beathespread

Hi Geeege

THis is the code for ACF. From this it could be possible to write the Partial ACF

//+-------------------------------------------------------------------------+
void ACF(double x[], double& a[])
{

int p = MathPow(2, NN);
int n=ArraySize(x);
double rxx[],r,E,tmp;
ArrayResize(rxx,p+1);
int i,j,k,kh,ki;

for(j=0;j<=p;j++)
{
rxx[j]=0.0;
for(i=j;i<n;i++)
rxx[j]+=x[i]*x[i-j];
}
E=rxx[0];

Print(" E=rxx[0] "+E);

for(k=1;k<=p;k++)
{

r=-rxx[k];
for(i=1;i<k;i++)
r-=a[i]*rxx[k-i];
if ( E != 0)
r/=E;

a[k]=r;
kh=k/2;
for(i=1;i<=kh;i++)
{
ki=k-i;
tmp=a[i];
a[i]+=r*a[ki];
if(i!=ki)
a[ki]+=r*tmp;
}

E*=(1-r*r);
}
}

This kind of price gap happen mainly from friday to sunday - as first big gap on the picture. The second one could be caused by other reasons - maybe some manipulations ... The second one do not influences indicators significantly due to its size ... size (pips) which triggers function and duration depend on settings of params ... Some indicators are not influenced much or scalping not may not to care about it. IMHO ACF can handle the second case, I am not sure if it can handle the first big one. There are some strategies waiting for this big gap and assumes that price wil go back to direction and/or level before price gap. I tested it and it is not the rule ...nothing to be trusted for trading...

well , this price gap can happen quite every day, when Swiss banks need to set the CHF currency closed by  1.20

ok, Geeege

try to put the MinMax  here : http://beathespread.com/file/view/24132/moving-minmax-for-geeeegee

I will check other indicators, particularly, the PFEHP available here : http://beathespread.com/file/view/16415/indicator-for-detecting-buy-sell-level-w-pfehp-you-need-the-pfehp-indicator