Negative/Reverse Divergence

lonew0lf · May 28, 2010

Following on the great work done by aaa on the divergence indicator; I wanted to know if someone could potentially help in creating an indicator which shows negative or reverse divergence.

The attached indicator is a slight tweak from aaa's, and shows regular divergence only. The attached images show the negative divergence.

// StochRSI Divergence TrendLine
// Author: MARKPLEX
// http://markplex.com/tutorial4.php
// version: 1.0

// Author: aaa
// version: 2.0
// Date: 20091129
// added: 
// divergence on top +
// Line.Color.Top + Line.Color.Bot + Line.Size + Plot.Sto in inputs

//----------------------------------------------------
inputs:
//----------------------------------------------------


RSILength(9),
StochLength(18),
KLength(6),
DLength(3),
OverSold(20),
OverBought(80),
Length(20),
LeftStrength(3),
RightStrength(3),
Line.Color.Top(yellow),
Line.Color.Bot(white),
Line.Size(2),
Plot.stochrsi(1),
AlertOn.Off(1);

//---------------------------------------------------- 
variables:
//----------------------------------------------------

DToscK(0), 
DToscD(0),

oPivotPrice1(0),
oPivotBar1(0),
oPivotPrice2(0),
oPivotBar2(0),

oPivotPrice11(0),
oPivotBar11(0),
oPivotPrice12(0),
oPivotBar12(0);

value1 = FastKCustomEasy(RSI(C, RSILength),StochLength);
DToscK =  average(value1,KLength);
DToscD = average(DToscK,DLength);

Condition1 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

Condition11 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

Condition2 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

Condition12 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition1 and Condition2 // added condition2 = referecne future data
	AND L[oPivotBar2] >= L[oPivotBar1] 
	AND DToscK[oPivotBar2] < DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New(D[oPivotBar2], T[oPivotBar2], L[oPivotBar2], D[oPivotBar1], T[oPivotBar1], L[oPivotBar1]); 
	TL_SetColor( Value2, Line.Color.Bot );
	TL_SetSize(  Value2, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "Divergence in Bottom" );
End;

If 
	Condition11 and Condition12 // added condition12  referecne future data
	AND H[oPivotBar12] <= H[oPivotBar11] 
	AND DToscK[oPivotBar12] > DToscK[oPivotBar11] then 
Begin
	Value12 = TL_New(D[oPivotBar12], T[oPivotBar12], H[oPivotBar12], D[oPivotBar11], T[oPivotBar11], H[oPivotBar11]); 
	TL_SetColor( Value12, Line.Color.Top );
	TL_SetSize(  Value12, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "Divergence in Top" );

End;

condition3 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

condition32 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

condition4 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

condition42 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition3 and condition4 
	AND L[oPivotBar2] >= L[oPivotBar1] 
	AND DToscK[oPivotBar2] < DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New_SELF(D[oPivotBar2], T[oPivotBar2], DToscK[oPivotBar2], D[oPivotBar1], T[oPivotBar1], DToscK[oPivotBar1]); 
	TL_SetColor( Value2, Line.Color.Bot );
	TL_SetSize(  Value2, Line.Size  );
End;

If 
	Condition32 and Condition42
	AND H[oPivotBar12] <= H[oPivotBar11] 
	AND DToscK[oPivotBar12] > DToscK[oPivotBar11] then 
Begin
	Value12 = TL_New_SELF(D[oPivotBar12], T[oPivotBar12], DToscK[oPivotBar12], D[oPivotBar11], T[oPivotBar11], DToscK[oPivotBar11]); 
	TL_SetColor( Value12, Line.Color.Top );
	TL_SetSize(  Value12, Line.Size  );
End;

Plot1( DToscK, "stochrsi",      blue );
plot2( 20,    "oversold", white);
plot3(80, "overbought", white);

aaa · May 28, 2010

Hi

Following on the great work done by aaa on the divergence indicator;

