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Have you considered looking back?
This is a standard trick much used in TechniFilterPlus.
For example, to test entering a long position when the 10-bar average
crosses the 50-bar average, measure
the performance by considering the profit 5, 20, and 60 bars following the
cross.
This is pretty straightforward; just set up an exploration which tests
whether the signal was true 5, 20, and 60 bars ago.
I.e., 5 columns: symbol, x, fbar, tbar and sbar, where
x=cross(MA10,MA50); fbar = ROC(C,5)*Ref(x,-5);
tbar = ROC(C,20)*Ref(x,-20); sbar = ROC(C,60)*Ref(x,-60);
Bob
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf
Of dimension@xxxxxxxxxxxxx
Sent: Monday, November 28, 2005 11:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Looking ahead
Thanks,
I do need to use that min function I believe, but still getting some strange
behaviors with larger look ahead periods, but this time on older triggers.
For one thing, shouldn't the LookHigh formula be inverted,
LookHigh= hhv( ref( h, period), period);
Since I want to find the high or low in a period beyond the current bar,
shouldn't I start by reference the end bar of the look ahead period, then do
an HHV or LLV from that bar?
I'll continue to looking into this...thanks much for your help.
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Graham
Sent: Tuesday, November 29, 2005 1:12 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Looking ahead
You can always limit the look ahead period to what bars are available
Period = min( 10, barcount-1-barindex() );
LookHigh = ref( hhv( h, period ), period ) ;
I think this is correct maths
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 11/29/05, dimension@xxxxxxxxxxxxx <dimension@xxxxxxxxxxxxx> wrote:
> This returns 0 if the look ahead number exceeds then number of bars that
> actually exists.
>
> For instance, if the trigger date is 11/20 and I use:
> LookHigh = ref( hhv( h, 10 ), 10 ) * ( barindex() < barcount-11 );
>
> LookHigh returns 0 for the 11/20 bar. In this case, I'd prefer if it
simply
> find the low of the existing bars following 11/20.
>
> If I just simply use:
> LookHigh = ref( hhv( h, 10 ), 10 )
>
> It behaves a bit better, but I noticed that at some point, as I continue
to
> increase the look ahead number (i.e. make it 100), the LookHigh value
> changes. This makes sense in most case, but in the above example,
assuming
> 11/20 as the trigger date, it should be a constant value for anything
beyond
> a look ahead number of 6, since there are only trading 6 bars following
> 11/20. This does not happen however, it almost looks like it is looking
> back in this case.
>
> A bit confused on this, but trying to figure out why this is...
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf
> Of Graham
> Sent: Tuesday, November 29, 2005 12:27 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Looking ahead
>
> sorry made a mess of that, -10 instead of 10 for the ref
>
> LookHigh = ref( hhv( h, 10 ), 10 );
>
> LookHigh = ref( hhv( h, 10 ), 10 ) * ( barindex() < barcount-11 );
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
>
> On 11/29/05, Graham <kavemanperth@xxxxxxxxx> wrote:
> > I find the best to use is
> > LookHigh = ref( hhv( h, 10 ), -10 );
> > this looks at the 10th bar into the future, for the HHV of 10 bars
> > after today ( today is not included in the HHV)
> >
> > If you want to make certain that you exclude the end of the chart add
> > a condition
> > LookHigh = ref( hhv( h, 10 ), -10 ) * ( barindex() < barcount-11 );
> >
> > --
> > Cheers
> > Graham
> > AB-Write >< Professional AFL Writing Service
> > Yes, I write AFL code to your requirements
> > http://e-wire.net.au/~eb_kavan/ab_write.htm
> >
> > On 11/29/05, dimension@xxxxxxxxxxxxx <dimension@xxxxxxxxxxxxx> wrote:
> > >
> > >
> > >
> > > Hi,
> > >
> > > Given a "trigger date/bar", how can I look ahead two weeks from that
> bar/date and determine what the low was within those two weeks, providing
> there exists data in that look ahead time frame? Is there something like
> LLV and HHV for looking ahead? (I tried using a negative number to no
> avail).
> > >
> > >
> > >
> > > thanks
> > >
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