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Find some comments below:
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> 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.
No, it is not true.
The percentage x is given by
Lookback=100;n=20;
bB=BBandBot(C,n,2);
bT=BBandTop(C,n,2);
x=100*Sum(C>=bB AND C<=bT,Lookback)/Lookback;
Explore your database and you will see that x is not equal to 95.
This is exactly what my code searches: to find the proper f that will
make this percentage equal to 95%.
>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?
I agree.
>Furthermore, as TJ
> explained to me earlier in another thread, the BarCount value
> fluctuates when QuickAFL mode is on.
I didnīt follow this reply you refer but I donīt see anything
flactuating in my results. Did you notice something similar ?
>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.
I do not use SetBarsRequired in this code.
To avoid confusion [?] with barcount, replace this line with
if(x[LastValue(Cum(1))-1]<=perc)
It will give the same result.
> TIA,
>
> Jitu
In general, paste the code and see how it works [because it works]
and then arrange it according to your standards.
Dimitris Tsokakis
> --- 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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