To make it clearer, I'll give another example:
I make intraday trades and want to backtest a strategy that enters a
trade if price falls below lower Bollinger band intraday. I have a
price history of a random stock and see that 10 days ago its
C = 100
L = 94
BBandBot( C, 20, 2 ) = 95
Would I have entered the trade on that day? L < BBandBot, but it is
not clear if the band hadn't shifted below 94 when the price was at
94. In order to answer the question, I need to find out at what level
price would've been equal to BBandBot and if L was below that
determined level, the trade would've happened. I hope this example
makes the matter clearer.
--- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>,
"mbausys" <mbau...@...> wrote:
>
> Guys, I want to backtest this system rather than have a value for
today. And I'm absolutely sure that the concept & logic are right.
>
>
> --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "Rob" <sidhartha70@> wrote:
> >
> > I think Ara's right... I think your concept & logic are
fundamentally flawed. Which is why it won't work.
> >
> > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "Ara Kaloustian" <ara1@> wrote:
> > >
> > > When you get the value of BBand, it is a dynamic value ...
> > >
> > > so in your example of C = 100 and BBand = 95,
> > > the buy order would of course be somewhere below 95. The point
would be
> > > determined correctly by either:
> > >
> > > L < BBand or Cross(BBand,L);
> > >
> > > If you are cornerned about the buy price being far below 95 (in the
> > > example), then perhaps you should use a different strategy, as
BBands will
> > > shift with price moves
> > >
> > >
> > > ----- Original Message -----
> > > From: "mbausys" <mbausys@>
> > > To: <amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>>
> > > Sent: Thursday, April 15, 2010 8:49 AM
> > > Subject: [amibroker] Re: Change last value of array
> > >
> > >
> > > > I'll give you a brief example:
> > > >
> > > > We are in the middle of trading session;
> > > > Current C = 100
> > > > Current BBandBot( C, 20, 2 ) = 95
> > > > I want to set a limit order that buys if price falls bellow lower
> > > > Bollinger band. However, a limit order at 94.99 would be
incorrect way of
> > > > doing that because when the price reaches 94, the actual lower
Bollinger
> > > > band would have shifted far below 94.99. Thus, I need to a
dynamic
> > > > calculation of lower Bollinger band that determines the true
level.
> > > >
> > > > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "Ara Kaloustian" <ara1@> wrote:
> > > >>
> > > >> Dont really understand your comments ... as Low and Close
frequently are
> > > >> below lower BB...
> > > >>
> > > >> Try using L <= BBandBot(...)
> > > >>
> > > >>
> > > >> ----- Original Message -----
> > > >> From: "mbausys" <mbausys@>
> > > >> To: <amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>>
> > > >> Sent: Thursday, April 15, 2010 8:16 AM
> > > >> Subject: [amibroker] Re: Change last value of array
> > > >>
> > > >>
> > > >> > In essence, I want to backtest a trading system that uses
lower
> > > >> > Bollinger
> > > >> > Band as an entry point and would enter trades intraday when
price
> > > >> > touches
> > > >> > the lower band. However, I can't use L < BBandBot( C, 20, 2
) as at the
> > > >> > point when price is at its L, BBand would be lower than
BBandBot( C,
> > > >> > 20,
> > > >> > 2 ) and the trade might be not triggered in reality.
Therefore, I want
> > > >> > to
> > > >> > find price levels at which P would be equal or just fall
below lower
> > > >> > BBand. That level would be my BuyPrice as well.
> > > >> >
> > > >> > Thanks,
> > > >> >
> > > >> > Marius
> > > >> >
> > > >> >
> > > >> > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "Rob" <sidhartha70@> wrote:
> > > >> >>
> > > >> >> You said you only wanted to do it for the last day (or
last value in
> > > >> >> the
> > > >> >> array)...?
> > > >> >>
> > > >> >> LastValue() will only access the last value in the array
hence will
> > > >> >> only
> > > >> >> work for the last day...
> > > >> >>
> > > >> >> What exactly are you trying to do...? explain in detail
and we might
> > > >> >> be
> > > >> >> able to help...
