar.DateTime;
}
if ((barhigh) > barhighest)
{
barhighest = barhigh;
barhighestDateTime = bar.DateTime;
}
}
if (barcount > 4)
{
if ((HLbarcount > 3) && (is_low) && (Bars.Ago(0).High > Bars.Ago(3).High) && (Bars.Ago(0).Low > Bars.Ago(1).Low) && (Bars.Ago(0).Low > barlowest))
{
LL2 = LL1;
LL1 = barlowest;
if (LL1 != LL2)
{
is_high = true;
is_low = false;
HL.Add(barlowestDateTime, barlowest);
barhighest = Bars.HighestHigh(4);
barhighestDateTime = bar.DateTime;
HLbarcount = 0;
HH1 = 0;
HH2 = 0;
Console.WriteLine("{0} LL1 = {1} barhighest = {2}", barlowestDateTime, LL1, barhighest);
}
}
if ((HLbarcount > 3) && (is_high) && (Bars.Ago(0).Low < Bars.Ago(3).Low)&& (Bars.Ago(0).High < Bars.Ago(1).High) && (Bars.Ago(0).High < barhighest))
{
HH2 = HH1;
HH1 = barhighest;
if (HH1 != HH2)
{
is_low = true;
is_high = false;
HL.Add(barhighestDateTime, barhighest);
barlowest = Bars.LowestLow(4);
barlowestDateTime = bar.DateTime;
HLbarcount = 0;
LL1 = 0;
LL2 = 0;
Console.WriteLine("{0} HH1 = {1} barlowest = {2}", barhighestDateTime, HH1, barlowest);
}
}
}
}
else
{
Console.WriteLine("Instrument: {0}, Date/Time: {1}", Instrument, bar.DateTime);
}
}
} 
- #5
- Aug 23, 2007 10:11pm Aug 23, 2007 10:11pm
- | Joined Jul 2006 | Status: Trader | 1,364 Posts
Hi TickJob
I’ll try to offer a little more detail than the last poster.
It’s possible that there’s a custom indicator that already does this, but I’ve searched my library (of over 500 MT4 indicators), and can’t find one.
Re defining “local” highs and lows, what appears obvious to the naked eye is not necessarily as simple to model mathematically. I wrote a charting package about 5 years back (not quite as comprehensive as MT4 though!
One approach is “slicing” the chart into sections, or cycles. It’s then a matter of looping through the bars/candles to find the highest high and/or lowest low in each section. At least that’s the way I approached it.
Here are some possible starting points:
1. Very primitive: X bars in each section, where X is an arbitrary value. An alternative view is to take each bar on the chart and find the highest high and lowest low X bars forward or backward from that point.
2. Use trend following indicators, or oscillators to define the sections as “phases”. As a simple example, when a faster moving average crosses above a slower moving average you’re in an “upward” phase; when it moves below the slower MA, you’re in a “downward” phase. Then it’s a case of finding the highest high in each upward phase, and lowest low in each downward phase. Experiment with various MA calibrations (optimizations) to capture the “cycles” that you wish, or combinations of trend followers (MAs, SAR, countback lines, or oscillators [e.g. RSI, Stochastic or MACD crossing a trigger line, or the midpoint]) to get something close to the desired result. Virtually all of these are all built into MQL4 as functions (iMA, iMACD, iRSI, etc), so it’s not necessary to manually code each algorithm.
3. Instead of slicing the chart into sections, use something like Tom Demark supply and demand points, i.e. a high that’s higher than all of the highs X bars either side of it is a local high; vice versa for a low. One problem with using TD supply/demand points is that it’s possible to get two or more local highs without an intervening low, or vice versa; so you would need to compare them and exclude all but the most extreme one. I’ve included the Demark.MQ4 indicator below. For further explanation, see my posts here: http://www.forexfactory.com/showthread.php?t=37073
4. I’ve included the Zigzag .MQ4 indicator below. Not 100% sure how its algorithm operates; you’ll need to reverse engineer the code for yourself, or perform a search of the forum here for more info.
Of course once you’ve established local highs and lows, it’s simply a case of comparing successive highs and lows to establish whether each is higher or lower than its predecessor.
For whatever it's worth, method #2 was the way I ended up doing it.
Hope this gives you a starting point. It’s not necessarily a trivial task.
Good luck
David
- #10
- Aug 22, 2009 3:36am Aug 22, 2009 3:36am
- Joined Sep 2008 | Status: Trader | 2,298 Posts
Starting to see instead of just looking.
