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help with Localized Stairstepping Heatmap indi

  • #21
  • Apr 9, 2012 5:20pm Apr 9, 2012 5:20pm
Quoting forexhard
Sorry for any confusion, but it looks like we're on the same page now.

~Yes, an actual box is preferred. Look up member Hanover, he has quite a few custom indis with interesting chart artifacts, including boxes that can be made either hollow (as in my pic), or solid. Give the box custom color and line thickness selections. With the right settings we can make it nearly invisible, but still showing just enough for a quick visual reference.

~RE scaling the horizontal histo lines: First, I don't think the values index over just the last 1000...
I understand how to draw these differently on the chart but that is a bit ahead of the functionality we are currently working on. The box I was referring to is just a hand drawn manual control much like the shift line. It could even be made to trail like the moving shift but then that is getting more like the Funnel indicator functionality which is something I am working on separately at the moment.

I might be confused by your second paragraph. First of what do you mean 1000 bars. That too short or too long? There is already a size variable for the histogram. You need to understand that this just displays any histogram of scores on the screen in the size specified. The display can only jump by one time frame bar at a time that is just how MT4 is. So if the range of values is 0 -10000 then it could take many value changes to change the display or 0 - 3 then a single change could display many bar changes in the display.

Market Profile with no volume will behave like you are describing in that one point in the histogram means one bar passed through that price. Fractals actually score higher if they have more bars not breaking the peak. This is controlled by FractalLookBack.

I think what I am doing is what you want, like you said you can just adjust your value until it matches what you want. Here is what I don't want to do both because it is hard and I don't like it. I want to have a bar that is 100 hits to not be twice as big as one that is 50 hits. No nonlinear relative bar sizing should be needed.
  • #22
  • Apr 9, 2012 5:36pm Apr 9, 2012 5:36pm
Quoting forexhard
The scaling detail in pic form...
Ok yeah I don't understand. How would you do this? You could just remove the red line area completely. If that is not what you want then I can't see what logic would create the behavior you are talking about. Just start drawing only when it crosses the line? Is that what you mean? I can do that and it would make things clean in a way. I like to see something forming though not just get a sudden bar popping out of nowhere.


I will just give you the ability to control the threshold absolutely then we can work on the display ideas.

All this talk just wasting time.
  • #23
  • Apr 9, 2012 10:33pm Apr 9, 2012 10:33pm
Try this.

Here are the new properties

If you set any of them to 0 You will get the default behavior using averages and HistogramThreshold.

extern int MarketProfileThreshold = 9;
extern int FractalThreshold = 20;
extern int TdstThreshold = 2;
Attached File(s)
File Type: mq4 !ParadoxSr.mq4   16 KB | 230 downloads
  • #24
  • Apr 10, 2012 2:27am Apr 10, 2012 2:27am
OK, the visual aspect looks great. There's no box yet, but that will come in due time.

Now here's the thing you need to make me understand: The default setting for the Market Profile threshold is 9, and it's 20 for the Fractal. But what does 9 and 20 stand for exactly? It can't possibly mean just 9 or 20 hits out of the last 1000 bars respectively. So it must be some kind of averaging algo. As the coder this obviously means something to you. But to me, not so much.

For it to make sense in my trading, I need to know how many hits are actually being made from left-to-right across the chart. So instead of 9, I need to be able to set the Market threshold closer to something like 50 or 75. And for Fractals, something closer to 30 or 40.

Also, I'm talking about simple "hits", simple true values of price crossing a specific axis on the chart. It does not need to be adjusted or modified by Volume, or by any other algos. Just give me the raw numbers, and then translate those numbers onto the histo.

To that end, here are the only inputs we need to have to make this happen:

Time Frame [0/M1/M5/M15, etc...]
Box Size [1000]
Show Heatmap [true/false]
Heatmap Threshold [50]
Show Fractals [true/False]
Fractal Threshold [30]
Histogram Size [5]
Histograms Space [3]
High Color
Low Color
Box Color
Solid Box [true/false] (False creates a hollow box, the thickness for which will be under the Color tab.)

