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)

No notes

Get more messages

No more messages

Back


Trading Items Number of Consecutive Trading Bars Condition was True Number of Trading Bars to Fill a Gap Up Large price and volume gain after consolidation % bars in last N trading days where stock close price increased Percentage of Bars a Trading rule Generates Buy/Sell Signals	How-to Lessons How to add future bars to plan for market scenarios How to change volume bar colors when the price closes down How to draw an horizontal segment line using QS language How to download historical EOD data for penny stocks How to perform a basic quantitative analysis using the S&P 500
Related Forum Threads close next bar with intraday bars Speed of script execution for symbols with many bars Regarding trading after market hours Trailing Stop With Condition How to get Bars since highest high?	Blog Posts True portfolio simulation applied to trading systems How to simulate options strategies Example of a trading system implemented in QuantShare Software How to choose which technical indicators to use in your trading s... 9 mistakes you should avoid when backtesting an end-of-day stock ...