Fractal-indicator-with-a-specified-period

We've got the GannSwing indicator that does the same in the PowerPack but with the hardcoded period of 2 - as per the original concept of William Gann. I see no harm to customize the "period" (i.e. the number of bars before and after the peak/trough bar). Let's make it flexible in the next build of PP.

GannSwing isn't the same thing. Why not add the period to FractalUp and FractalDown (and Bar methods) making the Period an optional parameter so as not to break anything?

A good idea, but since GannSwing is an oscillator with values of 0-1, this will not solve the main purpose - building strategies from blocks to open positions on local lows and highs. For example:

QUOTE:
Why not add the period to FractalUp and FractalDown (and Bar methods) making the Period an optional parameter so as not to break anything?

Added in PowerPack B23.

In a failed "attempt" to understand fractals better, I tried to convert the WL6 fractal demo example into WL8. What I got below is a total mess.


Could someone please fix my conversion below so it makes better sense? I'm running PowerPack Build 22.

CODE:
using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.PowerPack;

namespace WealthScript4 
{
   public class FractalDemo : UserStrategyBase
   {
      //Based from WL6 code:  www2.wealth-lab.com/WL5Wiki/FractalUp.ashx
      static readonly string upFractal = "\x87";
      static readonly string dnFractal = "\x88";
      
      public void ShowFractals(TimeSeries fractalUpBars, TimeSeries fractalDnBars)
      {
         WLFont dingbats = new WLFont("Wingdings 3", 18, true);
         for (int n = 5; n < fractalUpBars.Count; n++)
         {
            if (fractalUpBars[n] > fractalUpBars[n-1])
               DrawBarAnnotation(upFractal, (int)fractalUpBars[n], true, WLColor.DarkGreen, 18, font: dingbats);
            
            else if (fractalDnBars[n] > fractalDnBars[n-1])
               DrawBarAnnotation(dnFractal, (int)fractalUpBars[n], false, WLColor.DarkRed, 18, font: dingbats);
         }
      }

      public override void Initialize(BarHistory bars)
      {
         /* Fractals */
         TimeSeries frUpBar = new FractalUpBar(bars.High);
         TimeSeries frDnBar = new FractalDownBar(bars.Low);
         ShowFractals(frUpBar, frDnBar);

         FractalUp frUp = new FractalUp(bars.High);
         FractalDown frDn = new FractalDown(bars.Low);
         PlotIndicator(frUp, WLColor.Blue, PlotStyle.Dots);
         PlotIndicator(frDn, WLColor.Fuchsia, PlotStyle.Dots);
      }

      public override void Execute(BarHistory bars, int idx) { }
   }
}

It's simply a copy/paste error:

CODE:
//DrawBarAnnotation(dnFractal, (int)fractalUpBars[n], false, WLColor.DarkRed, 18, font: dingbats);
DrawBarAnnotation(dnFractal, (int)fractalDnBars[n], false, WLColor.DarkRed, 18, font: dingbats);

Wow, I didn't see that typo until I studied your correction for over a minute. Yes, that fix makes a big difference. Thanks for the help!

The FractalUp and FractalDown indicators are based on Bill Williams' book, Trading Chaos.

I replaced the FractalUp and FractalDown dot plots with one PlotIndicatorBands plot, which looks less cluttered.

CODE:
         FractalUp frUp = new FractalUp(bars.High);
         FractalDown frDn = new FractalDown(bars.Low);
         PlotIndicatorBands(frUp, frDn, WLColor.Yellow, 1, 7);
         //PlotIndicator(frUp, WLColor.Blue, PlotStyle.Dots);
         //PlotIndicator(frDn, WLColor.Fuchsia, PlotStyle.Dots);

The screenshot below includes the recommended fix discussed in Post #6.

I see that the period was added to the indicator, but now it does not work correctly

True. Back to the drawing board.

Just wanted to add to @fred9999's note of Jun 15th...

I plotted a 4-period (n=4) FractalDown indicator on the daily chart of SPY:


There are 2 issues:
- the indicator starts plotting 1 (occasionally 2) bars before 'n' bars have passed since the Pivot Low was formed; I highlighted the most recent one though others are also visible in the pic
- the value of this aberrant 1-bar-early plot always equals the Low of the bar preceding the Pivot Low... perhaps this may provide a clue as to the fix

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What's the problem?

If the period is 10, then on the right and left there should be 10 bars below the fractal. Only then does it become a fractal.



Here there are 10 bars on the left, and only three on the right. Therefore it cannot be a fractal.

Your screenshot in Post #14 confuses me. What it's showing is the FractalDown(Low) indicator. That's the blue line, reflected by the indicator's blue label on the chart. A penetration of an interim high does not reset the low count. You're treating the FractalDown as it would be FractalUp.

Okay, so as not to confuse the FractalDown, let’s remove it. Now the entry is at the breakout of the FractalUP(10), and the exit is in five days.

The indicator code should be something like this:

CODE:

int n = 10

if (bars.High[idx -n] > Highest.Value(idx, bars.High, n))
if (bars.High[idx - n] > Highest.Value(idx-n-1, bars.High, n ))
FRACTAL_UP = bars.High[idx - n];

I was flicking through some charts and an aberrant FractalUp (High, 5) plot caught my eye:
Symbol: QQQ/ Scale: Daily/ WealthData/ Time frame evaluated: Nov-Dec 2023


The 6-bar plot of FractalUp (from 11/28/23 - 12/5/23) starts plotting with a value of 391.41 which was the high of 11/20/23 bar but...
- on 11/22/23, 2 bars later, there was a higher High at 393.07
- on 11/29/23, 4 bars later, there was another higher High at 394.14

By definition, there should be 'n' bars (here, 5) on either side of the High for it to be labelled a fractal. That entire 6-bar plot of FractalUp shouldn't be there.
Hopefully this'll get fixed soon.

P.S.
- didn't check other values besides 5
- didn't check FractalDown

Thanks for bringing our attention to the bug. We'll get it squashed for PowerPack B41.