That's all the settings we need.
To improve is to change. To perfect, is to change often.
  • #25
  • Apr 10, 2012 2:50am Apr 10, 2012 2:50am
FH,

Got your PM. Looks like you already have some help with this one.

The best I can do (short of coding something from scratch) is the SR indy that I wrote. The attached screenshot is created using these settings:
Inserted Code
   ParameterFile            = NONE
   TimeFrame                = 
   LookbackCandles          = 100
   StartDateTime            = 1971.01.01 00:00
   IncludeCurrentCandle     = false
   BandwidthPips            = 5.0
   FrequencyLevels          = 1
   FrequencyColors          = Gray
   IncludeNextBandAbove     = false
   VisibilityLevel          = 1
   ClearancePips            = 0
   VisCompletionRequired    = false
   CandleHighsValid         = false
   CandleLowsValid          = false
   CandleClosesValid        = false
   AllCandlePointsValid     = true
   LineWidth                = 0
   Background               = false
   LineOrBandLength         = 0
   HistogramSize            = 30
   HistogramFontSize        = 8
   HistogramFont            = Arial
   HistogramFontColor       = White
   HistogramPriceMask       = 
   ShowHistogramOnly        = false
   ShowOnTimeFrames         = M1,M5,M15,M30,H1,H4,D1,W1,MN
   DescriptionMask          = 'SR'B'-'
   PlotProximityPips        = -1
   HistoricalShift          = 0
   RefreshEveryXMins        = 1
   OutputFile               = 
   OutputMinFrequency       = 0
   UniqueID                 = 0
   DeleteLinesOnDeinit      = true
This counts the number of times price moves through evenly spaced bands (the width of which is determined by the BandwidthPips setting), as opposed to crossing a line. I can't see how your PIP lines are calculated, hence I've assumed even spacing. Lookback period is set by LookbackCandles. For more info, there's a document in the linked post.

With regard to plotting symbols, as per your original request, they can either be plotted as objects, or in buffers, and MT4 limits you to the Wingdings font only. If you use the buffer option, there are a max of 8 buffers allowed, which means that if a candle passed through > 8 PIP lines, only 8 could be recorded. Of course you could attach the indy twice, but the two instances would need to somehow communicate with each other, which is not a trivial programming job. If you use the object option, it is less efficient, and also the objects won't necessarily plot at the exact price levels, because MT4 plots the topmost boundary of the Wingding character at the specified price level, when ideally it would make more sense to have the (vertical) center of the object at the price, so that the object 'straddles' the price instead of 'hanging' a few pips below it.

I'm currently developing 3 EAs for different clients (paid work, gotta pay my bills somehow) so don't have a lot of time to take on additional work.

David
Attached Image (click to enlarge)
Click to Enlarge Name: forexhard1.jpg Size: 79 KB
  • #26
  • Apr 10, 2012 10:09am Apr 10, 2012 10:09am
Quoting hanover
FH,

Got your PM. Looks like you already have some help with this one.

The best I can do (short of coding something from scratch) is the SR indy that I wrote. The attached screenshot is created using these settings:
[code]
ParameterFile = NONE
TimeFrame =
LookbackCandles = 100
StartDateTime = 1971.01.01 00:00
IncludeCurrentCandle = false
BandwidthPips = 5.0
FrequencyLevels =...
Thanks for the input David. I guess FH thought I couldn't hack it so he tried to call in a real programmer. All I have had is logic questions not programming questions.

Did you check out my indicator? It is completely inspired by your SR indicator. The idea was to interpret and weight various scoring histograms and use it to draw lines. The posted code has all my various attempts at drawing the lines removed. I figured to just sit with and observe the histogram to see what was useful. Revisiting this after a year or so has let me get a new perspective. Also getting Forexhards perspective is immensely helpful.

Do you use any of these concepts in your actual trading?

