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Dynamic Bucket Range Mask

by swalk10, 3451 days ago
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This rule mask demonstrates and provides a template of how to combine the Channel Position and Fixed Bucket Calculation functions to automatically create buckets off of any time series.

This rule mask converts a time series into bucket values. The resulting values will range between 0 and the one less than the Number of buckets. The default number of buckets is 5, which results in output between 0 and 4. The highest values will go into the highest bucket. The lowest values will go into the lowest buckets.

The values are placed into buckets based on the high and low values over the past 50 (or Length) days. If in the past 50 days the indicator has varied between 0 and 100, then all values from 0-20 will go into bucket 0, 20+ - 40 into bucket 1 and so on.

This can be used on the closing price as a trending indicator, or any other time series. This is most useful on indicators where the actual values of the indicator are not as important as the relation to previous values. It can also be used to bind indicators to a certain range, and make rules based on the newly bounded range.

After creating the mask, optimize which bucket is traded to see how the indicator performs across the range of its values. Also included is a mask that lets you optimize the lookback time period for which the bucket ranges are determined.

Scott Walker & Michael Walker




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Type: Rules Mask

Object ID: 568


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Style:
Technical Analysis

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Technical Analysis


Fundamental Analysis



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