Try using Low for calculating BBand x = BBand(L,20,2)
if L < x then you have your trade ----- Original Message ----- From: "mbausys" <[email protected]> To: <[email protected]> Sent: Thursday, April 15, 2010 9:32 AM Subject: [amibroker] Re: Change last value of array > 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 [email protected], "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 [email protected], "Rob" <sidhartha70@> wrote: >> > >> > I think Ara's right... I think your concept & logic are fundamentally >> > flawed. Which is why it won't work. >> > >> > --- In [email protected], "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: <[email protected]> >> > > 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 [email protected], "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: <[email protected]> >> > > >> 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 [email protected], "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 [email protected], "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 [email protected], "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 [email protected], "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 [email protected], "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/ >> > > >> > (submissions sent via other channels won't be considered) >> > > >> > >> > > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check >> > > >> > 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/ >> > > > (submissions sent via other channels won't be considered) >> > > > >> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check 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/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links > > >
