BullCharts : Class A divergence

Class A divergence : Let P and Q be two probability...

Sat, 27 Feb 2010 17:04:29 +0000

Author: sonu panwar
Subject: 556
Posted: 27 Feb 2010 at 5:04pm

Let P and Q be two probability distributions over a space Ω such that P is absolutely continuous with respect to Q. Then, for a convex function f such that f(1) = 0, the f-divergence of Q from P is

If P and Q are both absolutely continuous with respect to a reference distribution μ on Ω then their probability densities p and q satisfy dP = p dμ and dQ = q dμ. In this case the f-divergence can be written as

Instances of f-divergences

Class A divergence : Okay I've added DMI. Good...

Fri, 25 Dec 2009 02:01:20 +0000

Author: maximo
Subject: 556
Posted: 25 Dec 2009 at 2:01am

Okay I've added DMI. Good to hear it's faster.

[Description="Bullish & Bearish Divergence, Max"]

d := InputDate("Start Date", date(2009,2,10));

start:=BarsSince(OnOrSkipped(d));

ind:=Input("MACD=1, RSI=2, STOC=3, DMI=4",1,1);

pds:=Input("indicator periods",5,1);

Ch:=Input("peak/trough depth minimum (0-100%)",0,0)/100;

MD := if(start,macd()-ma(macd(),9,E), prev(undefined));

DSI := if(start,ma((ma(C - llv(L,pds),pds,E) / ma(hhv(H,pds) - llv(L,pds),pds,E))*100,2,E), prev(undefined));

y:=if(start, If(ind=1,MD, If(ind=2,RSI(C,pds), If(ind=3,DSI, DX(pds)))), prev(undefined));

{ detect indicator peak }

Pky:=y<Ref(y,-1) AND Ref(y,-1)>Ref(y,-2) AND Ref(y,-1)>=(y+Ref(y,-2))/2*(1+Ch);

Pky1:=ValueWhen(1,Pky,Ref(y,-1));

Pky2:=ValueWhen(2,Pky,Ref(y,-1));

{ save corresponding price bar peak }

Pkx1:=ValueWhen(1,Pky,Ref(C,-1));

Pkx2:=ValueWhen(2,Pky,Ref(C,-1));

{ detect indicator trough }

Try:=y>Ref(y,-1) AND Ref(y,-1)<Ref(y,-2) AND Ref(y,-1)<=(y+Ref(y,-2))/2*(1-Ch);

Try1:=ValueWhen(1,Try,Ref(y,-1));

Try2:=ValueWhen(2,Try,Ref(y,-1));

{ save corresponding price bar trough }

Trx1:=ValueWhen(1,Try,Ref(C,-1));

Trx2:=ValueWhen(2,Try,Ref(C,-1));

[linestyle=marker; marker=type1; name=Bull_Div]

(Try AND Trx1AND Try1>Try2);

[linestyle=marker; marker=type2; name=Bear_Div]

(Pky AND Pkx1>Pkx2 AND Pky1

¸.·°¯°·.¸¸.-> Merry Christmas <-.¸¸.·°¯°·.¸

Class A divergence : Hi Maximo, That really makes...

Thu, 24 Dec 2009 16:28:46 +0000

Author: hektorgsd
Subject: 556
Posted: 24 Dec 2009 at 4:28pm

Hi Maximo,

That really makes it quicker. I really appreciate your help

The new formula does not have DMI? Could you please help with the script with the DMI divergence with the start time option? I like having the four to compare!

Merry Xmas

Class A divergence : Hi, I'm not so sure that...

Wed, 23 Dec 2009 22:53:56 +0000

Author: maximo
Subject: 556
Posted: 23 Dec 2009 at 10:53pm

Hi,

I'm not so sure that it would make it much faster, though give it a try and let me know.

