cool, thanks for the info.
I just adjusted Howard's method for arrays. I tested first on a simple MA function because I know the mathematical solution for this one. Seems to work good and is not even that slow. But one needs it for backtesting only so speed is not really an issue.
Now I can just replace the simple MA with a Bollinger band in the function ZeroToFind. Code for simple MA test below. I just made this so might change or correct it later on but looks correct. Orange dots are the mathematical solution, Blue dots the approached solution as per Bandy,
regards, Ed
// AFL code E.M.Pottasch
period = Param( "Period", 2, 2, 30, 1 );
mah = MA( H, period );
pph = Ref( MA( H, period - 1 ), -1 ); // mathmatical solution
// adapted from H.B.Bandy Quatitative Trading Systems (2007) p. 184-185
AccuracyTarget = TickSize / 4;
LGuessArray = 0;
HGuessArray = 0;
IterationsArray = 0;
function ZeroToFind( i, period, P )
{
aa = 0;
for( j = i - period + 1; j < i; j++ )
{
aa = H[j] + aa;
}
aa = ( aa + P ) / period;
FTZ = P - aa;
return FTZ;
}
for( i = period; i < BarCount; i++ )
{
it = 0;
HGuess = H[i] * 10;
HSign = ZeroToFind( i, period, HGuess );
if( HSign > 0 ) HSign = 1;
else HSign = -1;
LGuess = L[i] * 0.1;
LSign = ZeroToFind( i, period, LGuess );
if( LSign > 0 ) LSign = 1;
else LSign = -1;
if( HSign == LSign )
{
HGuess = 0.0;
}
else
{
while( abs( HGuess - LGuess ) > AccuracyTarget )
{
MGuess = ( HGuess + LGuess ) / 2;
MSign = ZeroToFind( i, period, MGuess );
if( MSign > 0 ) MSign = 1;
else MSign = -1;
if( HSign == MSign ) HGuess = MGuess;
else HGuess = HGuess;
if( LSign == MSign ) LGuess = MGuess;
else LGuess = LGuess;
it = it + 1;
HGuessArray[i] = HGuess;
LGuessArray[i] = LGuess;
IterationsArray[i] = it;
}
}
}
GraphXSpace = 5;
SetChartBkColor( colorBlack );
SetChartOptions( 0, chartShowDates );
SetBarFillColor( IIf( C > O, colorGreen, IIf( C <= O, colorRed, colorLightGrey ) ) );
Plot( C, "Last", IIf( C > O, colorDarkGreen, IIf( C <= O, colorDarkRed, colorLightGrey ) ), 64, null, null, 0, 0, 1 );
Plot( mah, "", colorWhite, 1, null, null, 0, 1, 1 );
Plot( pph, "", colorOrange, styleDots | styleNoRescale | styleNoline, null, null, 0, 1, 4 );
Plot( HGuessArray, "", colorBlue, styleDots | styleNoRescale | styleNoline, null, null, 0, 1, 6 );
_N( Title = StrFormat( "{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ) );
Sent: Wednesday, May 04, 2016 2:50 PM
Subject: Re: [amibroker] cross price calculations
Howard also has some code and information about signal anticipation in his new book, Quantitative Technical Analysis (from p.261). It basically zeroes in on a value (like the one being discussed). It is very good code, and a very good idea, as it doesn't require insanely complicated maths and code to figure out the anticipated signal. I use it on a Bollinger band system to calculate close prices, and it works wonderfully. (I haven't included code here, as it is Howard's work. I recommend the book!)
CK
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Posted by: "Edward Pottasch" <empottasch@skynet.be>
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