First of all thank you very much for the kind words,

but I've done nothing =

it is a 100% code from one of Martyn Whittaker' Xcellent 46 free tutorial

martyn.whittaker@markplex.com

***********

His site is a real gold mine 2 learn EL

http://markplex.com/tutorials.php

 
If 
[u]Condition1[/u] and 
[u]Condition2[/u] AND
L[oPivotBar2] [b][u]>=[/u][/b] L[oPivotBar1]  AND 
DToscK[oPivotBar2] [b][u]<[/u][/b] DToscK[oPivotBar1] 
then 
Value2 = TL_New(D[oPivotBar2], T[oPivotBar2],[b][u] L[oPivotBar2[/u][/b]], D[oPivotBar1], T[oPivotBar1], [u][b]L[oPivotBar1[/b][/u]]);

Have U tried 2 "reverse" the code or anything else ?

When we post our personnal work ( even tho if it doesn't work ),

and if there is a solution,

they is always a kind coder 2 help us here.

rgds

Edited May 28, 2010 by aaa

lonew0lf · May 29, 2010

aaa - i initially tried the inverse but all that did was kick off errors. I finally got this one to work.

// StochRSI Divergence TrendLine
// Author: MARKPLEX
// http://markplex.com/tutorial4.php
// version: 1.0

// Author: aaa
// version: 2.0
// Date: 20091129
// added: 
// divergence on top +
// Line.Color.Top + Line.Color.Bot + Line.Size + Plot.Sto in inputs

//----------------------------------------------------
inputs:
//----------------------------------------------------


RSILength(9),
StochLength(18),
KLength(6),
DLength(3),
OverSold(20),
OverBought(80),
Length(20),
LeftStrength(3),
RightStrength(3),
Line.Color.Top(yellow),
Line.Color.Bot(white),
Line.Size(2),
Plot.stochrsi(1),
AlertOn.Off(1);

//---------------------------------------------------- 
variables:
//----------------------------------------------------

DToscK(0), 
DToscD(0),

oPivotPrice1(0),
oPivotBar1(0),
oPivotPrice2(0),
oPivotBar2(0),

oPivotPrice11(0),
oPivotBar11(0),
oPivotPrice12(0),
oPivotBar12(0);

value1 = FastKCustomEasy(RSI(C, RSILength),StochLength);
DToscK =  average(value1,KLength);
DToscD = average(DToscK,DLength);

Condition1 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

Condition11 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

Condition2 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

Condition12 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition1 and Condition2 // added condition2 = referecne future data
	AND L[oPivotBar1] >= L[oPivotBar2] 
	AND DToscK[oPivotBar2] > DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New(D[oPivotBar2], T[oPivotBar2], L[oPivotBar2], D[oPivotBar1], T[oPivotBar1], L[oPivotBar1]); 
	TL_SetColor( Value2, Line.Color.Bot );
	TL_SetSize(  Value2, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "Hid Div Bottom" );
End;

If 
	Condition11 and Condition12 // added condition12  referecne future data
	AND H[oPivotBar11] <= H[oPivotBar12] 
	AND DToscK[oPivotBar11] > DToscK[oPivotBar12] then 
Begin
	Value12 = TL_New(D[oPivotBar12], T[oPivotBar12], H[oPivotBar12], D[oPivotBar11], T[oPivotBar11], H[oPivotBar11]); 
	TL_SetColor( Value12, Line.Color.Top );
	TL_SetSize(  Value12, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "Hid Div Top" );
End;

condition3 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

condition32 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

condition4 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

condition42 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition3 and condition4 
	AND L[oPivotBar1] >= L[oPivotBar2] 
	AND DToscK[oPivotBar2] > DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New_SELF(D[oPivotBar2], T[oPivotBar2], DToscK[oPivotBar2], D[oPivotBar1], T[oPivotBar1], DToscK[oPivotBar1]); 
	TL_SetColor( Value2, Line.Color.Bot );
	TL_SetSize(  Value2, Line.Size  );
End;

