Parabolique SAR, une version alternative (ATD)

• 06/30/2024 at 6:43 PM #234606
  Kobudera

  Bonjour,

  ci-dessous, une petite variation autour de Parabolique SAR: renversement quand les cours sont traversés et pas simplement touchés, et uniquement sur la barre suivante. Toute suggestion d’amélioration du code est la bienvenue.

  JCP

  PS: 2 paramètre à ajouter (increment: 0.02 et limite: 0.2)

  if barindex = 0 then tendance = 1 facteur = increment extreme = low resultat = high elsif tendance[1] = 1 then extreme = max(extreme[1], high) if resultat[1] > low then tendance = -1 facteur = increment resultat = max(extreme[1], max(high, high[1])) extreme = low else if extreme > extreme[1] and facteur < limite then facteur = facteur[1] + min(increment, limite - facteur) endif resultat = resultat[1] + facteur * (extreme - resultat[1]) resultat = min(resultat, min(low, low[1])) endif else extreme = min(extreme[1], low) if resultat[1] < high then tendance = 1 facteur = increment resultat = min(extreme[1], min(low, low[1])) extreme = high else if extreme < extreme[1] and facteur < limite then facteur = facteur[1] + min(increment,limite - facteur[1]) endif resultat = resultat[1] + facteur * (extreme - resultat[1]) resultat = max(resultat, max(high, high[ 1 ])) endif endif if barindex = 0 then r = resultat else r = resultat[1] endif if tendance[1] = 1 then cr = 0 cg = 255 cb = 0 else cr = 255 cg = 0 cb = 0 endif return r coloured(cr, cg, cb) style(point) as "ATD SAR"

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  if barindex = 0 then tendance = 1 facteur = increment extreme = low resultat = high elsif tendance[1] = 1 then extreme = max(extreme[1], high) if resultat[1] > low then tendance = -1 facteur = increment resultat = max(extreme[1], max(high, high[1])) extreme = low else if extreme > extreme[1] and facteur < limite then facteur = facteur[1] + min(increment, limite - facteur) endif resultat = resultat[1] + facteur * (extreme - resultat[1]) resultat = min(resultat, min(low, low[1])) endif else extreme = min(extreme[1], low) if resultat[1] < high then tendance = 1 facteur  = increment resultat = min(extreme[1], min(low, low[1])) extreme  = high else if extreme < extreme[1] and facteur < limite then facteur = facteur[1] + min(increment,limite - facteur[1]) endif   resultat = resultat[1] + facteur * (extreme - resultat[1]) resultat = max(resultat, max(high, high[ 1 ])) endif endif   if barindex = 0 then r = resultat else r = resultat[1] endif   if tendance[1] = 1 then   cr = 0 cg = 255 cb = 0 else cr = 255 cg = 0 cb = 0 endif   return r coloured(cr, cg, cb) style(point) as "ATD SAR"

   

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  robertogozzi

  

  Kobudera

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  07/01/2024 at 7:56 AM #234626
  Iván

  Merci pour la contribution

  

  Iván

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  07/11/2024 at 9:01 AM #235049
  Kobudera

  Bonjour

  ci-dessous, une version plus “ATDMF” du parabolique SAR (en fait, c’est le SAR originel de J. Welles Wilder – issu de son livre “New concepts in technical trading system”). Les paramètes à déclarer sont:

  • initialValue: Décimal, 0.02
  • accelerationValue: décimal, 0.02
  • limitValue: décimal: 0.2

  Le code:

  once todayTrend = 1 if barindex = 0 then factor = initialValue if todayTrend = 1 then todaySAR = low extremeValue = high else todaySAR = high extremeValue = low endif tomorrowSAR = todaySAR tomorrowTrend = todayTrend else todaySAR = tomorrowSAR todayTrend = tomorrowTrend if todayTrend = 1 then if extremeValue < high then extremeValue = high factor = min(limitValue, factor + accelerationValue) endif if todaySAR > low then tomorrowTrend = -1 factor = initialValue tomorrowSAR = extremeValue extremeValue = low else tomorrowSAR = todaySAR + factor * (extremeValue - todaySAR) tomorrowSAR = min(tomorrowSAR, min(low, low[1])) endif else if extremeValue > low then extremeValue = low factor = min(limitValue, factor + accelerationValue) endif if todaySAR < high then tomorrowTrend = 1 factor = initialValue tomorrowSAR = extremeValue extremeValue = high else tomorrowSAR = todaySAR + factor * (extremeValue - todaySAR) tomorrowSAR = max(tomorrowSAR, max(high, high[1])) endif endif endif colorRed = 0 colorGreen = 0 colorBlue = 0 if todayTrend = 1 then colorGreen = 255 else colorRed = 255 endif return todaySAR coloured(colorRed, colorGreen, colorBlue) style(point) as "ATD SAR"

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  once todayTrend = 1   if barindex = 0 then   factor = initialValue   if todayTrend = 1 then todaySAR = low extremeValue = high else todaySAR = high extremeValue = low endif   tomorrowSAR = todaySAR tomorrowTrend = todayTrend   else   todaySAR = tomorrowSAR todayTrend = tomorrowTrend   if todayTrend = 1 then   if extremeValue < high then extremeValue = high factor = min(limitValue, factor + accelerationValue) endif   if todaySAR > low then tomorrowTrend = -1 factor = initialValue tomorrowSAR = extremeValue extremeValue = low else tomorrowSAR = todaySAR + factor * (extremeValue - todaySAR) tomorrowSAR = min(tomorrowSAR, min(low, low[1])) endif   else   if extremeValue > low then extremeValue = low factor = min(limitValue, factor + accelerationValue) endif   if todaySAR < high then tomorrowTrend = 1 factor = initialValue tomorrowSAR = extremeValue extremeValue = high else tomorrowSAR = todaySAR + factor * (extremeValue - todaySAR) tomorrowSAR = max(tomorrowSAR, max(high, high[1])) endif   endif   endif   colorRed = 0 colorGreen = 0 colorBlue = 0   if todayTrend = 1 then colorGreen = 255 else colorRed = 255 endif   return todaySAR coloured(colorRed, colorGreen, colorBlue) style(point) as "ATD SAR"

  La variable todayTrend, au début, permet de déterminer si on démarre “long” (todayTrend=1) ou “short” (todayTrend=-1). Pour information, les graphiques obtenus sur le CAC 40 sont (visuellement) identiques à ceux fournis pour étalonnage par Philippe Cahen dans son “Grand Livre Bleu” (Analyse Technique et Volatilité), pages 75 à 77 (attention, dans mon exemplaire du GLB, les graphiques hebdomadaire et quotidien sont inversés).

  Amicalement

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  Iván, Nicolas

  

  Kobudera

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