Hi,
I've recently done a bit of research and programming related to Parabolic SAR. It seems that the SAR calculation you're using is the one described at stockcharts.com:
'''
RISING SAR >>>>>>>>>>>>>>>>>>>>>>>>>>>>
Prior SAR: The SAR value for the previous period.
Extreme Point (EP): The highest high of the current uptrend.
Acceleration Factor (AF): Starting at .02, AF increases by .02 each
time the extreme point makes a new high. AF can reach a maximum
of .20, no matter how long the uptrend extends.
Current SAR = Prior SAR + Prior AF(Prior EP - Prior SAR)
The Acceleration Factor is multiplied by the difference between the
Extreme Point and the prior period's SAR. This is then added to the
prior period's SAR. Note however that Rising SAR can never be above the
prior two periods' lows. Should SAR be above one of those lows, use
the lowest of the two for SAR.
FALLING SAR >>>>>>>>>>>>>>>>>>>>>>>>>>>>
Prior SAR: The SAR value for the previous period.
Extreme Point (EP): The lowest low of the current downtrend.
Acceleration Factor (AF): Starting at .02, AF increases by .02 each
time the extreme point makes a new low. AF can reach a maximum
of .20, no matter how long the downtrend extends.
Current SAR = Prior SAR - Prior AF(Prior SAR - Prior EP)
The Acceleration Factor is multiplied by the difference between the
Prior period's SAR and the Extreme Point. This is then subtracted
from the prior period's SAR. Note however that Falling SAR can never be
below the prior two periods' highs. Should SAR be below one of
those highs, use the highest of the two for SAR.
'''
"use the highest/lowest of the two for SAR"
I think that's incorrect and if you look at google images:
https://www.google.com/search?q=parabolic+sar&source=lnms&tbm=ischYou'll see that on SAR crossing MOST other professional charting engines including metatrader, talib, and tradingview are actually using the extreme price (EP) from the previous period as the new starting SAR and not the "highest/lowest of the two". You still use the max of the two to determine IF you cross... but not the new starting VALUE when you cross.
Here's your method:
and here's what I'm talking about:
I recently programmed a custom SAR indicator without the use of TA-lib for tradewave.net and documented some web research on the subject. Please have a read, python code is included:
https://discuss.tradewave.net/t/parabolic-sar-custom-without-ta-lib/220/10If you sign up for tradewave (its free) you can see how my code plots on their backtesting engine. In that thread I have included code for both your method (using max of last two candles as starting point on cross) and the method using EP.
It would be my suggestion that you consider changing your SAR calculation to reverse to previous period extreme point (EP) as it is the more common usage in the financial industry. Thanks for consideration. Also, if you have any solid research on why you should be using your method vs the EP method I'm very interested in citation/reference.
Also... much thanks for updating your main page many moons back from including BTCChina as the primary chinese exchange to Huobi as I suggested.
One last thing... I'm not sure what language your site is built with... but I have recently released python versions of about 30 custom indicators at tradewave.net You might be interested:
https://discuss.tradewave.net/category/code-examples/indicatorswell... one more last thing
why no links to any of the hidden markets you have on your site like:
https://bitcoinwisdom.com/markets/mintpal/myrbtc Myriadcoin
https://bitcoinwisdom.com/markets/mintpal/wcbtc Whitecoin
https://bitcoinwisdom.com/markets/mintpal/drkbtc Darkcoin
https://bitcoinwisdom.com/markets/mintpal/bcbtc Blackcoin
https://bitcoinwisdom.com/markets/mintpal/caibtc CAIshen
https://bitcoinwisdom.com/markets/mintpal/cinnibtc Cinnicoin
https://bitcoinwisdom.com/markets/mintpal/fltbtc Fluttercoin
https://bitcoinwisdom.com/markets/mintpal/zetbtc Zetacoin
http://bitcoinwisdom.com/markets/btce/xpmbtc.
https://bitcoinwisdom.com/markets/cryptsy/drkbtchttp://bitcoinwisdom.com/markets/cryptsy/vtcbtchttp://bitcoinwisdom.com/markets/cryptsy/qrkbtcIs there a fulll list anywhere? Maybe a set of links in the OP of this thread?
As always great work on your site, I check in daily!
litepresence
