August 2011

BLOOMBERG: FIBONACCI/LUCAS TIME SERIES INDICATOR

The five-minute chart in Figure 2 shows a three-day trading period of 10-year Treasury note futures (TY). “Needle-like projections” are displayed on the charts in Andrew Coles’ article in this issue (“Automated Techniques For Intraday Traders”) in order to note the bars corresponding to significant numerical sequences. Coles’ article discusses two such sequences, Fibonacci and Lucas; our chart exhibits just the Fibonacci bar count.

Figure 2: BLOOMBERG, FIBONACCI AND LUCAS TIME SERIES INDICATOR. This five-minute chart shows the active futures continuous contract for 10-year Treasury notes over a three-day period in April 2011. Significant high and low swing points are used as starting points for the Fibonacci sequence of numbers. The counts following these swings often reveal other significant bars later in the chart.

The Bloomberg Custom Study platform includes functionality that allows the user to click on the chart to establish the starting bar for the study, rather than needing to manually input the date and time. However, this causes the study to initially display a count from the first bar on the chart. A right-click on the indicator will pop up a properties dialogue box as shown in Figure 2. In this case, users can click on the setting we’ve named “Fibonacci start” to establish a new beginning bar.

In addition, we have chosen to use Paint Bars to denote these beginning bars. The red, green, and purple arrows point to these beginning bars. In overlaying the three Fibonacci sequences beginning at important swing highs and lows, we can indeed see the significant occurrences mentioned by Coles. A major low is made within one bar of the point where the initial red count and the following green count overlap on the same bar, as shown by the black box with “55” and “13” in Figure 2, these being the counts of each color. Other noteworthy swing bars are also shown coinciding within one bar of the Fibonacci counts, as indicated by the corresponding circles on the needle projections.

Using the CS.Net framework within the Stdy<GO> function on the Bloomberg Terminal, C# or Visual Basic code can be used to display the Fibonacci and Lucas sequences described here. The C# code for this indicator is shown here.

Bloomberg code for Fibonacci/Lucas time series indicator

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using Bloomberg.Study.API;
using Bloomberg.Study.CoreAPI;
using Bloomberg.Study.Util;
using Bloomberg.Study.TA;
using Bloomberg.Math;

namespace Lucas_Series
{
    
    public partial class LucasSeries
    {
        // DateTime to hold the starting point for the sequence
        DateTime startPoint;

        private void Initialize()
        {
            //Create Lines to Output at Lucas Counts
            Output.Add("Lucas", new TimeSeries());
            StudyLine LucasLine = new StudyLine("Lucas", Color.Red);
            LucasLine.Style = LineStyle.Solid;
            LucasLine.Width = 1;
            ParentPanel.Visuals.Add("LucasCount", LucasLine);

            //Create Paint Bar mark start point of Lucas Count
            Output.Add("PaintBar", new TimeSeries());
            StudySignal paintBar = new StudySignal("PaintBar");
            paintBar.Marker = new PaintBar(Color.Cyan);
            ParentPanel.Visuals.Add("PaintBar", paintBar);

            // Register callback function for handling chart click to set a new start point
            Notifications.Add("Lucas Start", new StudyIndexNotification(lucStartCallback));
        }


        public override void Calculate()
        {
            // Find the min and max value of the chart data for plotting the needle projections
            double minValue = Input.Low.Minimum;
            double maxValue = Input.High.Maximum;

            int count = Input.Close.Count;
            TimeSeries paintBarData = new TimeSeries(count);
            TimeSeries lucasData = new TimeSeries(count, minValue);

            // This section will tie the color of the Paint Bar (clicked bar) to the color of the Lucas Lines
            StudyLine line = ParentPanel.Visuals["LucasCount"] as StudyLine;
            StudySignal signal = ParentPanel.Visuals["PaintBar"] as StudySignal;
            PaintBar paintBar = signal.Marker as PaintBar;
            paintBar.Color = line.Color;
            line.ShowValues(false);  // This stops the needle projections from showing a value in the legend


            // Intialize the start point to the beginning of the chart
            if (startPoint == null)
            {
                startPoint = Input.DateTimes[0];
            }

            // Find the starting point of the sequence based on the selected DateTime
            int startIndex = 0;
            while (startIndex < Input.Close.Count && Input.DateTimes[startIndex] < startPoint)
            {
                startIndex++;
            }