Do you work directly in this field? (ie making EAs or something similar). How is it finding work? I am currently a contract developer and am comfortable in my niche but I would be interested in hearing what it would take to break to something more interesting.
  • #27
  • Apr 10, 2012 10:24am Apr 10, 2012 10:24am
Quoting forexhard
OK, the visual aspect looks great. There's no box yet, but that will come in due time.

Now here's the thing you need to make me understand: The default setting for the Market Profile threshold is 9, and it's 20 for the Fractal. But what does 9 and 20 stand for exactly? It can't possibly mean just 9 or 20 hits out of the last 1000 bars respectively. So it must be some kind of averaging algo. As the coder this obviously means something to you. But to me, not so much.

For it to make sense in my trading, I need to know how many hits are actually...

You will have to play with the settings. The defaults I have where what looked useful for the other settings. Specifically NumBars=200 and FractalLookBack=5. You can change these to 1000 and 0 and you should get more what you are expecting. I define a fractal as one bar on each side instead of the traditional 2 but this should still be useful temporarily. I am going to add the ability to change this in the next version. I tried to simplify the FractalLookback logic to make it more explainable but I did not like the results at all so you can just set it to 0 to ignore it.

You should also know that MarketProfile as it is standardly defined only uses the body and not the wicks of a bar. This is also how I do it. I don't know what you expect but it seems people would like to also be able to use the full bar so I will add that ability as well.

There could be bugs that cause slight differences than what is expected but it seems to behave exactly as you expect given the right settings. I have not posted the changes mentioned because I am going to do some more testing today and make sure that the behavior is exactly as described.
  • #28
  • Apr 10, 2012 10:33am Apr 10, 2012 10:33am
Paradox, David has inspired me as well, only in different areas. I can't code to save my life, so no help there. But David is without a doubt the most generous person at the Factory, which is no small thing, and he is always welcome in one of my threads. Where David goes, good things always seem to happen.

David, that indi's not quite what I'm after. Paradox is on the right track. His indi looks exactly how I expected it to, but we're just having a little trouble relating. I was just hoping that maybe you could act as our translator, so that maybe you could help get Paradox into my headspace.

Paradox, it's too bad that we're stuck trying to communicate this way. It's so freaking slow and cumbersome, and it's so easy to misunderstand. David "gets" me, that's why I asked him to join us. It's not because I dislike you or don't trust your codes, or anything like that. We just need to get to that magical place where you go A-HA, and you suddenly grasp what my mind sees when I think of this indi as a finished piece.

And yes, I will be using this in my trades. I'm actively testing every version you send me.
To improve is to change. To perfect, is to change often.
  • #29
  • Apr 10, 2012 11:32am Apr 10, 2012 11:32am
Quoting forexhard
Paradox, David has inspired me as well, only in different areas. I can't code to save my life, so no help there. But David is without a doubt the most generous person at the Factory, which is no small thing, and he is always welcome in one of my threads. Where David goes, good things always seem to happen.

David, that indi's not quite what I'm after. Paradox is on the right track. His indi looks exactly how I expected it to, but we're just having a little trouble relating. I was just hoping that maybe you could act as our translator, so that...
I am not having too hard a time understanding you I am maybe just being too difficult.

I do not want to simplify the current code at this point. Even when we take this to a multiple box setting with a different GUI I would like it to be fully capable for user configuration as it is now.

I also am trying to make your understand how it works so you can realize that some of what you ask is what it does if you set the settings correctly.

Some of what you ask is outside of current scope. We are trying to exactly define and control the histogram creation and thresholding. Nothing more or less. Boxes,overlaying,transparency stuff is not presently useful to worry about.

This isn't moving too slowly just some patience is needed. As we get to an understanding and polish on what we currently have things will move smoother. I am also working on your funnel thread ideas. Just a simple implementation so I can better visualize what your idea there is. Isn't that related a bit to what you are asking about here? Where did you and Miyagi get with that in the end. Do you want to continue that discussion and have me post code here so we can have only one thread to discuss on?

