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Gentlemen,
This is starting to get interesting especially of
someone can figure out how we can extend this into the whitespace area beyond
the latest data.
For example, use your favourite indicator(s) and
apply projected regression channel to the prices.
Qu: A.what happens to your indicator when prices
are at the mid and extremes of the next bar..and the next bar, then
B. use the formula below to see what happens when
the indicator is 1. extrapolated , 2. the same or 3. (2*same -
extrapolated)
What would be interesting is what happens to all
the indicators and the prices in the channel when this is applied to one
indicator, and how the indicators look in different time frames. What
does it mean to the setting of stops and exits philosophy is also an
interesting outcome.
Any comments?
Peter
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Fred
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, January 31, 2004 3:41
AM
Subject: [amibroker] Re: Search Routine
for Crossover Point -- EMA Version
Is there any reason to limit this to an xMA when this can
easily be done for any built in AB indicator or any custom AFL "indicator"
that one cares to write ?//
***********************************************
//// An all purpose routine to find the
price //
necessary to move an indicator to a
GOAL.//// This should work for virtually
any indicator,//
built in or otherwise. It's demonstrated
// here using
RSI & BBand's ...////
Note: It will appear to use future
quotes//
because of the
down shifting of the//
price array, but obviously it
can't//
"know" tomorrows
price. There's //
probably a way to rectify this but
//
I was more
concerned with the rest //
of the
process.//// The maximum iterations have
arbitrarily been //
set to 200 which is undoubtedly overkill
// as I've
yet to see anything take 200 even//
when tolerance was set to 0 on datastreams
// with very
high prices.//// For real usage the
saving of i in j and the//
accuracy calculation can be tossed as they
// were only
put in for demonstration purposes ////
***********************************************////
This Routine requires the following
things////
P0 = A price
array or synthetic////
Goal = The goal value of the
indicator////
Acc = An accuracy
level for the calculations////
Set this
to the order of magnitude //
that you
want. For example if you want //
accuracy
in calculated price to within //
0.01 then
set it 0.01. It can even //
be set to
0 which will force AB to //
calculate
until it can't find any //
further
improvements (Usually between//
150-170
iterations) but this is semi//
useless
as improvements relative to //
price
granularity have long since //
been gone
by.////
The lower you set it the longer it
//
will take but it's pretty quick
//
(Usually between 15-30 iterations)
//
unless you set it at
0.//
//
***********************************************////
Note: Some goals are virtually unattainable
on//
the next bar, especially on the
downside//
as they would require a negative
price//
which is what this routine will show
if//
that is what is
required.////
***********************************************P0 =
C;Acc = 0.0001;LVBI = LastValue(BarIndex());Mult =
1;//
***********************************************//
Shift Price up by n orders of magnitude to make
// it >=
1. This is useful to increase //
accuracy on very low priced datastreams
// such as
the JY.//
***********************************************for (i = 0; i < 10;
i++){ if (P0[LVBI] >= 1)
i = 99;
else
Mult = Mult * 10; } //
***********************************************P1 =
Ref(P0, 1) * Mult;UpDn = 100 * P1[LVBI];for (i = 0; i < 200;
i++){// An example for finding price
associated with the next bars
BBandTop////
*****************************************************************************//
Put whatever indicator you want to goal seek here based on
P1//
*****************************************************************************
Calc = P1;//
*****************************************************************************//
Put whatever you want for the goal here
...//// The reason for putting it in the
loop is because sometimes the goal is price
// oriented
and will need to be recalculated on each
iteration.//
*****************************************************************************
Goal = LastValue(BBandBot(P1, 14, 2));//
*****************************************************************************//
An example for finding price associated with the next bars RSI value of
65////
*****************************************************************************//
Put whatever indicator you want to goal seek here based on
P1//
*****************************************************************************//
Calc = RSIa(P1, 14);//
*****************************************************************************//
Put whatever you want for the goal here
...//// The reason for putting it in the
loop is because sometimes the goal is price
// oriented
and will need to be recalculated on each
iteration.//
*****************************************************************************//
Goal = 65;//
*****************************************************************************
if (Calc[LVBI] < Goal)
P1[LVBI] = P1[LVBI] +
UpDn; else
P1[LVBI] = P1[LVBI] -
UpDn; UpDn = UpDn /
2; if (UpDn <=
Acc) {
j = i;
i = 99999;
}}Accuracy = 100 * (abs(Goal - Calc) / Goal);Filter =
BarIndex() == LVBI;AddColumn(Mult,
"Multiplier",
1.0);AddColumn(Calc[LVBI - 1] / Mult, "Curr
Ind Val", 1.9);AddColumn(Goal / Mult,
"Goal Ind Val", 1.9);AddColumn(Calc[LVBI] /
Mult, "Calc Ind
Val", 1.9);AddColumn(j,
"Iterations", 1.0);AddColumn(Accuracy,
"Accuray
(%)", 1.9);AddColumn(Ref(P1, -1) /
Mult, "Todays
Price", 1.9);AddColumn(P1 / Mult,
"Goal
Price", 1.9);Send BUG REPORTS to
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