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Hi Jim,
the "Check" button in AA says that it seems that the formula
references future quotes IMHO because of the use of the
following function:
SYNTAX trough(ARRAY, change, n = 1)
FUNCTION
Gives the value of ARRAY n-th trough(s) ago.
This uses the Zig Zag function (see Zig Zag) to determine the troughs.
Caveat: this function is based on Zig-Zag indicator and may look into the future
But, maybe it is only a wrong warning.
The AFL/AA/BT guru's should check it too...
IMHO the system looks too good to be true.
Below is a version for both the IB and testing in AA.
UM
/*******************************************/
/* Asymmetrical Deviation Bands v1 */
/* Author Marc Valley 2003*/
/* Buy, Sell, Filter, AddColumn lines added by UM */
/**/
//MaxGraph = 8;
HUB = BBandTop(High, 24, .20);
LUB = BBandTop(High, 15, .50);
LLB = BBandTop(Low, 8, 1.00);
G1 = DEMA(Avg,8);
//G4 = DEMA(Close,4);
SUB = BBandBot(High, 16, .50);
SLB = BBandBot(Low, 16, .25);
Plot(HUB ,"HUB ",7,4); // YELLOW LINE
Plot(LUB ,"LUB ",2,4);
Plot(LLB ,"LLB ",4,4);
Plot(G1 ,"G1 ",1,4); //BLACK
//Plot(G4 ,"G4 ",5,4);
//Plot(SUB ,"SUB ",colorOrange,4);
Plot(SLB,"SLB",5,4);
//Plot(Peak(G1,1,1),"Peak",4,4);
//Plot(Trough(G1,1,1),"Trough",5,4);
Buy = Cross(G1, Trough(G1, 1, 1));
Plot(Buy * G1,"Entry",5,6);
Sell = Cross(Peak(G1,1,1),G1);
Plot(Sell * G1,"Exit",4,6);
GraphXSpace = 2;
Filter = Buy or Sell;
AddColumn(Buy, "B", 1.0);
/*******************************************/
----- Original Message -----
From: "jnk1997" <jnk1997@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, April 06, 2003 8:38 PM
Subject: [amibroker] Asymmetrical Deviation Bands Trading System ?
> Has anyone developed an AFL trading formula for the following
> indicator generously supplied by Marc Valley? Visual buys and sells
> appear on the indicator, It would be nice to backtest and posssibly
> optimize for individual stocks.
>
> All input welcome, AFL trading formula, Optimization.. etc....
>
> Thanks
> Jim
>
>
>
> /* Asymmetrical Deviation Bands v1 */
> /* Author Marc Valley 2003*/
>
>
> //MaxGraph = 8;
>
> HUB = BBandTop(High, 24, .20);
> LUB = BBandTop(High, 15, .50);
> LLB = BBandTop(Low, 8, 1.00);
> G1 = DEMA(Avg,8);
> //G4 = DEMA(Close,4);
>
> SUB = BBandBot(High, 16, .50);
> SLB = BBandBot(Low, 16, .25);
> Plot(HUB ,"HUB ",7,4); // YELLOW LINE
> Plot(LUB ,"LUB ",2,4);
> Plot(LLB ,"LLB ",4,4);
> Plot(G1 ,"G1 ",1,4); //BLACK
> //Plot(G4 ,"G4 ",5,4);
> //Plot(SUB ,"SUB ",colorOrange,4);
> Plot(SLB,"SLB",5,4);
> //Plot(Peak(G1,1,1),"Peak",4,4);
> //Plot(Trough(G1,1,1),"Trough",5,4);
> Plot(Cross(G1,Trough(G1,1,1))*G1,"Entry",5,6);
> Plot(Cross(Peak(G1,1,1),G1)*G1,"Exit",4,6);
> GraphXSpace = 2;
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