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Soham,
If I am reading correctly your
questions....
From the formula header:
Price Persistency is based on the
theory of runs..It is the idea that, given the market has moved in a
particular direction for ( n ) days, thelikelihood it will either continue..or
not...can be estimated and used in a profitable trading
system....
So, to answer questions # 2...Does it
give something to draw conclusions on ?
When you run the exploration on a
ticker...you check the CURRENT STATE of the trend....for example, It might say
CURRENT UP = 4,
you then would slide over to 5
days up and check the... ( % up / prev UP ) column....and see the %
of time that the ticker moved up 5 days in a row...
Same logic for down
trend...
Not sure how to answer question #
1....
AND FROM YOUR ORIGINAL
POST.
#2. Count the number of days it
has trended in the same direction
/***Current State of the Closes******/
stateUp=BarsSince ( C < Ref( C,- 1));
stateDown=BarsSince(C > Ref(C,-1));
filter=1;
AddColumn (stateUp, "currentUp");
AddColumn (statedown, "CurrentDown");
#1. Number of days close is above (
below ) bollinger band.
aboveBB=BarsSince ( C < BBandTop( C, 15, 2));
belowBB=BarsSince(C > BBandBot(C,15,2));
Filter=1;
AddColumn (aboveBB, "aboveBB", 1);
AddColumn (belowBB, "belowBB", 1);
****Standard histogram of trending
days ?
/***Current State of the Closes******/
stateUp=BarsSince ( C < Ref( C,- 1));
stateDown=(BarsSince(C > Ref(C,-1)));
//histogram output
Plot (stateup, "uptrend", colorGreen, styleHistogram);
Plot (-statedown, "downtrend", colorRed, styleHistogram);
Filter=1;
AddColumn (stateUp, "currentUp");
AddColumn (statedown, "CurrentDown");
----- Original Message -----
Sent: Saturday, January 31, 2009 6:40
AM
Subject: [amibroker] Re: Trading Research
and its Statistics
Hi Anthony,
I went through that formula. And indeed its a pretty
good work. But I
have some questions.
1. If there is an N day up(or
down)trend, ending with N+1st day, then
that streak will also change the 1
day Up count, 2 day up count,3 day
up count.. all the way to N;
2.
Also,why is the need for Percent'X'DayUp or Percent'X'DayDown
needed to be
compared with Pct'X-1'DayUp. Does it give something to
draw conclusions
on?
Soham
--- In amibroker@xxxxxxxxxps.com,
"Anthony Faragasso" <ajf1111@xxx> wrote:
>
> Price
persistency formula in the AFL library has exactly what you
are looking
for.
>
>
> ----- Original Message -----
> From:
Soham
> To: amibroker@xxxxxxxxxps.com
> Sent: Friday, January 30, 2009 1:50 PM
> Subject: [amibroker]
Trading Research and its Statistics
>
>
> Hi guys,
>
> Although I am familiar with AFL but strangely finding myself not
able
> to get my work done.
>
> I am having a requirement
to:
>
> 1. Count the number of days,Close is above [or below]
the
bollinger band
> 2. And count the number of days for which it has
trended in the same
> direction.
>
> I would additionally
love to see, a standard histogram of trending
days.
>
> Can
you help me out?
>
> Soham
>
>
>
>
>
>
>
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>
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Date:
1/30/2009 7:37 AM
>
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