Projection Bands Fast Oscilator
Author: ruediger78
Creation Date: 7/15/2014 12:03 AM
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ruediger78

#1
Hi,

when playing around with this indicator, I realized that its value changes when adding data.

For example PBFO Value of CBS Stock at 11th July was 25. When adding the 14th July bar, then the PBFO Value at 11th July is 30,5. Is this an error in the indicator calculation or something which lies in the nature of the indicator?

If so, then I cant see how I can use this indicator anymore for backtesting/trading
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Eugene

#2
Hi,

Then you can't use RSI or EMA anymore as they behave exactly the same. This is by design. Check out the WealthScript Programming Guide > Indicators > Stability of Indicators. Projection Bands are one of these indicators calculated using its own previous values so you should load enough bars as suggested by the WS Guide.
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ruediger78

#3
Hi Eugene,

thanks for your answer, but this is not what I mean. I will try to explain it better:

I take the CBS symbol (Morningstar data). I am loading data from 1.1.2003 until 14.7.2014. There are 2930 bars, so stability like you descriped above should be no problem. If I look now at the penultimate bar (11 th of July) has a PBFO value (Period 2, Smooth 4) of 29.39. When I delete the last bar ( 14th of July) now the PBFO value at 11th of June (now the last bar) is suddenly 64.78. This makes me believe, that future data must have been used in the indicator calculation, because the values are to wide apart. But number of bars in the dataset has just decreased 0,03%.
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Eugene

#4
Thank you, I am able to reproduce that with a tight period like 2. Now if you switch to the default values (14,5), you'll notice that the effect is gone. The oscillator isn't making use of future values, but I believe it doesn't make sense to use a period less than 3 for anything based on LinearRegSlope (like the PB family). Garbage in, garbage out.