            // Mark the starting point with a paintBar
            paintBarData[startIndex] = 1;

            // Instead of manually inserting each Fibonacci count value, the study will compute them when
	     // applied to the chart. This allows the study to only compute the Fibonacci sequence up to the
	     // number of bars on the chart
            int tempLuc = 0;
            int prevLuc = 1;
            int luc = 3;
            while (startIndex + luc < Input.Close.Count)
            {
                lucasData[startIndex + luc - 1] = maxValue;
                tempLuc = luc;
                luc += prevLuc;
                prevLuc = tempLuc;
            }

            Output.Update("Lucas", lucasData);
            Output.Update("PaintBar", paintBarData);
        }

        // This is inserted to allow user to click on starting bar instead of manually inputting date and time
        public void lucStartCallback(int index)
        {
            // Reset the startPoint to the DateTime of the selected bar
            startPoint = Input.DateTimes[index];
            // Force the study to recalculate based on the new start point
            Calculate();
        }
    }

}

 
 

All Bloomberg code contributions to Traders’ Tips can also be found in the sample files provided with regular Sdk updates, and the studies will be included in the Bloomberg global study list.

—Bill Sindel, Bloomberg, LP
wsindel@bloomberg.net
www.bloomberg.com/professional

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eSIGNAL: FIBONACCI/LUCAS TIME SERIES INDICATOR

For this month’s Traders’ Tip, we’ve provided the formula “Fibonacci_Lucas_Series.efs” based on Andrew Coles’ article in this issue, “Automated Techniques For Intraday Traders.”

The study contains formula parameters to set the series type (Fibonacci or Lucas), color, and start date for the series calculation, which may be configured through the Edit Chart window. This study is also configured for use in a Watch List window for custom sorting.

To discuss this study or download a complete copy of the formula code, please visit the Efs Library Discussion Board forum under the Forums link from the support menu at www.esignal.com, or visit our Efs KnowledgeBase at https://www.esignal.com/support/kb/efs/. The eSignal formula scripts (Efs) are also shown below.

"Fibonacci_Lucas_Series.efs"

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2010) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Fibonacci And Lucas Automated Techniques For Intraday Traders
	
Version:            1.00  14/06/2010

Formula Parameters:                     Default:
Fibonacci/Lucas                         Fibonacci
Color                                   Color.lime
Select Start Date                       First Bar On Chart
Start Date (mm/dd/yyyy)                 null
Start Time (hh:mm)                      00:00

Notes:
    The related article is copyrighted material. If you are not a subscriber
    of Stocks & Commodities, please visit www.traders.com.

**********************************/

var fpArray = new Array();
var barOffset = 0;
var bVersion = null;

function preMain() {

    setStudyTitle("Fibonacci/Lucas Series");
    setPriceStudy(true);
    setCursorLabelName("Last Value of Sequence");
    setPlotType(PLOTTYPE_FLATLINES);
    
    var x=0;
    fpArray[x] = new FunctionParameter("gFL", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Fibonacci/Lucas");
        addOption("FIBONACCI"); 
        addOption("LUCAS"); 
        setDefault("FIBONACCI"); 
    }

    fpArray[x] = new FunctionParameter("gColor", FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName("Color");
        setDefault(Color.lime); 
    }    
    
    fpArray[x] = new FunctionParameter("gFirstBar", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Select Start Date");
        addOption("First Bar On Chart");
        addOption("User Defined");
        setDefault("First Bar On Chart"); 
    }
 
    fpArray[x] = new FunctionParameter("gDate", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Start Date (mm/dd/yyyy)");
        setDefault(""); 
    }

    fpArray[x] = new FunctionParameter("gTime", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Start Time (hh:mm)");
        setDefault("00:00"); 
    }
}

var bInit = false;
var startPos = 0;
var offsetBar = null;
var bFixColor = false;
var F1 = 5;
var F2 = 3;
var N = 1;
function main( gFL, gColor, gFirstBar, gDate, gTime )
{
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return; 
    
    if (getCurrentBarIndex() == 0 && getBarState() == BARSTATE_CURRENTBAR && bFixColor) setBarBgColor(gColor);

