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Coding the Active Boundaries indicator
I have read chapter two "Price and value" a lot of times, and the expectation concept it is clear to me, the idea is very well explained and I found it very interesting.
I would like to code it and I wonder if there is someone so kind to help me in how to proceed step by step: other than the book, I have searched through this forum and in the archive section too, and I found some info.
The basis of the AB is clear, it is the average gain or loss of the last x million traded shares. But how to face the coding process?
Let's suppose I have, in example, 1 minute data for the last 200 trading days of the stock Y.
1) I have to find the TotalFloat, and this info is always known since is a public stock information, let's suppose TotalFlow = 100 million shares
2) Subtract shares held from institutional or locked shares from this amount, i.e.20 millions so our float is now 80 million shares
3) Ok now I have my 200 days 1 minute data and I can start building the Active Boundaries starting from 80 million fixed shares.
How to proceed?
My idea: starting with first data (the older one), I should find a window of rows where the total volume is <= 80 millions.
Inside this window, for each closing price (i.e., for every minute), I should calculate the profit or loss compared to the last closing value.
I am not sure if this is the right way to calculate the AB, so any help or suggestions are really very much appreciated.
Thanks all
Alberto
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