Point and Figure problem and suggestion

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signalworks
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Point and Figure problem and suggestion

Postby signalworks » 31 May 2018

Hi,

I discovered an inconsistency when changing sessions that looks like a mistake to me.

My settings: Resolution 1 tick | BoxSize 3000 | Reversal 1

It is displayed correctly in the two screens pf_01_#: In pf_01_sessionEnd the High/Low is 24.030. In pf_01_sessionOpen the SessionOpen is 24.060 and the High is 24.090. So far so good.
In pf_02_sessionEnd, SessionEnd is high/low at 24,330. pf_02_sessionOpen has at least one box size above SessionEnd: SessionOpen is 24,360, so another X should be displayed here.

Now briefly another important point: Since I need a correct signal generation (only in the chart, no order routing) on limit basis, the signaling in this P&F chart display is unsuitable, since no exact highs and lows are displayed. Here an option should be available in the settings: -> Display highs/lows (The existing setting High/Low-Range has no effect in this respect). In the picture pf_as-I-like-to-wish I copied this with a P&F-indicator and illustrated it manually with ellipses and X. The areas of the blue marked rectangles are decisive. Can you add to that?
Thanks and regards.
Attachments
_pf_issue_01_sessionEnd.png
_pf_issue_01_sessionEnd.png (27.3 KiB) Viewed 1013 times
_pf_issue_01_sessionOpen.png
_pf_issue_01_sessionOpen.png (26.94 KiB) Viewed 1013 times
_pf_issue_02_sessionEnd.png
_pf_issue_02_sessionEnd.png (30.21 KiB) Viewed 1013 times
_pf_issue_02_sessionOpen.png
_pf_issue_02_sessionOpen.png (28.96 KiB) Viewed 1013 times
_pf_as-I-would-like-to-see.png
_pf_as-I-would-like-to-see.png (36.5 KiB) Viewed 1013 times

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Anna MultiCharts
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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 01 Jun 2018

Hello, signalworks!

We’re analyzing this. I’ll get back to you once there’s any news.

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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 06 Jun 2018

Signalworks,

Here’s the reply from our engineers:
- As for the huge box size – we’ve thoroughly studied the technical requirements and peculiarities of the algorithm realization, and this seems to be expected behavior. A P&F bar doesn’t always correspond to its representation in Xs and Os. The bar is built from boxes that are found on certain levels. These levels are determined by the current prices of the base resolution: for the current price the closest upper or lower level is selected depending on the type of the box and the price movement. The level is found in the middle of Xs or Os.
For Xs the box is started from a lower level and grows up, for Os the box is started from an upper level and goes down. The type of the box is determined by the direction of the first two ticks: if the second tick is higher, then the box will be an X-box, if the second tick is lower – an O-box.
So the initial ticks are included into the corresponding box if it is built properly and the shape – X or O – doesn’t determine the real box placing.
- As for the differences of P&F construction on different sessions (when OHLC prices are different from seemingly identical X and O boxes) – according to the algorithm of P&F chart construction all depends on the chart construction start point. The beginning of the first bar and its prices according to which the virtual levels are formed and preserved across the whole chart with one sessions will be different from the beginning of the first bar and its prices with other sessions, so the virtual levels will be different as well.
We have plans for introducing the possibility to determine the price for the first bar in session so that the price is not too far away from the real price and rounded off to the closest integer number. Currently targeted for MultiCharts 13, but this can change.
- As for displaying small Xs and Os to complement for the real price movement – this contradicts with the P&F concept where all prices that are smaller that Box Size are ignored. If you need this kind of improvement then you might want to submit a feature request on this page so that our management and developers team could view it: http://www.multicharts.com/pm/
At some point we might add wicks and real open/close to the P&F charts. If you find this solution acceptable for you, then please vote for it so it has more chances to be implemented earlier:
https://www.multicharts.com/pm/public/m ... es/MC-1242

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Re: Point and Figure problem and suggestion

