I am not sure what "signals" you mean here. Again, it seems your concern is a previsive one. You wish to find a "filtered" combination of (no matter how many) "signals" that signify, for instance that the price will go down after a "swing high". This is probably equivalent to believe that past prices carry condensed information on future direction. Not all people would share the same belief. Tom
I measure 7 candles in your example Anyway, look here http://www.investopedia.com/terms/s/swinghigh.asp You are making things complicated. This method is easy in hindsight only and it does not work in real-time, too many false positives.
TradeStation includes two functions; SwingHigh() and SwingLow() that will find exactly what you've described here. Also, "realtime" in this case would be a 3 bar delay before your swing pattern is confirmed.
The issue here is what kind of backtesting profitability these functions have. The 3 bar delay is a good point/suggestion, I like it. Actually I use Price Action Lab to find patterns with 5 bars and up to 3 bars confirmation delay. The program does not tell you how many bars in each pattern in the results but you can figure that out from the code. What you get though is the historical win rate and profit factor. Many of the patterns are swing high/swing low formations with confirmation.
That's a separate issue from what the OP was looking for, which was a way to identify his definition of a swing high/low. There's nothing to or not to like. The 3 bar delay is a byproduct of his definition of a swing point. You simply can't declare a given bar as a swing point until after the BCC bars have completed and met his criteria.
Thanks jprad, This is from the Tradestation Help: This pattern is also formed in sideways / choppy markets. What filter would you add to skip these points? Croupier