A very astute reader of the BWTSwTS2 has brought to my attention errors in my description of the Thermostat and Bollinger Bandit algorithms. In the Thermo description I incorrectly used the words yesterday and today. The code is correct in the book. Thanks to John for finding this!
Corrected description follows:
….If today’s closing price is greater than the average of today’s high,low and close, then we feel tomorrow’s action will probably be bearish. However, if today’s closing price is less than or equal to the average of today’s high, low, and close, then tomorrow’s market will behave in a bullish manner.
In addition John uncovered a typo as well for the Bollinger Bandit description – when I stated BELOW I meant ABOVE and vice versa.
Corrected description follows:
If liqPoint is BELOW the upband, we will liquidate a long position if today’s market action <= liqPoint.
If liqPoint is ABOVE the dnband, we will liquidate a long position if today’s market action >= liqPoint.
Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!
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Oh, really? I also have the same mistake like you. Thanks for posting because I know the mistake likes and starts from. Thanks a lot!