Postby signalworks » 06 Jun 2018

Thank you for the explanation. Exactly, wick + fuse + real open + real close are my wish. I voted for the PM entry.
But I don't understand this sentence: "The type of the box is determined by the direction of the first two ticks: if the second tick is higher, then the box will be an X-box, if the second tick is lower - an O-box." If this were the case, the chart would not look like this;-) My knowledge of P&F used to be that a reverse box would occur when the high (or high of the current box) reverses larger than the box size (multiplied by #Reversal). The same is true for your wiki: "...New Xs or Os are added to the chart once the price changes by more than a predefined amount. Once the price moves to the opposite direction by more than a predefined amount, a new column is plotted....."
I can't imagine a definition of a box based on the first two ticks. Can you explain the 2-tick context in more detail? Thank you very much.
Regards.

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Anna MultiCharts
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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 08 Jun 2018

signalworks,

sorry for confusion, I’ll describe what I meant below in more detail. Hope this would be more helpful.

To understand how the P&F charts with huge box sizes are constructed the understanding of the following is required:

Levels:
- P&F boxes are constructed on levels – the levels depend on the base resolution prices and box size itself. These levels create a virtual grid, within which the boxes will be formed. Currently centers of P&F boxes are attached to these levels (if you’d like to add the possibility to attach the upper and lower box borders to the levels, please leave a feature request here: http://www.multicharts.com/pm/)
- The smaller the box size is, the smaller is the distance between levels of the virtual grid, the higher precision is and the more detailed the P&F chart is.
- The bigger the box size is, the bigger is the distance between the levels and the bigger the boxes are, but they are still attached to the levels. It may come to a point, where the boxes extend from the area of real prices. Please see the screenshot
P&F.png
P&F.png (44.01 KiB) Viewed 948 times
On it we have:
1. a yellow P&F chart with a small box size = 80
2. a blue P&F chart with a huge box size = 800
3. a green regular OHLC chart of 8000 ticks resolution just for referrence
Yellow horizontal lines stand for the levels of the yellow P&F chart, blue lines – for the levels of the blue P&F chart.
So from this illustration that is clear to see that the smaller the box size is the more precise is the P&F chart, and the bigger the box size - the less correctly the real prices are covered by P&F.
- When a P&F chart is constructed the closest level is chosen as a center of the future box.

Price direction:
- How do you determine the price direction that determines the type (X or O) of a box? The price direction is determined by the prices of the base resolution, e.g: if the base resolution is 4 hours then Close prices of the two neighboring 4-hour bars will be compared.
- On the attached screenshot you can see that the price direction was determined to be growing due to C1<C2 (Close of the first bar was lower than the Close of the second bar of the base resolution), so an X-box was created.

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Re: Point and Figure problem and suggestion

Postby signalworks » 18 Jun 2018

Thank you, Anna, for this explanation. It's basically clear to me. The crux of the matter is the session transition. Without the "Break on Session" option activated, the p&f chart display is correct. However, if the "Break on Session" option is activated, the first p&f bar is not correct. I have created an indicator that accurately traces the p&f logic. The difference is visible in the two screenshots. If "Break on Session" is active, the first p&f bar in the example is drawn in red, although the market price still rises above 3xbox size. (see Indicator: 3 green lines in steps, each line change corresponds to a BoxSize).
The calculation of the segments from sessionopen should be done according to the scheme

Code: Select all

intPortion((high - close_box[1]) / boxSize) * boxSize
. Since the boxing trend from the previous day is still rising, a rising box would have to be assumed for the time being. And from SessionOpen the market rises by another 3 BoxSizes.
The question is: why is the first bar "red" calculated there?
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pf vs regular_without breakOnSession_.PNG
pf vs regular_without breakOnSession_.PNG (16.38 KiB) Viewed 922 times
pf vs regular_with breakOnSession_.PNG
pf vs regular_with breakOnSession_.PNG (14.35 KiB) Viewed 922 times

