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You're absolutely right. However, see this thread -
http://groups.yahoo.com/group/amibroker/message/47910
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> In userīs guide I see
>
> "BarCount constant gives the number of bars in array
> (such as Close, High, Low, Open, Volume, etc).
> Array elements are numbered from 0 (zero) to BarCount-1.
> Close[ 5 ];
> Represents the sixth element (bar) of the close array
> High[ BarCount - 1 ];
> Represents the last bar of High array."
>
> From this description, x[Barcount-1] is the last bar of x array.
> I donīt see any confusion in this.
> Dimitris Tsokakis
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > 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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