Re: [amibroker] AFL - screen for outliers

["wavemechanic" <fimdot@xxxxxxxxx>]

You will need a very volatile market to see excursions outside of 3 sigma.  At that level, price will be outside only 0.27% of the time or less than one hit/year.  Take a look at a real jumpy chart such as ^VIX.  Even then only 8 excursions in 6 years. 

 

Bill

 

----- Original Message -----

From: Ara Kaloustian

To: AB-Main

Sent: Tuesday, March 13, 2007 12:44 AM

Subject: [amibroker] AFL - screen for outliers

I am trying to do a simple screen to find issues that are outside 3 standard deviations of Bollinger band.

 

The code below seems to work .. of sorts, but when I plot the chart, the results are not outside the bands.

 

Appreciate another pair of eyes looking at this.

 

Ara

 

===============================================================

 

 

NumDevs  = Param("NumDevs",3,1,4,1);

 

Top  = BBandTop(C,20,numdevs);
Bot  = BBandBot(C,20,numdevs);

 

HiLo   = IIf (Close > Top,1,IIf(Close < Bot,-1,0));

 

PlotOHLC(Open,High,Low,Close,"",colorBlack,styleCandle);
Plot(Top,"",colorRed,styleLine);
Plot(Bot,"",colorRed,styleLine);
//
//
Filter = HiLo ==1 OR HiLo ==-1;
AddColumn(Close,"Close");
AddColumn(HiLo,"HiLo");

 

"Close  " + Close;
"Top     " + Top;
"Bot     " + Bot;

---

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