    if ( !bInit )
    {
        if  ( gFL == 'LUCAS' )
        {
            F1 = 3;
            F2 = 1;
            N = 1;
        }
        if ( gFirstBar !=  "User Defined" )  offsetBar = 0;
        else
        {
            var xDate = gDate.split("/");
            var xTime = (!isDWM()) ? gTime.split(":") : new Array("0","0");
            var startDate = new Date(xDate[2], xDate[0], xDate[1], xTime[0], xTime[1]);
            startPos = startDate.getTime();
        }
        bInit = true;
        if (offsetBar == 0)
        {
                setBarBgColor(gColor);
                drawTextRelative(0, BottomRow2, "Start" , gColor, null, Text.FRAME | Text.PRESET | Text.CENTER
 , "Arial", 11, "Start" );
                return "START";
        }
    }
    if ( getBarState() == BARSTATE_NEWBAR )
    {
        if ( isNull(offsetBar) )
        {    
            var currentDate = new Date(year(0), month(0), day(0), hour(0), minute(0));
            var currentPos = currentDate.getTime();
            if ( currentPos == startPos ) 
            {
                offsetBar = Math.abs(getOldestBarIndex() - getCurrentBarIndex()); 
                setBarBgColor(gColor);
                drawTextRelative(0, BottomRow2, "Start" , gColor, null, Text.FRAME | Text.PRESET | Text.CENTER,
 "Arial", 11, "Start" );
                return ("START");
            }
            if  ( currentPos > startPos  )
            {
                drawTextRelative(1, 20, " Date not availible ", Color.grey, null,
 Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.BOLD|Text.LEFT|Text.FRAME, null, 12, "dna");
                return ("Date not availible");
            }
        }
        else
        {
            if ( -getOldestBarIndex()-offsetBar-F1  == -getCurrentBarIndex() )
            {
                var b = F1;
                F1 +=F2;
                F2 = b; 
                N++;
                bFixColor = true;
                setBarBgColor(gColor);
                drawTextRelative(0, BottomRow3, " "+ N +" ", gColor, null, Text.FRAME | Text.PRESET |
 Text.CENTER , "Arial", 11, "N"+N );
                drawTextRelative(0, BottomRow2, F2+ " bars" , gColor, null, Text.FRAME | Text.PRESET |
 Text.CENTER , "Arial", 11, F2 );
                return ""+F2;
            }
            else
            {    
                bFixColor = false;
                var fromStart = -getOldestBarIndex()-offsetBar + getCurrentBarIndex(); 
                return ""+fromStart;
            }    
        }
    }    
}       

function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    return b;
}

A sample chart is shown in Figure 4.

Figure 4: eSIGNAL, FIBONACCI AND LUCAS TIME SERIES INDICATOR

—Jason Keck
Interactive Data Desktop Solutions
800 815-8256, www.eSignal.com/support/

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AMIBROKER: FIBONACCI/LUCAS TIME SERIES INDICATOR

In “Automated Techniques For Intraday Traders” in this issue, author Andrew Coles presents a simple timing technique based on Fibonacci and Lucas series.

A ready-to-use, all-in-one formula for the article is presented here. To use it, enter the formula in the Afl Editor, then press “Insert indicator.”

The starting point of a time series can be selected either by a mouse click on a chart or via the parameters window, which can also be used to define colors and determine which series should be plotted, Lucas or Fibonacci.

 
AmiBroker code for Fibonacci/Lucas time series indicator
function DrawSeries( start, series, Color )
{
  x = BarsSince( start );

  result = 0;

  for( i = 0; ( bar = StrToNum( StrExtract( series, i ) ) ) != 0; i++ )
  {
     result += x == bar;
  }

  Plot( result, "", Color, 
        styleHistogram | styleOwnScale | styleNoLabel, 0, 1 );
}

Plot( C, "Price", colorBlack, styleCandle );

FibSeries = "5,8,13,21,34,55,89,144,233,377,610,987,1597,2584,4181,6765";
LucSeries = "3,4,7,11,18,29,47,76,123,199,322,521,843,1364,2207,3571";

dn = ParamDate("Date", "", 0 );
tn = ParamTime("Time", "00:00:00", 0 );

bi = BarIndex();

if( ParamToggle("Start point", "Mouse select|Date input", 0 ) )
start = DateNum() == dn AND TimeNum() == tn;
else
start = bi == SelectedValue( bi );

if( start[ BarCount -1 ] ) 
  Title = "Click on chart to select starting point or enter date in the Parameters window";

fibon = ParamToggle("Fib Series", "Off|On", 1 );
fibcolor = ParamColor("Fib Color", colorRed );

lucon = ParamToggle("Lucas Series", "Off|On", 1 );
luccolor = ParamColor("Lucas Color", colorGreen );

if( fibon ) DrawSeries( start, FibSeries, fibcolor );
if( lucon ) DrawSeries( start, LucSeries , luccolor );

 
 

A sample chart is shown in Figure 6.

