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Hi Dimitris,
A bit confused about couple of things here... Hope you can clarify.
1. BBands are calculated as standard deviation, so by definition, 2
times BBands is supposed to capture 95% of the values over periods
specified. In your formula below, if you make Lookback equal to n,
then theorotically the f min value should always be equal to 2, no
less, no more. Is that assumption correct? If yes, then couldn't you
simply calculate BBands over Lookback periods with 2 as multiplier,
giving you the same values as calculated below?
2. In the for loop below, when you use "x[BarCount-1]" to compare,
what are you assuming BarCount value to be? "BarCount-1" will always
give you the last value in the array, no? Furthermore, as TJ
explained to me earlier in another thread, the BarCount value
fluctuates when QuickAFL mode is on. So if you add "SetBarsRequired
(10000, 10000)" at the top of your formula to correct it, you'll
notice that your min f value is a constant.
TIA,
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
>
> Paste in Inicator builder the
>
> // Adjustable Bollinger bands
> n=20;
> Lookback=100;
> perc=95;
> for(f=1.5;f<3;f=f+0.01)
> {
> bB=BBandBot(C,n,f);bT=BBandTop(C,n,f);
> x=100*Sum(C>=bB AND C<=bT,Lookback)/Lookback;
> if(x[BarCount-1]<=perc)
> {
> g=f;
> }
> }
> newbB=BBandBot(C,n,g);
> newbT=BBandTop(C,n,g);
> newperc=100*Sum(C>=newbB AND C<=newbT,Lookback)/Lookback;
> Plot(C,"",1,64);Plot(newbB,"",colorLightYellow,8);Plot
(newbT,"",colorLightYellow,8);
> Plot(BBandBot(C,n,2),"",colorRed,1);Plot(BBandTop
(C,n,2),"",colorRed,1);
> Title="f min="+WriteVal(g,1.2)+",perc="+WriteVal(newperc,1.0)+"%";
>
> The formula will find the f min necessary for the 95% confidence,
> will plot the new BBands and, for comparison, will plot the usual
f=2 BBlines.
> It is interesting to see fminCSCO=2.09 but fminBEAS=2.70.
> You may adjust n, Lookback and perc.
> Dimitris Tsokakis
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