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Uenal,
I think what Anthony is trying to do in his explore is based on those
first three conditions from one bar ago and two bars ago he would
establish a position on the close of one bar ago and is looking at
the results that occur on the current bar i.e. C > Ref(C, -1) would
be a winner and the reverse a loser. But if you look at the code as
opposed to the description of the code what Anthony appears to be
checking when referencing the BB's is always the CURRENT value as
opposed to the one associated with the C of the bar in question i.e.
patUP = C > Ref(C,-1) AND
Ref(C,-1) < BBandBot(C,BandRange,BandWidth)AND
Ref(C,-1) < Ref(C,-2) AND
Ref(C,-2) > BBandBot(C,BandRange,BandWidth);
Since one can't know what the current BB is one or two bars ago,
shouldn't the reference to the BBand's be
Ref(BBandBot(C,BandRange,BandWidth),-1) & -2 respectively ?
In addition there is no accounting for where C = Ref(C, -1) i.e. no
change and for a bunch of the NDX stocks this is true a lot if one
goes back in time.
With regards to what you are doing with ranking and timing I am
preparing an email to send direct to you.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hi Fred,
>
> /*The close 2 days ago ( ref(c,-2) ) is above the Lower Bollinger
Band
> and the Close yesterday ( Ref(C,-1)) is below the Lower bollinger
Band
> and the Close yesterday ( ref(c,-1)) is less than the close 2 days
ago (
> ref(c,-2)) and Todays Close is ** either ** Greater than yesterdays
close
> (ref(c,-1)) or Todays Close is Less than Yesterdays close ( ref(c,-
1)).*/
>
> as stated, Anthony's formula uses "Today" as the latest reference,
so
> then my success computation routine is IMHO correct.
>
> BTW, I'm currently running the system over 6/1/98 to 9/30/2001.
> The results are even much better! I'll send them to you when
completely finished.
>
> UM
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, May 01, 2003 3:08 PM
> Subject: [amibroker] Re: Systems for indices
>
>
> > I believe the intent of the original Explore that this was posted
in
> > reference to was to identify BB setups for trading yesterday and
then
> > checks the results today, but the way I read it, it also looks
into
> > the future. The CHECK button agrees.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Owen Davies" <owen5819@xxxx>
wrote:
> > > uenal.mutlu@xxxx asked about the following code:
> > >
> > >
> > > > // calculate the success
> > > > Filter = patUp or patDown2; // 1; // totpatUP > 0;
> > > >
> > > > success = (patUp and (Ref(C,1) > C))
> > > > or (patDown2 and (Ref(C,1) < C));
> > > >
> > > > AddColumn(cum(Filter), "#Cases", 1);
> > > > AddColumn(cum(success), "#Successes", 1);
> > > > AddColumn(cum(success) / cum(Filter) * 100, "%Success", 1.2);
> > >
> > > Do you really want that "success" statement to look into the
> > future? If
> > > not, those Ref statements need a minus sign before the 1: "Ref
(C,-
> > 1)".
> > >
> > > Owen Davies
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