Cfb channel+oma
One (simple this time) implementation of cfb : cfb channel
This channel is a high/low channel with a twist. The channel and its "speed" are modified by a "stochastic-ised" cfb in order to be more responsive
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Of parameters :CfbResultSmooth-> when set to values > 1 smooths internal cfb results used by this indicatorCfbDepth, CfbPriceand CfbSmoothare the parameters passed to cfb, and for explanation of them, please look at the previous post.Depth1-> the minimal "depth" of the high/low lookback
Depth2-> the maximal "depth" of the high/low lookback
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PS: this indicator is made as a direct idea of Mark Jurik, and is interesting as a simplest implementation of cfb in another indicator. Later on will be posted some much more useful implementations (like cfb modified speed of RSX, for example) Also attached the stochastic of the cfb - it might be interesting to see exactly when and why is the channel modified, but also there is some interesting behavior of the stochastic version itself as a standalone indicatorMladen,
Your CFB channel is very interesting when used in combination with your OMA,usual settings I use that I explained at your "one more average" thread.
Please see pic...The basic idea is as follows...for longs(inverse for shorts,same concept)
1-SETUP:Price Closes below external OMA,once the OMAS have crossed(Adaptive over non Adaptive)
2-Entry trigger:We wait for the cfb channel band to flatten,then enter at bar close...this will usually give us an entry with price action in our favour,and good "company" (orderflow)...so,we will not enter at the low,but we will enter a very good probability trade....see pic with the arrow
3-Stoploss:1/2 ATR Below lower low,which,probably,will be previous bar low...move to BE once first TP is touched or, in case you choose OPTION2 for TP,when 1 H4 ATR is reached....then Trail(optional,I personally do not believe in trailing stops)
4-TP:
Option1: 1/3 at 1 ATR H4,1/3 at near support,1/3 At next OMA cross.
Option2: 1/2 at 1 D1 ATR,1/2 at next OMA cross...
I think that this basic method can be used to catch the 123..or first retracement at the beginning of a new swing.
Additionally,I have been testing your CFB Stochastic with CRB bars,there are interesting patterns there,for sure,but totally unrelated to the "usual" stochastics behaviour ...When I am sure about them,I will post an example.
Regards
S
Thanks Mladen for your indicator and detailed explanation! Between you and Simba, a continuous learning experience.
Thanks Mladen for your indicator and detailed explanation! Between you and Simba, a continuous learning experience.
Thanks Tools,between you and Mladen kind help,it is a continuous learning experience
S
Thanks Mladen
cfb definition
Mladen, the CFB indeed looks intriguing. Would it be possible to post its mathematical definition?
I realize that you did post the source and the original wealth lab code, which formally speaking are "definitions".
What I'm asking is for something that abstracts away the implementation details (a pseudo code would be just fine).
Thanks.
trendick
:)
trendick,
I think that, in the end, it all comes to one line of code (the rest is the "sampling", "analysis" and the "confirmation" part). That line would be the following (it is the part of calculateCFB function) :
As you can see it is a kind of momentum (absolute momentum, to be more precise, I used a _roc in name and it could be as well a definition : an absolute rate of change) All the rest is is there to "refine" it and to make sure that sample data from predefined points is confirming same direction. If it does, than the assumption is that there is a valid trend
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But, I would also like to add that the fact that its "secret" is a momentum does not make it worth less (at least it is my opinion) : some of the best indicators I have seen are based on momentum and I think that the momentum is one of the most useful ways found and applied in technical analysis. This one tends to be on my list of favorites because it is not a "trigger happy" indicator that jumps on every little change declaring it a "trend"
regards
mladen
guess who?
The picture shows CFB and VHS smoothed. VHS should look even better with more sophisticated smoothing (here I simply draw the signal line, already existing in the VHF implementation by Igorad).
Now tell me that the name "composite fractal behavior" is at the least not misleading...
- trendick
CFB etc
Mladen, thanks for the explanation.
Check out the striking resemblence to cousin VHF (bottom panel), which computes noise as the "total variation" (sum of absolute momentum values).
Some appropriate smoothing of VHF might make them even closer.
