Lookback period on Bollinger Band cross

Lookback period on Bollinger Band cross

Glen
2016-07-18 09:33:20

Hi guys,

I am implementing the following rule in one of my systems:

cross(close, BbandsLower(14,Op9,_MaSma))

What I want to try and do is identify if this rule occurred within a lookback period of 5 days.

Does anyone know what I have to do to set a lookback period on this rule?

Thanks very much.

Glen
2016-07-18 17:27:31

Sorry should read:

cross(close, BbandsLower(14,2,_MaSma))

Op9 was an optimization parameter.

QuantShare
2016-07-19 04:08:51

You should type:

a = cross(close, BbandsLower(14,2,_MaSma));
a = hhv(a, 5) > 0;

You can plot these on a chart to visualize that.

Glen
2016-07-19 06:42:30

That is great thank you so much.

So this means that if the close crosses above the Bbands lower within the previous 5 day period, a returns a value of 1.

Then all I do is call on "a > 0" for the buy rules.

What is the hhv calling on there?

QuantShare
2016-07-21 15:34:00

Yes, "a > 0" or just "a".
buy = a;

hhv is highest value over a specific period. Plot it on a chart to see.

a = cross(close, BbandsLower(14,2,_MaSma));
a = hhv(a, 5) > 0;
plot(a, "");

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