PnF coding issue

GreyingSurfer

Active member
173 0
Excuse me if this is perhaps not the ideal thread to host this, but this seems to be where the active PnFers are hanging out at present.

I have a little problem with a differnce between the output of my PnF calcs and Sierras, using the same data file. It's more of a theoretical than a coding question, really.

The problem arises with some oldish data I'm using at the moment which is only stored at 5 mins. Using a 10x3 chart some bars are long enough to get a reversal within the bar. My code simply looks for a new box in the direction of the current PnF bar, and only considers the possibility of a reversal if that step fails. So if the PnF is up, and the current price bar goes up enough to plot a new O then that's it, however far down the close of the bar might end up.

Sierra does it differently, I'm still working out exactly how. But clearly it looks at the open first. In one case I'm looking at I'm in a PnF down bar/column. The next price bar opens up, but not far enough to reverse, it then goes on far enough to reverse the PnF at the high. Finally the close of the price bar is also the low, and far enough down to reverse again. So Sierra ends up drawing 2 PnF columns for a single price column.

In the case I've given it's pretty clear that the price went up, and then closed at the low, so it went down afterwards. However, things aren't always so clear cut, so if I'm trying to code this more globally, what sort of rules should be applied?

What is the answer here? I know the real answer is not to use 5 min data, so this doesn't arise. However, it's what I have at present, and I still want to get this sorted more generally. Which approach is "more correct"? And does anyone know if there are any generally approved strategies to apply in this case?
 

Henry

Active member
177 2
Hi Peter, don't know if this is the "correct" way to plot P&F, but it suggests on StockCharts.com that you look first at the direction of your current column to see if you can add another box, then look and see if there was enough movement the other way to create a reversal. It doesnt seem to matter which order the up and down movement occured in :
http://stockcharts.com/education/How/AnalysisTools/pnfCharts.html

Sounds like we're thinking along similar lines (again) - I was considering writing something to do P&F charts, but I'm finding Sierra ok for the time being.

H.
 

GreyingSurfer

Active member
173 0
Thanks, Henry. I'll look at that.

I'm not really interested in writing something to display PnFs, that's too much effort, I've got something very scrubby done, but to do better than Sierra's just too much effort. What I am trying to do is run some backtests on PnF strategies, so I need to calculate the PnFs within my own software. Since I've now standardised on Sierra format for all my data I can use Sierra to do the PnF displays for me and make sure I'm looking at the right things, which is how I came across this problem.

I'm hoping to give you a run for the wooden mouse this afternoon :)
 

oatman

Senior member
2,879 22
Sounds a bit complicated the way you describe it. I think you are using hilo and the other programme plots only on the close price. Does that make sense?
It doesn't matter what time frame chart you're using. It's your choice.

Good luck,
Don't know if it was a slip but X's are always up and O's down.
 

GreyingSurfer

Active member
173 0
Hi, Oatman,

No Sierra doesn't just use the close, it sometimes plots 2 PnF columns for a single price bar, so it clearly makes use of the high and low at least, and I suspect it's also looking at the open and close to guess the order of movement (i.e. up first, down 2nd or reverse).

Henry,

I looked at stock charts. Unfortunately it just describes what I do already. There's now way with what they describe of plotting 2 columns from one price bar.
 

Henry

Active member
177 2
I'm hoping to give you a run for the wooden mouse this afternoon :)

Dr Blix has kindly arranged to commence speaking right at the start of the suicide session again for us today, to ensure there is plenty of movement in the market to liven things up :D
 

zambuck

Experienced member
1,608 102
oatman said:
Sounds a bit complicated the way you describe it. I think you are using hilo and the other programme plots only on the close price. Does that make sense?
It doesn't matter what time frame chart you're using. It's your choice.

Good luck,
Don't know if it was a slip but X's are always up and O's down.

Hi Oatman....good posts on updata TA mate....

I may be wrong but there is a situation when both X and O are in the same column in Wykoff Method...so what happens then...? is it going up or going down...??? What is the situation there....and what must one read in that formation..???

Any observations appreciated...
 

GreyingSurfer

Active member
173 0
oatman said:
Don't know if it was a slip but X's are always up and O's down.

Hi, oatman, zambuck

Yes it was just a slip, I meant X, not O. Sorry I only just noticed that remark, and didn't reply earlier to it.
 

oatman

Senior member
2,879 22
Hi all,

I don't know about W**koff or whatever his name is. I'll have to take a look. I just use the regular method. I've never heard of 2 lines the same running together. It can only go up once and then down or vice versa. I look for the ordinary breaks when the line of Xs or Os goes beyond the previous of the same. I also usetrendlines on it as well.

Good luck,
 
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bansir

Well-known member
494 42
Hi folks,
Interesting thread, I guess a crucial question is what do we regard as definitive P&F.
I suspect the charting package vendors to some extent do their own thing; I spent a few hours trying to work out 'Sharescopes'
system when I discoverd it didn't tally with the section in Murphy's
TA book. I gave up in the end and just acepted that it was different.
Perhaps I should email Sierra, do you think they would give us their rules for P&F plots?

All the Best,
Neil
 

GreyingSurfer

Active member
173 0
Neil,

I've posted a request for details of how they calculate the PnF on their support board. Hopefully I will get a response, we'll see. Otherwise I'm going to have to do some reverse engineering.

I suspect you are right about different packages doing different things. However, since I currently trade using Sierra I want to make sure that any backtesting I use is consistent with their method
 

bansir

Well-known member
494 42
Peter,
Any chance of a copy of their response? Or could I just view it on the support board?
It's a shame they don't seem to include the details in the manual.
Great package though for the price.

Best Regards,
Neil
 

bansir

Well-known member
494 42
Peter,
Iv'e just had alook at your post on SC support.
I hope they come up with the goods for you.
Cheers,
Neil
 

oatman

Senior member
2,879 22
Furthermore....

I also have the well respected Indexia2 software. The producer of this great programme is Jeremy Du Plessis, who sold out to Updata. The idea was to put Indexia style into Windows (Indexia is in Dos). DuPlessis reckons that most software programmes don't know how to produce accurate P&F charts.
Obviously 'e ain't gonna say why! But from these posts, he's probably right.

See ya later,
 
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fowkesp

Active member
129 0
For a unique interpretation of P&F charts, have a look at eSignal's (obviously, only if you've got the software and datafeed). Set to 3X3 on a FTSE Futures 1min chart they bear so little resemblance to SierraChart's, that you'd swear they were different underlying instruments. The only way to get them vaguely similar is to set eSignal to 3X1.

When I used to run SuperCharts RealTime, I seem to remember that P&F looked Ok there. However, with TS2000i, which I use for backtesting, the P&F option is greyed out, so I am having to use either eSignal or SierraChart.

It seems only to confirm that eveyone has their own approach to coding P&F charts.
 
 
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