[Description="Bullish & Bearish Divergence, Max"]

d := InputDate("Start Date", date(2009,2,10));

start:=BarsSince(OnOrSkipped(d));

ind:=Input("MACD=1, RSI=2, STOC=3",3,1);

pds:=Input("indicator periods",5,1);

Ch:=Input("peak/trough depth minimum (0-100%)",0,0)/100;

MD := if(start,macd()-ma(macd(),9,E), prev(undefined));

DSI := if(start,ma((ma(C - llv(L,pds),pds,E) / ma(hhv(H,pds) - llv(L,pds),pds,E))*100,2,E), prev(undefined));

y:=if(start,If(ind=1,MD,If(ind=2,RSI(C,pds),DSI)), prev(undefined));

{ detect indicator peak }

Pky:=y<Ref(y,-1) AND Ref(y,-1)>Ref(y,-2) AND Ref(y,-1)>=(y+Ref(y,-2))/2*(1+Ch);

Pky1:=ValueWhen(1,Pky,Ref(y,-1));

Pky2:=ValueWhen(2,Pky,Ref(y,-1));

{ save corresponding price bar peak }

Pkx1:=ValueWhen(1,Pky,Ref(C,-1));

Pkx2:=ValueWhen(2,Pky,Ref(C,-1));

{ detect indicator trough }

Try:=y>Ref(y,-1) AND Ref(y,-1)<Ref(y,-2) AND Ref(y,-1)<=(y+Ref(y,-2))/2*(1-Ch);

Try1:=ValueWhen(1,Try,Ref(y,-1));

Try2:=ValueWhen(2,Try,Ref(y,-1));

{ save corresponding price bar trough }

Trx1:=ValueWhen(1,Try,Ref(C,-1));

Trx2:=ValueWhen(2,Try,Ref(C,-1));

[linestyle=marker; marker=type1; name=Bull_Div]

(Try AND Trx1AND Try1>Try2);

[linestyle=marker; marker=type2; name=Bear_Div]

(Pky AND Pkx1>Pkx2 AND Pky1

Edited by maximo - 23 Dec 2009 at 11:02pm

Class A divergence : Hi maximo, I have been...

Mon, 21 Dec 2009 12:29:09 +0000

Author: hektorgsd
Subject: 556
Posted: 21 Dec 2009 at 12:29pm

Hi maximo,

I have been testing this indicator, looking for multiple confirmations. The only problem is that my PC takes a fair while to calulate the divergences. I use it on daily chart, is it possible to write into the script to say just to work out the bullish and bearish divergences for the last 1 or 2 years ( not 10 years worth of data). I am sure this would make the calulations much faster.

Thanks for your help

Class A divergence : thanks Maximo...just saw the further...

Fri, 08 May 2009 11:30:19 +0000

Author: Bana
Subject: 556
Posted: 08 May 2009 at 11:30am

thanks Maximo...just saw the further enhancements you had posted.

Class A divergence : Hi Maximo, what a great bit of...

Sat, 02 May 2009 22:08:52 +0000

Author: jalna
Subject: 556
Posted: 02 May 2009 at 10:08pm

Hi Maximo, what a great bit of code writing. Thanks, its a great indicator. Thanks heaps

Class A divergence : Hi Jalna, Just select the...

Thu, 30 Apr 2009 03:38:32 +0000

Author: maximo
Subject: 556
Posted: 30 Apr 2009 at 3:38am

Hi Jalna,

Just select the number of the indicator you want to display in the settings: 1=MACD the default setting is 4 for the Stochastic and 2=RSI. I set up 3 seperate instances of this with a different number in the indicator select number. The other number is used as the period for the indicator. ie. 5 is the period for the default Stochastic, so you are right about that. This number is a bit small for the RSI, so 10 or 14 for it would be better.

The MACD uses the standard settings.

Traders International sell the Stochastic & Macd indicator with a day trading education package for $7500. That's quite a hefty sum for an education in indicators lol.

Many divergences are short term, like with that day trading mob. As short as a few minutes to days on the daily chart. All depends on your time frame.

Edited by maximo - 30 Apr 2009 at 3:50am

Class A divergence : Hi Maximo, thanks for all the...

Wed, 29 Apr 2009 22:24:29 +0000

Author: jalna
Subject: 556
Posted: 29 Apr 2009 at 10:24pm

Hi Maximo, thanks for all the work on the divergence indicator. Divergence seems to be getting popular especially with EW enthusiasts
I downloaded your code but it didn't have the 3 indicators underneath . I am mainly interested in the MACD. It is the same as the Elliott Wave oscillator.
The chart you posted up, was that just a demo of what would be happening on the indicator you have written. The indicator appears to be the Stoch
Are these very short term divergences too or are the indicators set at their normal periods ? Thanks

Class A divergence : Example of multi-matching. Edited...