Figure 6: AMIBROKER, FIBONACCI AND LUCAS TIME SERIES INDICATOR. Here is an hourly price chart of EUR/USD with Fibonacci (red) and Lucas (green) series.

—Tomasz Janeczko
www.amibroker.com

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AIQ: THREE BLACK CROWS PATTERN

The Fibonacci time zones discussed in “Automated Techniques For Intraday Traders” by Andrew Coles in this issue can be implemented using the Fibonacci time zone chart tool in Aiq with no additional programming required.

Thus, I am instead providing code for the “Three Black Crows” candle pattern that is discussed in Thomas Bulkowski’s June 2011 article, “Top 10 Candles That Work.”

Coding candlestick patterns requires quite a bit of interpretation, since these patterns are described in relative terms like a “tall” candle or “closes in the lower portion of the bar.” Depending on the interpretation given to these relative terms, we can get different results. In my code set, shown below, I provide inputs that allow for some of the adjustments. The three black crows pattern has the following rules:

• Must have three tall candles in a row
• Pattern occurs in an uptrend and the first candle is the highest high
• The last two candles must open in the real body range of the prior candle
• All three must close near the low
• The last two candles must have lows that are lower than the prior low.

“Tall” means that the bars’ high–low range is greater than the 10-day average range that occurs just prior to the start of the pattern. An uptrend is defined as a linear regression slope of the closes greater than zero. “Closing near the low” is based on how many candle zones are input, which are then used to divide the range of the bar into zones. “Closing near the low” means that the close must fall in the lowest zone. In addition, the author suggests testing in a bull market. Bull market is defined here as when the 200-bar moving average of the Standard & Poor’s 500 is greater than it was 10 bars ago. A bear market occurs whenever it is not a bull market.

I tested the pattern by entering at the close on the day the pattern is complete and exiting at the close six days later. This provides a test with five overnights and five full bars held after the pattern completes. I used the Russell 3000 list of stocks and tested from 1/15/1970 to 6/13/2011. In the table in Figure 8, I show the comparative results of bull, bear, and combined bull and bear. It appears that this pattern works in both bull and bear markets, but there may not be enough signals to build a trading system from just this pattern alone.

Figure 8: AIQ SYSTEMS, THREE BLACK CROWS PATTERN. This table shows the metrics for the three black crows candle pattern for the test period 1/15/1970 to 6/13/2011 using the Russell 3000 list of stocks.

The Aiq code is shown here and the Eds file for this technique can be downloaded from www.TradersEdgeSystems.com/traderstips.htm.

AIQ code for three black crows pattern

!TOP 10 CANDLES THAT WORK: THREE BLACK CROWS 
!Author: Thomas N. Bulkowski, TASC June 2011
!Coded by: Richard Denning 6/14/11

!INPUTS:
RangeLen 	is 10.
CandleZones 	is 4.
HHLen 		is 10.
UpTrendLen 	is 10.

! ABBREVIATIONS:
C 	is [close].
C1	is valresult(C,1).
C2	is valresult(C,2).
H 	is [high].
L 	is [low].
L1	is valresult(L,1).
O 	is [open].
O1	is valresult(O,1).
OSD 	is offSetToDate(month(),day(),year()).

!BULL / BEAR MARKET DETERMINATION:
SPXc is TickerUDF("SPX",C).
Bull if simpleavg(C,200) > simpleavg(C,200,10).
Bear if not Bull.