If 
	Condition32 and Condition42
	AND H[oPivotBar11] <= H[oPivotBar12] 
	AND DToscK[oPivotBar11] > DToscK[oPivotBar12] then 
Begin
	Value12 = TL_New_SELF(D[oPivotBar12], T[oPivotBar12], DToscK[oPivotBar12], D[oPivotBar11], T[oPivotBar11], DToscK[oPivotBar11]); 
	TL_SetColor( Value12, Line.Color.Top );
	TL_SetSize(  Value12, Line.Size  );
End;

Plot1( DToscK, "stochrsi",      blue );
plot2( 20,    "oversold", white);
plot3(80, "overbought", white);

aaa · May 30, 2010

Hi LoneWolf

The solution was hidden in my suggestion ( HeHeHe !!)

and U've made good homework

*****************

I will not post any more Div indic than Sto + Rsi + MACD

In fact I try 2 trade with the trend, not against it.

Below is the Martyn Whittaker' logic of divergence

Everybody can easily apply it 2 any kind of indicators in 3 steps

1 Copy the entire Divergence code 2 your new div TrendLine indicator

2 Put the code of your preferate indicator in My.Indicator variable

3 Add personnal ideas 2 suit your way of Trading

rgds

aaa

***********************

inputs:

MyIndicator.Length(30),

variables:

My.Indicator(0),

My.Indicator=RSI(Close,MyIndicator.Length);

Condition1=Pivot(

My.Indicator,Length,LeftStrength,RightStrength,1,-1,

oPivotPrice1,oPivotBar1)<>-1 AND

(oPivotBar1-RightStrength)=0;

Condition2=Pivot(

My.Indicator,,Length,LeftStrength,RightStrength,2,-1,

oPivotPrice2,oPivotBar2)<>-1;

If

Condition1AND

Condition2AND

L[oPivotBar2]>=L[oPivotBar1]AND

My.Indicator,[oPivotBar2]> My.Indicator,[oPivotBar1]then // Change the sign < divergence > hidden divergence

etc..

**************

Edited May 30, 2010 by aaa

lonew0lf · May 31, 2010

I agree with you on staying with the trend. That was my reason why having the hidden divergence was important since it shows a continuation of the trend.

I seem to be running into a new problem now, it appears that the indicator is firing off alerts late. In the attached picture for example (15 min chart). The positive divergence is completed at 1am est, however the alert doesn't trigger until 1:45am.

I looked at the code but can't seem to figure out what's causing the delay. Open to suggestions.


//----------------------------------------------------
inputs:
//----------------------------------------------------


RSILength(9),
StochLength(18),
KLength(6),
DLength(3),
OverSold(20),
OverBought(80),
Length(20),
LeftStrength(3),
RightStrength(3),
Div.Color.Down(yellow),
Div.Color.Up(white),
HD.Color.Down (red),
HD.Color.Up (green),
Line.Size(2),
Plot.stochrsi(1),
AlertOn.Off(1);

//---------------------------------------------------- 
variables:
//----------------------------------------------------

DToscK(0), 
DToscD(0),

oPivotPrice1(0),
oPivotBar1(0),
oPivotPrice2(0),
oPivotBar2(0),

oPivotPrice11(0),
oPivotBar11(0),
oPivotPrice12(0),
oPivotBar12(0);

value1 = FastKCustomEasy(RSI(C, RSILength),StochLength);
DToscK =  average(value1,KLength);
DToscD = average(DToscK,DLength);

Condition1 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

Condition11 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

Condition2 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

Condition12 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition1 and Condition2 // added condition2 = referecne future data
	AND L[oPivotBar1] >= L[oPivotBar2] 
	AND DToscK[oPivotBar2] > DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New(D[oPivotBar2], T[oPivotBar2], L[oPivotBar2], D[oPivotBar1], T[oPivotBar1], L[oPivotBar1]); 
	TL_SetColor( Value2, HD.Color.up );
	TL_SetSize(  Value2, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "HD Bottom" );
End;

