yes well the point is that in real time the cross of the High price with the BBand of the High price often occurs earlier than the BBand price itself as shown when the bar is completed. This I show in that chart. If you make a system using signals of this cross in the hourly timeframe using hourly data only then the best you can do is take the Bollinger band as the entry price. But in real time the entry price is more favourable. This is because during the time the bar develops (in this case duing 1 hour) the Bollinger band is not stationary but also developing.
In the chart you see a signal at the cross. The price at the Bollinger band itself is shown by the shapeCircle. But the price you could get in reality is shown at the shapeHollowSquare. So this is what I have been trying to accomplish. The price difference is significant and could just be the difference between a system being profitable or non-profitable
regards, ed
Sent: Thursday, May 05, 2016 6:33 AM
Subject: Re: [amibroker] cross price calculations
Very nice code, Ed.
The difference between the projected BB cross and the actual cross is surprisingly low.
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Posted by: "Edward Pottasch" <empottasch@skynet.be>
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