!FUNCTIONS AND RULES FOR THREE BLACK CROWS CANDLE PATTERN:
Range is H - L.
HHoffset is scanany(H = ∧highresult(H,HHLen),HHLen) then OSD.
AvgRng is simpleavg(Range,RangeLen,∧HHoffset).
LowerZoneC if C < L + (Range * 1/CandleZones).
Tall if Range > AvgRng.
BlackCrow1 if Tall 
	and LowerZoneC 
	and slope2(C,UpTrendLen) > 0 
	and  H = highresult(H,HHLen).
BlackCrow2 if Tall 
	and LowerZoneC 
	and O <= O1 
	and O >= C1.
ThreeBlackCrows if valrule(BlackCrow1,2) 
	and countof(BlackCrow2,2)=2 
	and countof(L < L1,2)=2.
Bull3BlackCrows if Bull and ThreeBlackCrows.
Bear3BlackCrows if Bear and ThreeBlackCrows.

—Richard Denning
info@TradersEdgeSystems.com
for AIQ Systems

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TRADECISION: FIBONACCI/LUCAS TIME SERIES INDICATOR

In “Automated Techniques For Intraday Traders” in this issue, author Andrew Coles demonstrates how to automate the Fibonacci bar-counting technique and the Lucas number series to apply to intraday charts.

You can use Tradecision’s Indicator Builder to recreate the Fibonacci and Lucas series indicators. To import the strategy into Tradecision, visit the area “Traders’ Tips from Tasc Magazine” at www.tradecision.com/support/tasc_tips/tasc_traders_tips.htm, or copy the code from below.

A sample chart is shown in Figure 10.

FIGURE 10: TRADECISION, LUCAS SERIES INDICATOR. Here is a forex chart with a Lucas series plotted on the point where a trend reversal takes place.

Tradecision code for Fibonacci series indicator:

inputs
StartingMonth:"Starting Month", 1, 1, 12;
StartingDay:"Starting Day of Month", 1, 1, 31;
StartingYear:"Starting Year", 2004, 1980, 2100;
StartingHour:"Starting Hour", 1, 0, 24;
StartingMinute:"Starting Minute", 1, 0, 60;
end_inputs

var
x:=0;
StartBar:=0;
startFound:=false;
end_var

if HistorySize > 0 then  begin
   startFound:=startFound\1\;
   StartBar:=startBar\1\;
                         end;

if (not startFound and Year = StartingYear and Month = StartingMonth and DayOfMonth = StartingDay and Hour
 = StartingHour and Minute = StartingMinute) then
begin
   startBar:=BarNumber();
   startFound:=true;
end;

if (not startFound) then
   return 0;

x:= barnumber - startbar;
if x = 5 or x = 8 or x = 13 or x = 21 or x = 34 or x = 55 or x = 89 or x = 144 or x = 233 or x = 377 or x =
 610 or x = 987 or x = 1597 or x = 2584 or x = 4181 or x = 6765 then
return 1;

return 0;


Tradecision code for Lucas series indicator:

inputs
StartingMonth:"Starting Month", 1, 1, 12;
StartingDay:"Starting Day of Month", 1, 1, 31;
StartingYear:"Starting Year", 2004, 1980, 2100;
StartingHour:"Starting Hour", 1, 0, 24;
StartingMinute:"Starting Minute", 1, 0, 60;
end_inputs

var
x:=0;
StartBar:=0;
startFound:=false;
end_var

if HistorySize > 0 then  begin
   startFound:=startFound\1\;
   StartBar:=startBar\1\;
                         end;

if (not startFound and Year = StartingYear and Month = StartingMonth and DayOfMonth = StartingDay and Hour
 = StartingHour and Minute = StartingMinute) then
begin
   startBar:=BarNumber();
   startFound:=true;
end;

if (not startFound) then
   return 0;

x:= barnumber - startbar;
if x = 3 or x = 4 or x = 7 or x = 11 or x = 18 or x = 29 or x = 47 or x = 76 or x = 123 or x = 199 or x = 322
 or x = 512 or x = 843 or x = 1364 or x = 2207 or x = 3571 then
return 1;

return 0;

—Yana Timofeeva, Alyuda Research
510 931-7808, sales@tradecision.com
www.tradecision.com

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TRADE NAVIGATOR: FIBONACCI/LUCAS TIME SERIES INDICATOR

You can use TradeSense to recreate the automated techniques described by Andrew Coles in his article in this issue, “Automated Techniques For Intraday Traders.”

However, if you have Trade Navigator Gold, you have an even easier way to display Coles’ indicators on a chart. The Fibonacci Time Zone drawing tool in Trade Navigator Gold allows you to add these indicators to a chart with just two clicks. Simply click the Fibonacci Time Zone button in the drawing tools, then click the starting point on the chart (that is, the button named “Fib Time Zone”).