I wasn't asking you about trading this I was asking if David had found his own SR ideas useful in trading.
  • #30
  • Edited 1:00pm Apr 10, 2012 12:35pm | Edited 1:00pm
Quoting Paradox
I guess FH thought I couldn't hack it so he tried to call in a real programmer.
I am sorry, I wasn't attempting to tread on anybody's toes.
ForexHard is a friend and I was simply replying to his PM, where he asked for help.

Re your other questions, I use S/R confluences extensively in my own trading, to help find low risk intraday entries. I've explained how in other posts.

About working in the EA field: I'm currently being paid to write a MT4 EA for a client who (fortuitously) lives about 10 mins drive from my home. It involves converting a XLS that he's been working on since 2007. There are approx 3,600 lines of code in the EA (believe it or not!) and it is still growing. Personally I believe he's using a sledgehammer to crack a nut, and I've told him so, but he still wants me to continue with the work, and the income is very handy.
I'm also developing EAs for two other traders privately that I believe have a better chance of being profitable. And also another couple that have been work-in-progress for some time now, using my own trading ideas, and are solely for my own use.
  • #31
  • Apr 10, 2012 12:58pm Apr 10, 2012 12:58pm
Quoting forexhard
David, that indi's not quite what I'm after. Paradox is on the right track. His indi looks exactly how I expected it to, but we're just having a little trouble relating. I was just hoping that maybe you could act as our translator, so that maybe you could help get Paradox into my headspace.
If I understand correctly, you have PIP lines on a chart. (I don't know how these levels are determined). You want an indy that counts how many times each line is crossed by price, and represent that number as a series of user-defined symbols at the RHS of the chart. Hence if a certain PIP line is has 7 prior candles intersecting it, you want 7 symbols to display at that price level, at the RHS of the chart. Not necessarily a trivial coding task, especially given the problems I alluded to in my earlier post.

I don't want to dig a hole for myself here, by somehow getting caught up in the middle. I'm sure you guys will work things out.
  • #32
  • Apr 10, 2012 1:11pm Apr 10, 2012 1:11pm
Quoting hanover
If I understand correctly, you have PIP lines on a chart. (I don't know how these levels are determined). You want an indy that counts how many times each line is crossed by price, and represent that number as a series of user-defined symbols at the RHS of the chart. Hence if a certain PIP line is has 7 prior candles intersecting it, you want 7 symbols to display at that price level, at the RHS of the chart. Not necessarily a trivial coding task, especially given the problems I alluded to in my earlier post.

I don't want to dig a hole for myself...
No, David, there is nothing to get in the middle of. Your input is always welcome.

Yes, you are understanding my original post exactly right. But the idea of using symbols has been replaced by graduated horizontal bars. The longer the bar, the more hits that PIP level has had over the last [1000] bars. They resemble Volume bars, and even work much the same way, but look sideways instead of north and south. Posts 6 & 10 show Paradox's indi at work. As I said, Paradox is actually pretty close to having the solution. And IMHO he would get there even faster if he was willing to strip his codes down to the barest essentials and build it back up again. Too many of his filtering algos really just aren't needed for this type of indicator.
To improve is to change. To perfect, is to change often.
  • #33
  • Apr 10, 2012 2:07pm Apr 10, 2012 2:07pm
Quoting hanover
If I understand correctly, you have PIP lines on a chart. (I don't know how these levels are determined). You want an indy that counts how many times each line is crossed by price, and represent that number as a series of user-defined symbols at the RHS of the chart. Hence if a certain PIP line is has 7 prior candles intersecting it, you want 7 symbols to display at that price level, at the RHS of the chart. Not necessarily a trivial coding task, especially given the problems I alluded to in my earlier post.

I don't want to dig a hole for myself...
No worries. Your feed back is always welcome. Sorry that sarcasm is not always obvious in black and white. As forex pointed out we have moved on from the icons. I am currently using trendlines but we can easily change that as well once we get behavior ironed out.
  • #34
  • Apr 10, 2012 3:11pm Apr 10, 2012 3:11pm
Quoting forexhard
No, David, there is nothing to get in the middle of. Your input is always welcome.

