Counting bars after a condition has been met

Counting bars after a condition has been met

umair
2013-02-26 01:37:48

Hi, I want to count how many bars occurred between two conditions and what the maximum value is between the two conditions:

Condition 1 = cross(a,b) Upward cross (price increases from bottom to up)

and then later when the price drops:

Condition 2 = cross(b,a) Downward cross (price decreases from top to bottom)

I want to know:

1) how many bars occurred between the two conditions
2) what the maximum potential profit/ max value was between these two values. For example:

When condition 1 cross occurred the price was 100. The price then increased to 110. Later the price dropped back down to 100.

Max potential profit = (110/100) -1
# of bars = bars that occurred from condition 1 to condition 2 (180 degrees)

Any idea how I should go about testing this? I know how to create the cross variables but am lost on counting the bars and potential profit.

QuantShare
2013-02-27 13:02:36

1/ Use "barssince" to get the number of bars that occurred between the two conditions.

Example:

a = close;
b = sma(close, 250);
c = cross(a, b);
d = cross(b, a);
nb = BarsSince(c);

2/ To get the highest value that occurred since a condition is met, use the following function: Highest and Lowest value over a dynamic period

Example:
e = hhvllv(0, close, BarsSince(c));

After that you can easily calculate your maximum potential profit.

f = (e / ref(close, nb)) - 1;

Highest and Lowest value over a dynamic period (by QuantShare, uploaded several months ago)

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