See Figure 12.

Figure 12: TRADE NAVIGATOR, FIBONACCI AND LUCAS TIME SERIES INDICATOR. The Fibonacci Time Zone drawing tool in Trade Navigator Gold allows you to add Andrew Coles’ Fibonacci and Lucas time series indicators to a chart with just two clicks. Simply click the Fibonacci Time Zone button in the drawing tools, then click the starting point on the chart (that is, the button named “Fib Time Zone”).

You can display this drawing tool as either lines or arcs (Figure 13). Select the Lucas series or Fibonacci series to match Coles’ examples. The Fibonacci Time Zone tool automatically uses the Fibonacci series unless you place a checkmark in the “Use Lucas numbers” option.

Figure 13: TRADE NAVIGATOR, Fibonacci Time Zone tool. The drawing tool can display the indicator as either lines or arcs.

This drawing tool will give you everything you need to employ the techniques presented in Coles’ article.

If you have the Greenblatt library in your version of Trade Navigator, the drawing tool will be called the Greenblatt Time Zone. The Greenblatt Time Zone tool allows you to choose Lucas or Fibonacci series using a dropdown menu.

—Michael Herman
Genesis Financial Technologies
www.TradeNavigator.com

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MICROSOFT EXCEL: FIBONACCI/LUCAS TIME SERIES INDICATORS

In “Automated Techniques For Intraday Traders” in this issue, author Andrew Coles begins a two-part exploration of time-based market studies. In this article, he makes use of intervals based on the Fibonacci and Lucas time series.

I do not have ready access to intraday data, so this Excel implementation uses end-of-day data. But as Coles notes in his article, the only real difference between intraday, daily, weekly, or longer time frames is how one goes about specifying the starting bar for a given Lucas or Fibonacci study.

After the starting bar for a given study series is established, it’s just a matter of performing relatively simple Excel formula jiujitsu to determine the bar count matchups relative to that starting bar.

In an Excel workbook, I have provided the ability to select and plot up to three Fibonacci and three Lucas number studies at the same time. Figure 15 shows plots for Fibonacci A, Lucas A, and Lucas C.

Figure 15: MICROSOFT EXCEL, FIBONACCI AND LUCAS TIME SERIES STUDIES. The spikes have been dynamically scaled to a different height for each series to assist in visual discrimination between series of similar color.

As you can see from this figure as well as from Coles’ examples, the chart starts to get a little busy. Following Coles’ example in his Figure 1 of his article, I have dynamically scaled the spikes for each series to a different height to assist in visually discriminating between series of similar color.

If you have access to historical intraday data, the Notes tab outlines the simple cell format changes you would need to make in order to use this workbook with intraday data.

This workbook incorporates the chart data windowing ability I introduced in previous Excel Traders’ Tips. To take advantage of this feature, you will need to enable Vba macro content when prompted. Even if you choose not to enable Vba macro content, you may view the macros after you open the spreadsheet by using Alt-F11 to open the Vba integrated development environment.

Click this link: FibonacciAndLucasNumberStudies.xls to download the spreadsheet file.

—Ron McAllister
EXCEL and VBA Programmer
rpmac_xltt@sprynet.com

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VT TRADER: FIBONACCI/LUCAS TIME SERIES INDICATOR

Our Traders’ Tip this month is based on “Automated Techniques For Intraday Traders” in this issue by Andrew Coles.

In the article, which is the first of two parts, Coles discusses Fibonacci bar-counting and the Lucas number series. He describes how these techniques can be automated and applied to intraday chart analysis.

We’ll be offering a Fibonacci/Lucas time series indicator for download in our VT client forums at https://forum.vtsystems.com, along with hundreds of other precoded and free indicators and trading systems. The VT Trader step-by-step instructions for recreating the Fibonacci/Lucas time series indicator are as follows:

1. VT Trader’s Ribbon→Technical Analysis menu→Indicators group→Indicators Builder→[New] button
2. In the General tab, type the following text into each corresponding text box:

   
   Name: TASC - 08/2011 - Fibonacci/Lucus Time Series
   Function Name Alias: tasc_fibLucasSeries
   Label Mask:
   TASC - 08/2011 - Fibonacci/Lucus Time Series
          		(Start M/D/Y H:M: %sm%/%sd%/%sy% %sh%:%se%)
   Placement: New Frame
   Data Inspection Alias: Fib / Lucus Time Series
   