	If 
	Condition1 and Condition2 // added condition2 = referecne future data
	AND L[oPivotBar2] >= L[oPivotBar1] 
	AND DToscK[oPivotBar2] < DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New(D[oPivotBar2], T[oPivotBar2], L[oPivotBar2], D[oPivotBar1], T[oPivotBar1], L[oPivotBar1]); 
	TL_SetColor( Value2, Div.Color.up );
	TL_SetSize(  Value2, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "DIV Bottom" );
End;

If 
	Condition11 and Condition12 // added condition12  referecne future data
	AND H[oPivotBar11] <= H[oPivotBar12] 
	AND DToscK[oPivotBar11] > DToscK[oPivotBar12] then 
Begin
	Value12 = TL_New(D[oPivotBar12], T[oPivotBar12], H[oPivotBar12], D[oPivotBar11], T[oPivotBar11], H[oPivotBar11]); 
	TL_SetColor( Value12, HD.Color.down );
	TL_SetSize(  Value12, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "HD Top" );
End;

	If 
	Condition11 and Condition12 // added condition12  referecne future data
	AND H[oPivotBar12] <= H[oPivotBar11] 
	AND DToscK[oPivotBar12] > DToscK[oPivotBar11] then 
Begin
	Value12 = TL_New(D[oPivotBar12], T[oPivotBar12], H[oPivotBar12], D[oPivotBar11], T[oPivotBar11], H[oPivotBar11]); 
	TL_SetColor( Value12, Div.Color.down );
	TL_SetSize(  Value12, Line.Size  );
		if AlertOn.Off <> 0 then
			Alert( "DIV Top" );

End;


condition3 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, -1, oPivotPrice1, oPivotBar1 ) <> -1 
	AND ( oPivotBar1 - RightStrength ) = 0 ;

condition32 = Pivot( DToscK, Length, LeftStrength, RightStrength, 1, 1, oPivotPrice11, oPivotBar11 ) <> -1 
	AND ( oPivotBar11 - RightStrength ) = 0 ;

condition4 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, -1, oPivotPrice2, oPivotBar2 ) <> -1;

condition42 = Pivot( DToscK, Length, LeftStrength, RightStrength, 2, 1, oPivotPrice12, oPivotBar12 ) <> -1;

If 
	Condition3 and condition4 
	AND L[oPivotBar1] >= L[oPivotBar2] 
	AND DToscK[oPivotBar2] > DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New_SELF(D[oPivotBar2], T[oPivotBar2], DToscK[oPivotBar2], D[oPivotBar1], T[oPivotBar1], DToscK[oPivotBar1]); 
	TL_SetColor( Value2, HD.Color.up );
	TL_SetSize(  Value2, Line.Size  );
End;

	If 
	Condition3 and condition4 
	AND L[oPivotBar2] >= L[oPivotBar1] 
	AND DToscK[oPivotBar2] < DToscK[oPivotBar1] then 
Begin
	Value2 = TL_New_SELF(D[oPivotBar2], T[oPivotBar2], DToscK[oPivotBar2], D[oPivotBar1], T[oPivotBar1], DToscK[oPivotBar1]); 
	TL_SetColor( Value2, Div.Color.up );
	TL_SetSize(  Value2, Line.Size  );
End;


If 
	Condition32 and Condition42
	AND H[oPivotBar11] <= H[oPivotBar12] 
	AND DToscK[oPivotBar11] > DToscK[oPivotBar12] then 
Begin
	Value12 = TL_New_SELF(D[oPivotBar12], T[oPivotBar12], DToscK[oPivotBar12], D[oPivotBar11], T[oPivotBar11], DToscK[oPivotBar11]); 
	TL_SetColor( Value12, HD.Color.down );
	TL_SetSize(  Value12, Line.Size  );
End;