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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 18 Jun 2018

signalworks,

- When Break on Session is disabled then the direction of the initial box is calculated once in the chart’s beginning taking into account the Closes of the frist 2 bars of base resolution. And the following boxes depends on this initial one.
- When Break on Session is enabled the direction of the initial box is calculated each time a new session starts as well on the Closes of the frist 2 bars of base resolution.
- If you insert both Point and Figure and regular data series of one and the same resolution on one chart then you’ll see how the direction of Os and Xs depends on the beginning point of the regular dataseries. Please see the screenshot.
P&F_BS.png
P&F_BS.png (86.57 KiB) Viewed 917 times

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Re: Point and Figure problem and suggestion

Postby signalworks » 18 Jun 2018

thanks, Anna. Yes, but this is not unique enough for me. With "Break on Session", this first initial calculation works against my BoxSize setting. Here the calculation should be continued exactly as before with the boxsize. (my suggestion). Therefore, a second X series can also be created at the start of the session (activated with the "Break on Session" option). The resulting gap is important to me. Without the option the gap is skipped, which is ok. With the "Break on Session" option, the session transition is calculated differently. With my suggestion for a script-based chart generation one could build it the way one need it :-) Thank you.

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Re: Point and Figure problem and suggestion

Postby signalworks » 18 Jun 2018

concluding in one sentence, which is my requirement here:
With the "Break on Session" option activated, the BoxSize should be calculated exactly the same as without the "Break on Session" option activated, except for the gap display. :-)

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Re: Point and Figure problem and suggestion

Postby TJ » 18 Jun 2018

concluding in one sentence, which is my requirement here:
With the "Break on Session" option activated, the BoxSize should be calculated exactly the same as without the "Break on Session" option activated, except for the gap display. :-)

This has been debated and discussed and argued and refined many times. You can do a search for previous discussions.

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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 22 Jun 2018

concluding in one sentence, which is my requirement here:
With the "Break on Session" option activated, the BoxSize should be calculated exactly the same as without the "Break on Session" option activated, except for the gap display. :-)
signalworks,

Could you please provide more details on how you’d like this to be done:
1) do you want the bars to be built as if Break on Session (BS) is disabled but with sessions are still taken into account? What is wrong with sessions in the current realization of charts with BS disabled? What don’t you like about the chart without BS?
2) would you like X- and O-bars to be split into 2 halves at the BS but keeping the trend? E.g.: on a chart without BS there’s an X-column (Low=5, High=15), let’s say that the session was closed at 8. With BS does the X-column have to be split into parts: a part of X-column from 5 to 8 will be left for the previous session, and a part of X-column from 8 to 15 will go to the next session?
If this is not what you have in mind, please describe your suggestion in more detail.

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Re: Point and Figure problem and suggestion

Postby signalworks » 22 Jun 2018

Thanks,Anna. Your point 2 is exactly what I need. The session should be interrupted, as is the case in regular charts. (I need the real gap). In addition, the trend of the previous day is to remain valid if necessary, provided that the direction continues. It is basically simple from the arithmetic: It is calculated from the close of the box of the previous day. It could be that the market rises less than the BoxSize from the SessionStart, but in the gap calculation from the Box before a BoxSize is exceeded, at least one x-Box would have to be shown (in the upward case). So the box from the previous day should be split as described in point 2. Regards.

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Re: Point and Figure problem and suggestion

Postby signalworks » 22 Jun 2018

yet a wish: Please make the type CandleStick available for P&F under FormatInstrument->Style->ChartType. And as desired by other users: Candles including wicks would be the perfect addition.

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Re: Point and Figure problem and suggestion

Postby Anna MultiCharts » 27 Jun 2018

signalworks,

Thank you for your suggestion. Unfortunately adding this functionality doesn’t fit our roadmap at the moment. You can leave a feature request if you would like to have it in future: http://www.multicharts.com/pm/
If other users are also interested in having this in platform they will be able to vote for this improvement.
If you’d like us to do this as a custom development project please contact us at support@multicharts.com


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