   

3. In the Input Variable(s) tab, create the following variables:

   
   [New] button...
   Name: sm
   Display Name: Starting Month
   Type: integer (with bounds)
   Default: 1
   Min Bounds: 1
   Max Bounds: 12
   
   [New] button...
   Name: sd
   Display Name: Starting Day of Month
   Type: integer (with bounds)
   Default: 1
   Min Bounds: 1
   Max Bounds: 31
   
   [New] button...
   Name: sy
   Display Name: Starting Year
   Type: integer (with bounds)
   Default: 2011
   Min Bounds: 1980
   Max Bounds: 2100
   
   [New] button...
   Name: sh
   Display Name: Hour
   Type: integer (with bounds)
   Default: 0
   Min Bounds: 0
   Max Bounds: 23
   
   [New] button...
   Name: se
   Display Name: Minute
   Type: integer (with bounds)
   Default: 0
   Min Bounds: 0
   Max Bounds: 59
   
   [New] button...
   Name: fns
   Display Name: Show Fibonacci Series?
   Type: enumeration
   Default: Yes (* To set up list: click [..] button -> click [New] Button -> type "No" -> click [New] button
    -> type "Yes" -> click [OK] button)
   
   [New] button...
   Name: lns
   Display Name: Show Lucas Series?
   Type: enumeration
   Default: Yes (* To set up list: click [..] button -> click [New] Button -> type "No" -> click [New] button
    -> type "Yes" -> click [OK] button)
   
   

4. In the Output Variable(s) tab, create the following variables:

   
   [New] button...
   Var Name: Fibonacci	
   Name: (Fibonacci)
   Line Color: blue
   Line Width: slightly thicker
   Line Type: histogram
   
   [New] button...
   Var Name: Lucas	
   Name: (Lucas)
   Line Color: red
   Line Width: slightly thicker
   Line Type: histogram
   
   

5. In the Horizontal Line tab, create the following horizontal lines:

   
   [New] button...
   Value: 0
   Line Color: black
   Line Width: thin
   Line Type: dashed
   
   

6. In the Formula tab, copy and paste the following formula:

   
   {Provided By: Capital Market Services, LLC & Visual Trading Systems, LLC}
   {Copyright: 2011}
   {Description: TASC, August 2011 - "About Fibonacci and Lucus - 
   Automated Techniques for Intraday Traders" by Andrew Coles, PhD}
   {File: tasc_fibLucasSeries.vtscr - Version 1.0}
   
   start:= sd=DayOfMonth() AND sm=Month() AND sy=Year() AND sh=Hour() AND se=Minute();
   
   x:= BarsSince(start);
   
   Fibonacci:= fns=1 AND (
                          x=5 OR
                          x=8 OR
                          x=13 OR
                          x=21 OR
                          x=34 OR
                          x=55 OR
                          x=89 OR
                          x=144 OR
                          x=233 OR
                          x=377 OR
                          x=610 OR
                          x=987 OR
                          x=1597 OR
                          x=2584 OR
                          x=4181 OR
                          x=6765
                         );
   
   Lucas:= lns=1 AND (
                      x=3 OR
                      x=4 OR
                      x=7 OR
                      x=11 OR
                      x=18 OR
                      x=29 OR
                      x=47 OR
                      x=76 OR
                      x=123 OR
                      x=199 OR
                      x=322 OR
                      x=521 OR
                      x=843 OR
                      x=1364 OR
                      x=2207 OR
                      x=3571
                     );
                     
   

7. Click the “Save” icon in the toolbar to finish building the Fibonacci/Lucas time series indicator.

To attach the indicator to a chart (Figure 17), click the right mouse button within the chart window and then select “Add Indicator” → “Tasc - 08/2011 - Fibonacci/Lucas Time Series” from the indicator list. To learn more about VT Trader, visit www.vtsystems.com.

Figure 17: VT TRADER, FIBONACCI/LUCAS TIME SERIES INDICATOR. Here is the Fibonacci/Lucas time series indicator attached to a EUR/USD one-hour candlestick chart.

—Chris Skidmore, Visual Trading Systems, LLC
212 871-1747, info@vtsystems.com
www.vtsystems.com

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