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Percentage of Bars a Trading rule Generates Buy/Sell Signals

by QuantShare, 3364 days ago
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A trading rule has only two states, black or while, true or false. In a given period, the state of a trading rule could remain constant (true or false) or it could change one or several times from one state to another. During this period, it could be interesting to calculate the percentage of time (bars) where the trading rule was true; consequently we will also discover the percentage of trading bars where the trading rule was false.

This trading indicator allows you to perform such calculation for a given number of bars. The indicator function has two parameters. The first one takes the time series or trading rule that you want to analyze and the second parameter takes the number of trading bars that the indicator should analyze to compute the percentage of bars the trading rule was true or higher than zero.

For example, the following formula: PerValue(rsi(14) > 70, 30) calculates for each trading bar, the percentage of times the Relative Strength Index was higher than 70 during the last 30 bars. A value of 100 indicates that the RSI was always higher than 70 during the last 30 bars.

Here is another example:
PerValue(close > sma(10), 20)

This trading indicator returns the percentage of bars, during the previous 20 bars, where the provided trading rule returns a buy signal (may also be interpreted as a sell signal); that is the close price of an asset is higher than its 10-Bar simple moving average.

This PerValue indicator is similar to another one - % bars in last N trading days where stock close price increased. The latter calculates the percentage of bars where the provided time series increased compared to its previous bar value.




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Type: Trading Indicator

Object ID: 694


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Market: All

Style:
Technical Analysis

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.