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Rank: Advanced Member
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http://www.investopedia.com/articles/technical/04/031004.asp wrote:One technique that Fisher calls the "sushi roll" has nothing to do with food, except that it was conceived over lunch where a number of traders were discussing market set-ups. He defines it as a period of 10 bars where the first five (inside bars) are confined within a narrow range of highs and lows and the second five (outside bars) engulf the first with both a higher high and lower low. (The pattern is similar to a bearish or bullish engulfing pattern except that instead of a pattern of two single bars, it is composed of multiple bars.) In his example, Fisher uses 10-minute bars.
When the sushi roll pattern shows up in a downtrend, it warns of a possible trend reversal, showing that it's a good time to look to buy or at the very least, exit a short position. If it occurs during an uptrend, the trader gets ready to sell. While Fisher discusses five-bar patterns, the number or duration of bars is not set in stone. The trick is to identify a pattern consisting of the number of both inside and outside bars that are the best fit with the chosen stock or commodity using a time frame that matches the overall desired time in the trade.
If my understanding of the text and the charts on the web page correct then this might be the solution you are looking for:
{Must have 5 consecutive lower highs and
6 consecutive lower lows}
DTH:=Ref(sum(h<ref(h,-1),5),-5)=5;
DTL:=Ref(sum(l<ref(l,-1),6),-4)=6;
DT:=DTH and DTL;
{Must have 5 consecutive higher highs and
5 consecutive higher lows}
UTH:=sum(h>ref(h,-1),5)=5;
UTL:=sum(l<ref(l,-1),5)=5;
UT:=UTH and UTL;
{The latest high must be higher than the highest value
on the first bar of the pattern}
Hi:=H>Ref(H,-10);
{all of these conditions must be true}
DT and UT and Hi
Hope this helps.
wabbit :D
P.S. This is untested code. If it doesnt work then let me know. Also please post a chart or give me an indication of a stock where you know the condition exists to be able to test the code.
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Rank: Newbie
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Posts: 2
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HeeeHaaaah!
Thanks a lot Wabbit :P, it does help a lot as a steping stone . It is close but is in an ideal case. I think the real case should be that the second outside bars engulf the first inside bars, and then reversal is imminent.
So it should be:
{----------------------------------}
period1:=10;
period2:=8; {choose 8 as it gives better signal in weekly chart}
k:=period2+1;
{First inside bars}
DTH:=Ref(HHV(H,period1),-k);
DTL:=Ref(LLV(L,period1),-k);
{Second outside bars}
UTH:=Ref(HHV(H,period2),-1);
UTL:=Ref(LLV(L,period2),-1);
{Engulfing of first inside bars by the second outside bars}
(UTH > DTH) AND (UTL <= DTL);
{--------------------------------------------------}
The only thing left is how to put in the condition of "inside bars confined within a narrow range of highs and lows" and to know whether it is tough or peak when the reversal signal occurs so that it is buy or sell ???
Anyway, simple eyeball checking will do the trick.
So I more than happy about the outcome.
Thanks again! :D :D :D
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Rank: Advanced Member
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Joined: 4/30/2005(UTC)
Posts: 112
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Hi,
I seem to have a different understanding on Sushi Roll as described by Mark Fisher, not sure if I am right.
H1:=Ref(HHV(H,5),-5);
L1:=Ref(LLV(L,5),-5);
H2:=HHV(H,5);
L2:=LLV(L,5);
Engulf:=H2>H1 AND L2<L1;
Buy:=Engulf AND C>H1;
Sell:=Engulf AND C<L1;
Buy-Sell
Pls comment.
Gary
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