I am working on an afl wherein I am checking:
DelPerChg = Delper-Ref(MA(DelPer,5),-1);
DelPerExp = Delper-MA(DelPer,barssinceexpirynum);
I have set a barrier level of +10 & -10 above or below the DelPerExp. I need to count the number of instances this barrier has been breached over the period of "barssinceexpirynum". This counter gets reset to 0 on the derivatives expiry day that is coded in the afl already.
Hence if DelPer > (DelperExp + 10) Plus counter increases by 1 & DelPer < (DelperExp - 10) Minus counter increases by 1
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Posted by: capitavp@yahoo.co.uk
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