	If 
	Condition32 and Condition42
	AND H[oPivotBar12] <= H[oPivotBar11] 
	AND DToscK[oPivotBar12] > DToscK[oPivotBar11] then 
Begin
	Value12 = TL_New_SELF(D[oPivotBar12], T[oPivotBar12], DToscK[oPivotBar12], D[oPivotBar11], T[oPivotBar11], DToscK[oPivotBar11]); 
	TL_SetColor( Value12, Div.Color.down );
	TL_SetSize(  Value12, Line.Size  );
End;

Plot1( DToscK, "stochrsi",      blue );
plot2( 20,    "oversold", white);
plot3(80, "overbought", white);

aaa · May 31, 2010

It is "normal"

Unfortunately pivot is not a RT function

Suggestion

RightStrength(2),

try 2 put 2 and U'll have 2 wait 2 bars instead of 3

**************************

The PPivot function returns the value of a pivot point and the number of bars ago the pivot occurred.

RightStrength

Numeric

Sets the required number of bars on the right side of the pivot bar.

*************************************

aaa

*************************

PS I'm wondering how 2 trade if we have 2 wait 3 bars (45 mns delay in your resolution) 2 have a signal ?!

Same problem with Carter scalper

After Observing during a long time a market, we can visualy anticipate a divergence with prior signs

IMO it's interesting 2 put an order at The anticipated level at the opposite of the trend (A kangourou tail where traders changing position)

and after waiting 4 a div or any kind of other confirmation

or exit with a quick profit

If it works, it's like a lift rocket !

But it is risky Bcoz we can get killed many times B4 it works

And then

A traders enters after, when the divergence signal is confirmed

B There is a DT/DB and it was an 2 early entry

C Or the trend keep going and the stop is reached

Not easy

At the end it's a matter of observation and intuitive quick decision + strong stomach

********************************

On your graph we can C

a kangourou trail ( in fact 1 + 1 the second one killed the first one)

a lift rocket

DB with certainly a divergence

and then the trend changes at the broken line where there was certainly a lot of stop buy orders above

So what should we do after 1:00 AM ?

Take profit ?

Trust in the hidden div and hold our position ?

Edited May 31, 2010 by aaa

lonew0lf · May 31, 2010

I've been using the divergence as the first trigger followed by a trend change (ttm trend) as confirmation. I finally noticed on the higher time frames (hourly, daily) that the trigger was way to slow.

I use the 15min, 1hr, etc as a signal for the direction I want to trade in and use a 3 min chart for entry.

I'll try changing the right strength to 2, why not use 1?

aaa · May 31, 2010

I'll try changing the right strength to 2, why not use 1?

Put 3 charts on the same screen

Put right strength to 1

Put right strength to 2

Put right strength to 3

in each screen

and choose the one which suits U best

lonew0lf · May 31, 2010

I was being fictitious on the rightstrenth of 1.

Is it possible to have the indicator plot the divergence line, even though you have to wait the 3 bars for confirmation.

For example, TTM Trend for example will paint the current bar the anticipated colour before the bar closes. Would that be possible for this indicator where it plots the potential divergence as its happening rather than after the fact?

snowbird · June 1, 2010

What is the Tradestation equivalent for TL_New ( I assume this is an array or variable for the new "reverse divergent" trendline to be plotted next... but is undefined and therefore unrecognized in TS.

snowbird

Tams · June 1, 2010

What is the Tradestation equivalent for TL_New ( I assume this is an array or variable for the new "reverse divergent" trendline to be plotted next... but is undefined and therefore unrecognized in TS.

snowbird

press the [F1] key and see...

TL_NEW is available in recent releases of TradeStation, but not in the older version (eg. T2000).

aaa · June 1, 2010

Would that be possible for this indicator where it plots the potential divergence as its happening rather than after the fact?

With pivot function, I'm afraid that not less than 1 bar on the right side of the pivot bar...

The Pivot function returns the value of a pivot point and the number of bars ago the pivot occurred.

RightStrength = Sets the required number of bars on the right side of the pivot bar.

********************************

But keep "optimistic", as TAMS wrote

anything is POSSIBLE

if you can visualize it, quantify it, articulate it, you can code it.

Edited June 1, 2010 by aaa

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