Yes, you are understanding my original post exactly right. But the idea of using symbols has been replaced by graduated horizontal bars. The longer the bar, the more hits that PIP level has had over the last [1000] bars. They resemble Volume bars, and even work much the same way, but look sideways instead of north and south. Posts 6 & 10 show Paradox's indi at work. As I said, Paradox is actually pretty close to having the solution. And IMHO he would get there...
You can have whatever opinion you like. This code is still quite simple and has been easy to modify or even already does everything you requested. What is slow at the moment is not the changes but that you want absolute values and very predictable behavior. It is easy to code this but it requires me to do alot of testing and bar by bar observation of what is happening to make these guarantees. Rewriting the code will not save me from this due diligence. Thanks for all your feedback I do like where this is going just need to make sure we both understand what this currently does before we proceed to the next step.
  • #35
  • Apr 10, 2012 4:09pm Apr 10, 2012 4:09pm
Try this one.

Here are the changes.

I think since you edit the properties in the Terminal GUI I have removed all of the options you don't use from being public. This should help in your playing with the settings.

These are the new properties.

UseFullbarMarketProfile = true
Before the behavior was as if this was false and would only use the Body. I have made this and option and set it to true since I think that is how you view the consolidation bars.

FractalSize = 2;
Number of bars on each side of a bar to count as a Fractal. Before the default behavior was set to 1 but I have made it optional and set it to the standard definition of a fractal.

I have added in the true value of every histogram bar. You can see it in the description of each trendline.

I have tested the code and made some fixes. It should behave exactly as you expect with respect to hits, shifting and current bar ignoring.

Overall I like the absolute value thresholding but I can't see the usefulness of raw fractal counts on precise prices. They are too precise it seems. Most of this was talked about in hanover's thread on SR as well. He had some averaging type solutions which are like the HistogramSmoothRadius setting but that is not really a nice solution. This is why I tried to make it so clear big V shaped peaks get more weight. This made the histogram match what I see on the chart. I would like to hear more exactly how you interpret this. Especially if you are using it on 1000 bars since it kinda becomes noise to me at that level.
Attached File(s)
File Type: mq4 !ParadoxSr.mq4   17 KB | 285 downloads
  • #36
  • Apr 10, 2012 5:02pm Apr 10, 2012 5:02pm
Thanks for thinning out the inputs. Makes it much easier to navigate.

Please understand that what I am about to say is not a criticism. But the thing is, no matter how tight or accurate your coding is, if I don't know the true ratio of what it is that I am viewing, then I can't make sense enough to use it. And I want to. I want to be able to use it. I've been wanting to have this indicator since last year.

So what I need is this: See the orange lines in the pic? Here's my 2 questions:

1. RE the Market Profile. There are shorter red bars and longer blue bars, and a vertical threshold line dividing them. So then, how many "hits" of a specific price is required to bring the bar up to the threshold and change a red line to blue? 50? 100? 121? I need a specific real-life number.

2. Ditto for the Fractals. 10? 20? 26? What actual number of hits does it take to make the bars physically change color?

What would be perfect, would be an situation where we are able to input the threshold sensitivity level ourselves. Take for example the Fractals. I want to be able to set the threshold level to "25". Then, any hits under 25 stay red (and shorter), and any hits 25 or bigger become blue (and longer). See? All guesswork is gone. The threshold line itself never moves. The physical distance between the 2 vertical lines never changes. Only the filtering value of how that distance is registered ever changes. Theoretically, the hit ratio could be so high (e.g., 350), that no bars would ever show up as blue. Go the other way and set the ratio as "3", and then every bar would be blue. The trick would be to play around with it so that the blue lines only showed up for the right reasons.
Attached Image (click to enlarge)
Click to Enlarge Name: mp.gif Size: 90 KB
To improve is to change. To perfect, is to change often.
  • #37
  • Apr 10, 2012 5:47pm Apr 10, 2012 5:47pm
Quoting forexhard
Thanks for thinning out the inputs. Makes it much easier to navigate.

