Registered User Joined: 10/7/2004 Posts: 16
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I am attempting to code in one of Larry Connors' ETF strategies. The %b Strategy calls for looking for an ETF where the %b closes under 0.2 for 3 consecutive days. Searching for those ETFs where %b is under 0.2 today is simple enough but how do you scan for those that closed under that level for the previous 2 days? Also, why doesn't the Version 12 PCF coding box provide the assistance that previous versions provided? Thanks.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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You would need to create a Condition Formula which would depend on the exact settings of your Bollinger Bands %B. For example, for a Period of 20 and a Std Dev of 2.00, the Condition Formula could be written as:
(C - AVGC20) / 4 / SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 20) + .5 < .2 AND (C1 - AVGC20.1) / 4 / SQR(ABS(C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2 - 20 * AVGC20.1 ^ 2) / 20) + .5 < .2 AND (C2 - AVGC20.2) / 4 / SQR(ABS(C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2 + C21 ^ 2 - 20 * AVGC20.2 ^ 2) / 20) + .5 < .2
Modelling Bollinger Bands (& Standard Deviation) in a TC PCF
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce Personal Criteria Formulas TC2000 Support Articles
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