Sun, 26 Apr 2009 01:01:05 +0000

Author: maximo
Subject: 556
Posted: 26 Apr 2009 at 1:01am

Example of multi-matching.

Edited by maximo - 26 Apr 2009 at 1:19am

Class A divergence : Hi Bana, I had a good look...

Sat, 25 Apr 2009 23:46:00 +0000

Author: maximo
Subject: 556
Posted: 25 Apr 2009 at 11:46pm

Hi Bana,

I had a good look at this indicator and have reconstructed the code for a few reasons.

1. It didn't sync the indicator peaks with the price on the very bar the peak occurs. This results in an occasional mismatch so

indicating divergence when there wasn't any. This sync is also called correct correspondence.

2. Binary indicators aren't very user friendly.. like which spike means what again?

3. Also didn't show the actual indicator being used, which would be good to see.

I have added the MACD difference (histogram line) and Stochastic Momentum.

You can now compare divergences on multiple indicators and see if they match.

Enjoy!

[Description="Bullish & Bearish Divergence, Max"]

ind:=Input("MACD=1, RSI=2, DMI=3, STOC=4",4,1);

pds:=Input("indicator periods",5,1);

Ch:=Input("peak/trough depth minimum (0-100%)",0,0)/100;

MD := macd()-ma(macd(),9,E);

DS := ma((ma(C - llv(L,pds),pds,E) / ma(hhv(H,pds) - llv(L,pds),pds,E))*100,2,E);

y:=If(ind=1,MD,If(ind=2,RSI(C,pds),If(ind=3,DX(pds),DS)));

{ detect indicator peak }

Pky:=y<Ref(y,-1) AND Ref(y,-1)>Ref(y,-2) AND Ref(y,-1)>=(y+Ref(y,-2))/2*(1+Ch);

Pky1:=ValueWhen(1,Pky,Ref(y,-1));

Pky2:=ValueWhen(2,Pky,Ref(y,-1));

{ save corresponding price bar of peak }

Pkx1:=ValueWhen(1,Pky,Ref(C,-1));

Pkx2:=ValueWhen(2,Pky,Ref(C,-1));

{ detect indicator trough }

Try:=y>Ref(y,-1) AND Ref(y,-1)<Ref(y,-2) AND Ref(y,-1)<=(y+Ref(y,-2))/2*(1-Ch);

Try1:=ValueWhen(1,Try,Ref(y,-1));

Try2:=ValueWhen(2,Try,Ref(y,-1));

{ save corresponding price bar of trough }

Trx1:=ValueWhen(1,Try,Ref(C,-1));

Trx2:=ValueWhen(2,Try,Ref(C,-1));

[linestyle=marker; marker=type1; name=Bull_Div]

(Try AND Trx1AND Try1>Try2);

[linestyle=marker; marker=type2; name=Bear_Div]

(Pky AND Pkx1>Pkx2 AND Pky1

Edited by maximo - 26 Apr 2009 at 5:32pm

Class A divergence : thanks Maximo. Will give it a...

Sun, 12 Apr 2009 16:50:07 +0000

Author: Bana
Subject: 556
Posted: 12 Apr 2009 at 4:50pm

thanks Maximo. Will give it a go and put feedback here later on.

Class A divergence : Gives interesting signals on XJO,...

Sun, 12 Apr 2009 00:47:23 +0000

Author: maximo
Subject: 556
Posted: 12 Apr 2009 at 12:47am

Gives interesting signals on XJO, have fun testing.

ind:=Input("MACD=1, RSI=2, DMI=3, Mom=4",2,1);

pds:=Input("indicator periods",10,1);

f:=Input("price field: Close=1, High/Low=2",1,1);

Ch:=Input("peak/trough depth minimum (0-100%)",0,0)/100;

shift:=Input("shift signals back to match divergences=1",0,0);

{ y:=insert any indicator or Fml("formula name") }

y:=If(ind=1,MACD(),If(ind=2,RSI(C,pds),If(ind=3,DX(pds),Mo(C,pds))));

xu:=If(f=1,C,H);

xd:=If(f=1,C,L);

