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Hi - AB allows you to define BuyPrice, SellPrice, etc. So if you have your
signals defined as price crossing BB, couldn't you just say
BuyPrice = BBandTop() or whatever?
Steve
----- Original Message -----
From: "mbausys" <mbausys@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, February 12, 2010 7:13 AM
Subject: [amibroker] Re: Projecting prices
> Steve,
>
> What I want to do with this code is for it to allow me enter a trade
> exactly at the price which triggers a signal. In particular, I use
> Bollinger Bands and want trades to be executed at the price at which it
> equals Bollinger Bands. The price might then reverse and in EOD chart the
> closing price would be inside Bollinger Bands. However, I would know that
> the signal would have been generated intraday and I could have entered a
> position. I'm not proficient with Amibroker coding yet so the required
> twist might be very simple. Thank you for your help.
>
>
> Marius
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
>
>>
>> Hi - What did you have in mind? Fred can correct me if I'm wrong, but I
>> always imagined it was written for someone who wanted to trade at the
>> close
>> but only gets EOD data. By the time you do the nightly data download and
>> see
>> a new signal, the markets are closed and you can only trade NDO. With
>> this
>> code you can predict the price needed to trigger a signal, then put on
>> CNBC
>> or QuoteTracker to see if your price point has been met and trade just
>> prior
>> to today's close. For backtests, just set trade price to close and trade
>> delay to zero, you should only need to predict the price for real-time
>> trading.
>>
>> Steve
>>
>> ----- Original Message -----
>> From: "mbausys" <mbausys@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Thursday, February 11, 2010 4:10 PM
>> Subject: [amibroker] Re: Projecting prices
>>
>>
>> >
>> >
>> > Thanks a lot for posting this. I'd like to ask how it would be possible
>> > to
>> > use this process in a backtest procedure as it only determines a
>> > required
>> > price for tomorrow. Please correct me if I'm wrong.
>> >
>> >
>> > Regards,
>> >
>> > Marius
>> >
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@> wrote:
>> >>
>> >> Thanks Steve
>> >>
>> >> A
>> >> ----- Original Message -----
>> >> From: Steve Dugas
>> >> To: amibroker@xxxxxxxxxxxxxxx
>> >> Sent: Monday, April 10, 2006 10:53 AM
>> >> Subject: Re: [amibroker] Projecting prices
>> >>
>> >>
>> >> Hi Ara,
>> >>
>> >> Your question rang a bell with me, so I searched my saved e-mails
>> >> and
>> >> found this code that Fred was kind enough to post a couple of years
>> >> ago.
>> >> Maybe it will be helpful for you?
>> >>
>> >> Steve
>> >>
>> >> // ***********************************************
>> >> //
>> >> // 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);
>> >>
>> >> ----- Original Message -----
>> >> From: Ara Kaloustian
>> >> To: amibroker@xxxxxxxxxxxxxxx
>> >> Sent: Monday, April 10, 2006 1:08 PM
>> >> Subject: Re: [amibroker] Projecting prices
>> >>
>> >>
>> >> thanks Bob,
>> >>
>> >> I had temporarily come to the same conclusion but realized that
>> >> for
>> >> my particular application I already have the high and low prices ...
>> >> just
>> >> need to calculate the close.
>> >>
>> >> My application is to use historical data for backtest and figure
>> >> out
>> >> a way to make it equivalent to using real time data by calculating the
>> >> exact price required to produce a signal, obviously within the
>> >> exixting
>> >> price range.
>> >>
>> >> It's a clumsy solution since I will not be able to use the AB
>> >> backtester, but useful (I think). It would be great if AB backtester
>> >> could be used ...
>> >>
>> >> So technically "projecting" prices in the subject line is a bit
>> >> misleading for this case...
>> >>
>> >>
>> >> Ara
>> >> ----- Original Message -----
>> >> From: Bob Jagow
>> >> To: amibroker@xxxxxxxxxxxxxxx
>> >> Sent: Sunday, April 09, 2006 11:07 PM
>> >> Subject: RE: [amibroker] Projecting prices
>> >>
>> >>
>> >> An algebraic solution is possible only for indicators dependent
>> >> on
>> >> a single price array.
>> >> That rules out CCI and Stochastics.
>> >>
>> >> Bob
>> >> -----Original Message-----
>> >> From: amibroker@xxxxxxxxxxxxxxx
>> >> [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Ara Kaloustian
>> >> Sent: Sunday, April 09, 2006 9:43 PM
>> >> To: AB-Main
>> >> Subject: [amibroker] Projecting prices
>> >>
>> >>
>> >> I am trying to figure out the required price to create a
>> >> particular value of an indicator.
>> >>
>> >> Example: My CCI is at 50. I would get a signal if CCI reached
>> >> 55.
>> >> What is the require value of price that would make CCI to rise to 55?
>> >>
>> >>
>> >> This kind of calculation can be used to anticipate a signal
>> >> and
>> >> allow us to place a conditional order for next day.
>> >>
>> >> I am looking for the formulae to accomplish this for CCI,
>> >> Stochastics and MACD.
>> >>
>> >> The formulae should be bit of algebra, but rather time
>> >> consuming
>> >> to develop.
>> >>
>> >> Wonder if anyone has already worked on this issue before.
>> >>
>> >> Appreciate any help
>> >>
>> >> ara
>> >>
>> >>
>> >> Please note that this group is for discussion between users only.
>> >>
>> >> To get support from AmiBroker please send an e-mail directly to
>> >> SUPPORT {at} amibroker.com
>> >>
>> >> For other support material please check also:
>> >> http://www.amibroker.com/support.html
>> >>
>> >>
>> >>
>> >>
>> >>
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>> >>
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>> >>
>> >
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** IMPORTANT PLEASE READ ****
>> > This group is for the discussion between users only.
>> > This is *NOT* technical support channel.
>> >
>> > TO GET TECHNICAL SUPPORT send an e-mail directly to
>> > SUPPORT {at} amibroker.com
>> >
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>> >
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>> >
>> >
>>
>
>
>
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
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This is *NOT* technical support channel.
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http://www.amibroker.com/feedback/
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