calculate parabolic SAR

calculate Parabolic SAR (SAR - stop and reverse)

PARABOLICSAR - calculated parabolic SAR for specific hugh and low

INPUT:
high - high values vector
low - low values vector
AFstart - start value for Wilderes acceleration factor (typical 0.02)
AFmax - max value for Wilderes acceleration factor (typical 0.2)
AFdelta - delta value for Wilderes acceleration factor (typical 0.02)

OUTPUT:
SAR - output vector of parabolc SAR
turnPoints - turn places in SAR vector
longSort - long=1, sort=-1

EXAMPLE:
% read JNJ stock data
url2Read = 'http://ichart.finance.yahoo.com/table.csv?s=JNJ&a=0&b=12&c=2006&d=9&e=23&f=2007&g=w&ignore=.csv';
s=urlread( url2Read);
% changing the format of s f
s=strread(s,'%s','delimiter',',');
s=reshape(s,[],length(s)/7)';
% calc SAR
dateNum = datenum(s(2:end,1));
open = str2double(s(2:end,2));
high = str2double(s(2:end,3));
low = str2double(s(2:end,4));
close = str2double(s(2:end,5));
[SAR,turnPoints,longSort]=parabolicSAR( high,low);

% plot
figure(1)
title('parabolic SAR: JNJ');
xlabel('date');
ylabel('price');

ylim = [min(high) max(high)];
set( gca,'ylim',ylim);

hold on;
% plot stock;
plot(dateNum,high,'b','LineWidth',2);
% plot turn points
line([dateNum(turnPoints) dateNum(turnPoints)]', [ ones(length(turnPoints),1)*ylim ]','Color',[0 0 0]);

% plot SAR long in green
index=find(longSort==1);
plot(dateNum(index),SAR(index),'.g');
% plot SAR short in red
index=find(longSort==-1);
plot(dateNum(index),SAR(index),'.r');
hold off;
legend('stock','turn points');
datetick(gca,'x',20);

INFO:
The parabolic study is a “true reversal” indicator in that it is always in the market. Whenever a position is closed-out, it is also reversed. T
he point at which a position is reversed is called a Stop and Reverse (SAR). A
lthough stops are plotted for each bar, a trade is reversed only when the SAR is penetrated by a price.

Formula:
SARt+1=SARt+AF*(EPtrade-SARt)

Where:
SARt+1 = next periods SAR
SARt = current SAR
AF = begins at .02 and increases by .02 to a maximum of .20
EP = extreme price (high if long; low if short)

The initial SAR or SIP (SAR Initial Point) of a long move is found by looking for the first bar with a higher high and a higher low than the previous bar.
The converse of this is used to find the SIP for a short move.
The acceleration factor changes as the trade progresses, starting at .02 and increasing in increments of .02 for each bar in which a new extreme occurs.

see, J. Welles Wilder, Jr., New Concepts in Technical Trading Systems, McLeansville, NC: Trend Research, 1978, pp. 9-22.

$License: BSD (use/copy/change/redistribute on own risk, mention the
author) $
History:
001: 01-May-2006 ,Natanel Eizenberg, First version.
002: 04-Nov-2012, Natanel Eizenberg, prepare for file exchange