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Class A divergence
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sonu panwar View Drop Down
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Posts: 5 		Post Options Post Options   Quote sonu panwar Quote  Post ReplyReply Direct Link To This Post Topic: Class A divergence
    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

%20D_f%28P%5Cparallel%20Q%29%20=%20%5Cint_%7b%5COmega%7d%20f%5Cleft%28%5Cfrac%7bdP%7d%7bdQ%7d%5Cright%29%5C,dQ.

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

%20D_f%28P%5Cparallel%20Q%29%20=%20%5Cint_%7b%5COmega%7d%20f%5Cleft%28%5Cfrac%7bp%28x%29%7d%7bq%28x%29%7d%5Cright%29q%28x%29%5C,d%5Cmu%28x%29.

Instances of f-divergences
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maximo View Drop Down
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post 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));

y;

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

(Try AND Trx1<Trx2 AND Try1>Try2);

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

(Pky AND Pkx1>Pkx2 AND Pky1<Pky2);

 
 
¸.·°¯°·.¸¸.-> Merry Christmas <-.¸¸.·°¯°·.¸   
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hektorgsd View Drop Down
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Posts: 2 		Post Options Post Options   Quote hektorgsd Quote  Post ReplyReply Direct Link To This Post Posted: 24 Dec 2009 at 4:28pm

Hi Maximo,

 
That really makes it quicker. I really appreciate your helpClap
 
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
 
H.
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maximo View Drop Down
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post 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));

y;

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

(Try AND Trx1<Trx2 AND Try1>Try2);

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

(Pky AND Pkx1>Pkx2 AND Pky1<Pky2);



Edited by maximo - 23 Dec 2009 at 11:02pm
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hektorgsd View Drop Down
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Posts: 2 		Post Options Post Options   Quote hektorgsd Quote  Post ReplyReply Direct Link To This Post 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
H.
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Bana View Drop Down
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Posted: 08 May 2009 at 11:30am
thanks Maximo...just saw the further enhancements you had posted.

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jalna View Drop Down
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Posts: 95 		Post Options Post Options   Quote jalna Quote  Post ReplyReply Direct Link To This Post Posted: 02 May 2009 at 10:08pm
Hi Maximo, what a great bit of code writing. Thanks, its a great indicator. Thanks heaps
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maximo View Drop Down
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post 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
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jalna View Drop Down
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Posts: 95 		Post Options Post Options   Quote jalna Quote  Post ReplyReply Direct Link To This Post 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
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maximo View Drop Down
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 26 Apr 2009 at 1:01am

Example of multi-matching. 
 

 



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