Re: [amibroker] Projecting prices, AmiBroker Email List Archive

// ***********************************************
//
// 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);