Easy Swing Question

Optuma Scripting
1

I am trying to write a short script to plot 2% swing values with a binary indicator. If the close rises 2% from a swing low Show View would be +1. If the close falls 2% from a swing high, Show View = -1.

I tried working with the below script, but getting +1 with no change.

// 2% Swing
PctSwing = PERCENTSWING(PERCENT=2, BARS=1);
Start = SWINGSTART(PctSwing);
End = SWINGEND(PctSwing);

// +1 if Close > Swing Low by 2% 
// -1 if Close < Swing High by 2%
Binary = If(Close >= Start * 1.02,1,If( Close <= End * 0.98, -1, 0);

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I am clearly doing something wrong, but not sure what.

Many thanks,

Eric

2

Hi Eric,

Another way to look at it would be when the swing turns up, which by definition it must be >2% from the low. So this will show +1 for upward swings, and -1 for downward swings. Note that it has to wait for the +/-2% move to happen before the direction changes (highlighted by the Show Bar arrow).

Pct=PERCENTSWING(PERCENT=2.0);
V1=SwingUp(Pct);
IF(V1, 1, -1)

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We also have SWINGSTAT() which may be useful when looking for average swing lengths, eg average up swing length for the last 5 2% swings on AGG is 31 trading days:

Pct=PERCENTSWING(PERCENT=2.0);
SWINGSTAT(Pct,DEFAULT=AvgBars, SWINGS=5, TYPE=Up)

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Finally, here’s a post by Mathew explaining the complexities of using swing scripting formulas.

3

This is very helpful Darren.

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