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2002issue C041-7

Parabolic SAR construction from stop outputs to reversal signals

A multiple-output Parabolic SAR construction can expose today's stop, tomorrow's initial stop, end-of-bar position, and a reversal-day flag. A three-parameter form with a switch from 1 through 6 is six formulas in one.

  • A multiple-output construction can expose today's stop, tomorrow's initial stop, end-of-bar position, and a reversal-day flag at once.
  • Today's stop can differ from the next-bar initial stop on reversal days, so a current-bar plot is not the same object as the next-bar order price.
  • A switch-parameter from 1 through 6 selects today's stop, tomorrow's stop, or a reversal flag, using highs and lows or closes only.
  • End-of-bar position encoded as 1 or -1 is enough to write long-entry and short-entry rules from the position channel alone.
Entries in this reading1 entry
Current trackParabolic SAR21 readings

Four channels in one construction

Parabolic SAR is a stop-and-reverse construction that updates a stop from extreme prices and an acceleration factor, then can emit today's stop, tomorrow's stop, a position flag, or a reversal flag.

A multiple-output construction can expose four named channels at once. oParCl is today's stop. oParOp is tomorrow's initial stop. oPosition is the end-of-bar position. oTransition is a reversal-day flag.

In that construction, the acceleration-factor step is generally set to 0.02 and the acceleration-factor limit is generally set to 0.2. The acceleration-factor step is the increment applied to the acceleration factor as a trend continues. The acceleration-factor limit is the ceiling on the acceleration factor.

Today's stop versus the next-bar order

Today's stop output can differ from the initial stop on reversal days. oParCl is the constructed stop for the current bar and differs from the initial stop on reversal bars. oParOp is the constructed initial stop for the next bar. A plot of the current-bar stop is not the same object as the next-bar order price.

oPosition encodes end-of-bar position as 1 for long or -1 for short. oTransition returns 1 or -1 on a flip and 0 on a holding bar. Reversal days return 1 or -1 while holding days return 0. That encoding is enough to write long-entry and short-entry rules from the position channel alone.

Parabolic SAR stop on daily DJ_D1

A trader reading today's stop against the bars sees the cyan SAR hold below the December–January advance, cross to the short side after the mid-January high near 57, then flip long again when price undercuts the stop at the early-February low near 50. Point values were digitized from the NeoTicker SAMPLE_SAR screenshot; the window itself prints DJ_D1 at 54.37 on 12 February 2002.
A trader reading today's stop against the bars sees the cyan SAR hold below the December–January advance, cross to the short side after the mid-January high near 57, then flip long again when price undercuts the stop at the early-February low near 50. Point values were digitized from the NeoTicker SAMPLE_SAR screenshot; the window itself prints DJ_D1 at 54.37 on 12 February 2002.DJ_D1 · Daily · 2001-12-10T00:00:00.000Z to 2002-02-12T00:00:00.000Z

Read off the labeled 49.12–56.97 price scale at roughly one sample every few sessions. Precision is about 0.1 point; the unused DMI pane was not digitized.

A switch that selects six formulas

A three-parameter SAR formula with a switch-parameter from 1 through 6 is six formulas in one. The switch-parameter is an integer selector that chooses which SAR output to return and whether highs and lows or closes alone enter the calculation. The six forms cover highs and lows or closes only, and either today's stop, tomorrow's stop, or a reversal flag.

Switch 1 overlays today's stop on today's bars so reversals appear when bars penetrate the stops. Switch 2 returns tomorrow's stop so an order can be placed in advance. Switch 3 marks a short-to-long reversal as 1, a long-to-short reversal as -1, and a non-reversal as 0. Switches 4 through 6 repeat those three outputs using closes only.

Wrappers and a separate increment

Wrapper functions can hide the extra channels and return only today's stop. A custom wrapper still lets the caller set the acceleration-factor step and limit.

An alternate four-parameter form increments the acceleration factor by a separate increment argument instead of reusing the initial-value argument as the increment.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
10 of 21 in the Parabolic SAR track
20021-3 pp.Next on Parabolic SARAlways-in-market SAR trail with directional confirmationParabolic SAR is plotted as one marker per bar, below price while long and above price while short.
All readings on this track · 21 readings
  1. 1987Constructing parabolic stops and cycle-window averages
  2. 1989Evaluating always-in parabolic SAR trailing stops
  3. 1993Constructing parabolic time-price trailing stops
  4. 1995Constructing parabolic SAR as an accelerating trail
  5. 1995Constructing a noise-buffered parabolic trailing stop
  6. 1997Constructing a parabolic trailing stop that only tightens
  7. 1998Triangle breakouts filtered by an exponential average and exited with parabolic stops
  8. 2000Treat volume-price imbalance as a hypothesis and let Parabolic SAR hold the exit
  9. 2002Constructing volatility stops from average true range and parabolic SAR
  10. 2002Parabolic SAR construction from stop outputs to reversal signals
  11. 2002Always-in-market SAR trail with directional confirmation
  12. 2004Forex trend confirmation with Average Directional Index, Parabolic SAR, and trendlines
  13. 2006Permission and fill gates for mechanical systems
  14. 2008A Relative Strength Index channel for profit lock and a trailing stop for capital protection
  15. 2010Building loss limits from the parabolic stop-and-reverse plot
  16. 2015Dual-zone currency indexes filter parabolic SAR signals
  17. 2016A parabolic trailing stop is not a complete system
  18. 2019Assigning jobs in a stochastic, parabolic, and moving-average stack
  19. 2019A three-filter stack as a redundancy test
  20. 2020Mechanical Parabolic SAR as an always-in flip after a breakout
  21. 2020Layering Relative Strength Index, MACD, and Parabolic SAR onto relative rotation maps
By fieldIndicators and filters56 readingsBy year20025 readings
All 21 readings tagged Parabolic SAR
Also on Parabolic SAR5 readings
1987Constructing parabolic stops and cycle-window averages1989Evaluating always-in parabolic SAR trailing stops1993Constructing parabolic time-price trailing stops1995Constructing a noise-buffered parabolic trailing stop1995Constructing parabolic SAR as an accelerating trail