Pkx:=xu<Ref(xu,-1) AND Ref(xu,-1)>Ref(xu,-2) AND Ref(xu,-1)>=(xu+Ref(xu,-2))/2*(1+Ch);

Pkx1:=ValueWhen(1,Pkx,Ref(xu,-1));

Pkx2:=ValueWhen(2,Pkx,Ref(xu,-1));

Trx:=xd>Ref(xd,-1) AND Ref(xd,-1)<Ref(xd,-2) AND Ref(xd,-1)<=(xd+Ref(xd,-2))/2*(1-Ch);

Trx1:=ValueWhen(1,Trx,Ref(xd,-1));

Trx2:=ValueWhen(2,Trx,Ref(xd,-1));

Pky:=y<Ref(y,-1) AND Ref(y,-1)>Ref(y,-2) AND Ref(y,-1)>=(y+Ref(y,-2))/2*(1+Ch);

Pky1:=ValueWhen(1,Pky,Ref(y,-1));

Pky2:=ValueWhen(2,Pky,Ref(y,-1));

Try:=y>Ref(y,-1) AND Ref(y,-1)<Ref(y,-2) AND Ref(y,-1)<=(y+Ref(y,-2))/2*(1-Ch);

Try1:=ValueWhen(1,Try,Ref(y,-1));

Try2:=ValueWhen(2,Try,Ref(y,-1));

Ref(Trx AND Try AND Trx1AND Try1>Try2,shift)-Ref((Pkx AND Pky AND Pkx1>Pkx2 AND Pky1

Class A divergence : Divergences are very powerful...

Sat, 11 Apr 2009 09:38:48 +0000

Author: Bana
Subject: 556
Posted: 11 Apr 2009 at 9:38am

Divergences are very powerful signals. Apparently there is a formula in Metastock to search for these. It would be worth testing if it can be converted to bullscript. Any help will be greatly appreciated. thanks

Class A price/indicator divergence v3 }{ +1 signal = bullish trough divergences }{ -1 signal = bearish peak divergences }{ ©Copyright 2003 Jose Silva }{ josesilva22@yahoo.com }

ind:=Input("MACD=1, RSI=2, DMI=3, Mom=4",1,4,1);
pds:=Input("indicator periods",2,2520,10);
f:=Input("price field: Close=1, High/Low=2",1,2,1);
Ch:=Input("peak/trough depth minimum (0-100%)",0,100,0)/100;
shift:=Input("shift signals back to match divergences=1",0,1,0);

{y:=insert any indicator or Fml("formula name")}
y:=If(ind=1,MACD(),If(ind=2,RSI(C,pds),
If(ind=3,DMI(C),Mo(C,pds))));

xu:=If(f=1,C,H);
xd:=If(f=1,C,L);
Pkx:=xuRef(xu,-2)
AND Ref(xu,-1)>=(xu+Ref(xu,-2))/2*(1+Ch);
Pkx1:=ValueWhen(1,Pkx,Ref(xu,-1));
Pkx2:=ValueWhen(2,Pkx,Ref(xu,-1));
Trx:=xd>Ref(xd,-1) AND Ref(xd,-1) AND Ref(xd,-1)<=(xd+Ref(xd,-2))/2*(1-Ch);
Trx1:=ValueWhen(1,Trx,Ref(xd,-1));
Trx2:=ValueWhen(2,Trx,Ref(xd,-1));

Pky:=yRef(y,-2)
AND Ref(y,-1)>=(y+Ref(y,-2))/2*(1+Ch);
Pky1:=ValueWhen(1,Pky,Ref(y,-1));
Pky2:=ValueWhen(2,Pky,Ref(y,-1));
Try:=y>Ref(y,-1) AND Ref(y,-1) AND Ref(y,-1)<=(y+Ref(y,-2))/2*(1-Ch);
Try1:=ValueWhen(1,Try,Ref(y,-1));
Try2:=ValueWhen(2,Try,Ref(y,-1));

0;
Ref(Trx AND Try AND Trx1 AND Try1>Try2,shift)
-Ref((Pkx AND Pky AND Pkx1>Pkx2
AND Pky1