no, this is not true. The signals you get will not disappear because they are in this case defined when the High crosses the Bollinger band of the high. So once the high goes above this Bollinger band intraday the High price will remain above the Bollinger band for the rest of the day. So the signal will not disappear. The price may close below the BBand but this is not how I defined my signals. Once the High goes above the BBand intrabar then the high will stay above the BBand for that bar.
The only thing I am doing is pin point the intrabar price at which the price will go above the Bollinger band, or the intersection point.
When the price is still below the BBand and starts increasing towards the BBand then also the BBand will start increasing in value. If the intrabar price increases further there is a point at which the price of the BBand and the intrabar price are equal. This is the price I calculated using Howards method. There is nothing magic about it, it is just this intersection price I am after.
regards, Ed
Sent: Thursday, May 05, 2016 11:26 AM
Subject: Re: [amibroker] cross price calculations
Just something I'm wondering about: I agreee that the more favourable intrabar price as compared to the end-of-hour price (in the hourly timeframe) could make the difference between a profitable and a non-profitable system. But you may also increase the number of losing signals, that is when after the intrabar signal, price drops again and remains low up to the end of the hour resulting in your hourly model showing "no signal" (yet you entered intrabar!). You may have to get out at a loss in this case. Increasing the number of losers can destroy a system. So the question is what weighs most: better entry price against increased number of losers?
Or to put it in another way: if in the backtest you check for a signal end-of-hour and if there is one, you suppose that you could get it at the better intraday price, you are "looking into the future": you would/could be ignoring the cases where the intrabar signals end up as losers.
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Posted by: "Edward Pottasch" <empottasch@skynet.be>
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