|
PureBytes Links
Trading Reference Links
|
Hi Tomasz,
I compared the result of Peak(C, 5, n=1) with that of MS and found a
possible future information leak. Let me use an example to better
explain it.
day Close Peak(C, 5, n=1) Trough(C, 5, n=1)
day 1 100 0 0
day 2 110 0 0
day 3 90 110 0
day 4 100 110 90
day 5 85 100 85
AmiBroker put the peak value of day 4 as 100 instead of 110. This can
only happen when amibroker peeks day 5's close and expect a downturn
ahead.
I think one needs a >5% down turn to define a peak. MS seems to give
correct result. I also tried to fix the issue using ref(Peak(C, 5,
n=1), -1) in Amibroker. A quick look seems to suggest the results
from both software are more comparable after using ref (peak, -1)
function.
You seems to use the most recent high as the peak value when the
trend is up. This method has a future info leak issue. Can you please
confirm if my understanding is correct. I think a better way is to
wait till the reversal turn to define the peak/trough value.
Bai
|