Please understand that what I am about to say is not a criticism. But the thing is, no matter how tight or accurate your coding is, if I don't know the true ratio of what it is that I am viewing, then I can't make sense enough to use it. And I want to. I want to be able to use it. I've been wanting to have this indicator since last year.

So what I need is this: See the orange lines in the pic? Here's my 2 questions:

1. RE the Market Profile. There are shorter...
Don't worry about the criticism just keep the feedback coming.

I completely agree about the behavior being completely transparent and explainable and I think we are getting to that point.

This latest version works completely as you explained in this and other posts. You can see the values in each lines description.

With the post version (no changes to the default) here is what it means.

MarketProfile:
Over the last 1000 bars how many times has the entire price bar (ie UseFullbarMarketProfile = true) intersected a price. If that number is greater than 50 (ie MarketProfileThreshold = 50) then that bar will be green. (I change this to equals 50 since that is simpler but that is in next version).

Fractal:
Any fractal the high or low point will score 1 hit. (With Fractal Size = 2) this will be the same as the arrows on the inbuilt MT4 fractal indicator. If a single price exceeds 4 hits it will be green.


"The threshold line itself never moves" This request is just not possible with out more input on what you mean and it is definitely not possible if you want the entire histogram to fit into a defined space which I think is important if we ever want to make multiple histograms and move them around the chart.


"The trick would be to play around with it so that the blue lines only showed up for the right reasons."

Yes this is quite a trick and some feedback on accomplishing this would be nice. This what I was trying to talk about with fractals and my lookback weighting ideas. This is also the issues in Hanovers indicator. You start with sparse single hits and as you get more fractals the histogram gets less sparse but it has difficulty getting spikes that will cross any threshold.
  • #38
  • Apr 10, 2012 6:46pm Apr 10, 2012 6:46pm
OK, OK, OK.

Now that I've played around a little bit more, it seems we were looking at different sides of the same coin all along.

What I had in mind was a physical bracket that never changed size or shape. Only the histo bars crossing the bracket would change size.

What you did was code the histo bars to never change size, but the bracket moves wider (or skinnier) based on the filter settings. Which is exactly the same thing, but not.

Interesting dilemma. I don't think either of us is right or wrong. Just different.

But the good news is that I think you have indeed discovered how to code my original request of putting an actual real-life value to the number of times a price level gets crossed. This is the central premise of the indi, and I think you've found it.

Anything more is just some basic appearance mods, like adding the box frame, and so on.

For example, I'd also like to lose the time code feet at the bottom of the vertical bracket lines.

I'd also like a custom color setting for the bracket lines themselves.

But yeah, I think we have the core system in place now. Great work!
To improve is to change. To perfect, is to change often.
  • #39
  • Apr 10, 2012 8:14pm Apr 10, 2012 8:14pm
Quoting forexhard
OK, OK, OK.

Now that I've played around a little bit more, it seems we were looking at different sides of the same coin all along.

What I had in mind was a physical bracket that never changed size or shape. Only the histo bars crossing the bracket would change size.

What you did was code the histo bars to never change size, but the bracket moves wider (or skinnier) based on the filter settings. Which is exactly the same thing, but not.

Interesting dilemma. I don't think either of us is right or wrong. Just different.

But...
I am glad we have an understanding on the confusion so I don't have to write so many long posts. Really it did this from the beginning just a matter of the right settings.

I have wanted to remove the time code as well so I will do that.

By box frame what do you mean. Just a box around everything included in the histogram? This is easy but a bit redundant. There is already a Vertical start line where the box would start and every price high to low is included at this point.

EDIT: Also do you want me to post my floating merging box indicator here or in the other thread. I just am doing it to have a visualization. None of the different bands or fractal stuff just the boxes for now since that was the only thing I just didn't get.
  • #40
  • Apr 11, 2012 9:35am Apr 11, 2012 9:35am
Here it is with some cosmetic changes. If this is not the Box you are talking about then set the color to None.
Attached File(s)
File Type: mq4 !ParadoxSr.mq4   18 KB | 295 downloads
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