I saw that your code disables the first seven Depths (2,3,4,6,8,12,16).
Why is that?
The way I currently use CFB is straightforward, to reject entry signals showing up on a down swing of the CFB. A shallow study shows that this use has decent potential to eliminate bad entries. What's your favourite application of CFB?
Another question: among the various CFB normalizations you implemented, were you able to indentify anyone that is better than the others?
Regards,
trendick
...
OK
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Let test it : here is one that is smoothed. As a basis I used the one made by igorad and added the latest Jurik smoothing. Found one more but that one has a logical error in my opinion - the way how lows and highs in the "other" one are found do not seem to be logical :
double LCP = Low[Lowest(NULL,0,MODE_CLOSE,period,bar)];
[/php]While, in igorads version it is (if we would write the code the same way)
[php] double HCP = Close;
double LCP = Close[Lowest(NULL,0,MODE_CLOSE,period,bar)];
I would like to remind that cfb is rising when it indicates that there is a "trend". You will find that there are considerable differences in the way indicators are showing values (marked 2 periods with 3 vertical lines). Even if the values look similar (which is normal since the basis for the 2 is almost the same) at the first glance, in "critical periods" they are actually indicating different "things"
So, I would not dismiss either of the indicators. As I told, in my opinion, momentum based indicators are very useful ones and every one that is there and does it job decently, can be used.
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PS: thanks for the pointing to this direction. It is always good (and crucial) to know the similarities and differences between tools and now we have some more light on both indicators
regards
mladen
The picture shows CFB and VHS smoothed. VHS should look even better with more sophisticated smoothing (here I simply draw the signal line, already existing in the VHF implementation by Igorad).
Now tell me that the name "composite fractal behavior" is at the least not misleading...
- trendick...
As of "composite fractal behavior" name, and if it is misleading or not :
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The main difference in the way that VHF and CFB work is the way how they treat a "chunk of time" (Length wide time segment in cases of both indicators) VHF is treating it "linearly" : start point and end point and that is all. CFB takes samples from smaller "chunks" to longer "chunks" and from those samples it calculates its value.
If we remember the fractal definition (the original Mandelbrot fractal definition) of self similarity regardless of the "chunk" we are observing, then CFB is doing exactly what it is saying : comparing smaller "chunks" with larger and larger "chunks" in order to find similarity. So, the name is not misleading (this time Mark Jurik did not do what he sometimes does : like when he renamed a smoothed Spearman to TPO )
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And the last : the seven disabled Depths (2,3,4,6,8,12,16) - they are not disabled, but are just a basic bricks that are taken into consideration but are not shown since their lengths are not long enough to show any kind of trend.
Hope this clarifies the CFB. Not preaching but in this case it seems that CFB deserves its name
regards
mladen
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In describing the cfb I am going to cheat : since it was invented by Jurik, here is what he is saying about it :
What is the Theory Behind CFB ? Does CFB find the Dominant Cycle ? How would I use CFB's results ? Do I specify a "period length" for CFB?________________________________
Now that was Jurik
The main problem in building this indicator for metatrader was the shear number of buffers it must use for its calculations and the calculations itself. There were some attempts to make it, but those were stopped at a first step : making a basic calculation function and that was all that was done. This is the "real" one. With some additions of course
In this indicator the "period" is replaced with "depth" :What deviates from Juriks cfb is the post smoothing : since the slope should determine the "trending" or "no trending" that I thought that some smoothing would not hurt. Smoothing used is the one from one more average and gives satisfactory results. Do not confuse the Smooth parameter with SmoothResult, SmoothSpeedand SmoothAdaptiveparameters. Smooth is a part of cfb calculations and the last 3 are used to smooth the already calculated cfb.
PS: attached a welth lab source that I used as a model for this indicator. Do not be alarmed when you compare the two sources : that is cfb (value wise the same thing, believe me, just everything can be done a BIT differently and faster ) Also attached what can be found and what people wrongly believe to be a cfb : the cfbAux function (this function is a correct, if you compare it to those posted on some sites )
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Updated version posted here : Composite Fractal Behavior and its aplications