> > > >> >>
> > > >> >> --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "mbausys" <mbausys@> wrote:
> > > >> >> >
> > > >> >> > I have this very short code, which is supposed to
determine at what
> > > >> >> > price level every day the price would have been equal to
lower
> > > >> >> > Bollinger Band. However, the code seems to do the trick
only for the
> > > >> >> > last day. Any hints where I may be wrong?
> > > >> >> >
> > > >> >> > P = C; // P is a target price level
> > > >> >> > diff = P / 2;
> > > >> >> >
> > > >> >> > for( i = 0; i < 100; i++ )
> > > >> >> > {
> > > >> >> > P = IIf( P < BBandBot( C, 20, 2 ), C + diff, C - diff );
> > > >> >> > C[ LastValue( BarIndex() ) ] = P[ LastValue( BarIndex() ) ];
> > > >> >> > diff = diff / 2;
> > > >> >> > }
> > > >> >> >
> > > >> >> > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "jooleanlogic" <jooleanl@> wrote:
> > > >> >> > >
> > > >> >> > > I think that will only work in version 5.3 Sid.
> > > >> >> > >
> > > >> >> > > BarIndex() changed from being the actual index in 5.2,
to always
> > > >> >> > > starting at 0 in 5.3.
> > > >> >> > > So LastValue(BarIndex()) in 5.2 can give you a number
greater than
> > > >> >> > > BarCount under QuickAFL.
> > > >> >> > >
> > > >> >> > > You could just use BB_Array[BarCount-1] which will
always work.
> > > >> >> > >
> > > >> >> > > Jules.
> > > >> >> > >
> > > >> >> > >
> > > >> >> > > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "Rob" <sidhartha70@> wrote:
> > > >> >> > > >
> > > >> >> > > > Sure... if BBand is the array you want to change,
> > > >> >> > > >
> > > >> >> > > > Last_Val_BI = LastValue( BarIndex());
> > > >> >> > > > BB_Array [Last_Val_BI] = New value here...
> > > >> >> > > >
> > > >> >> > > > try something like that.
> > > >> >> > > >
> > > >> >> > > > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "mbausys" <mbausys@> wrote:
> > > >> >> > > > >
> > > >> >> > > > > Hi all,
> > > >> >> > > > >
> > > >> >> > > > > Is there a simple way of changing the last value
of an array?
> > > >> >> > > > > I want to find Bollinger Band of, e.g. 10 days of
closing
> > > >> >> > > > > prices,
> > > >> >> > > > > but would like to use a different value for day 10
rather than
> > > >> >> > > > > the real closing price for that day.
> > > >> >> > > > >
> > > >> >> > > > > Any help would be appreciated.
> > > >> >> > > > >
> > > >> >> > > > > Many thanks,
> > > >> >> > > > >
> > > >> >> > > > > Marius
> > > >> >> > > > >
> > > >> >> > > >
> > > >> >> > >
> > > >> >> >
> > > >> >>
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >> > ------------------------------------
> > > >> >
> > > >> > **** IMPORTANT PLEASE READ ****
> > > >> > This group is for the discussion between users only.
> > > >> > This is *NOT* technical support channel.
> > > >> >
> > > >> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > > >> > SUPPORT {at} amibroker.com
> > > >> >
> > > >> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > > >> > http://www.amibroker.com/feedback/
<http://www.amibroker.com/feedback/>
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> > > >> >
> > > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > > >> > http://www.amibroker.com/devlog/
<http://www.amibroker.com/devlog/>
> > > >> >
> > > >> > Yahoo! Groups Links
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >>
> > > >
> > > >
> > > >
> > > >
> > > > ------------------------------------
> > > >
> > > > **** IMPORTANT PLEASE READ ****
> > > > This group is for the discussion between users only.
> > > > This is *NOT* technical support channel.
> > > >
> > > > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > > > SUPPORT {at} amibroker.com
> > > >
> > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > > > http://www.amibroker.com/feedback/
<http://www.amibroker.com/feedback/>
> > > > (submissions sent via other channels won't be considered)
> > > >
> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > > http://www.amibroker.com/devlog/
<http://www.amibroker.com/devlog/>
> > > >
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > >
> >
>
