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David
More specifically I too would like to know how to
calculate these Channel coefficients but based on two
variables.
1 - capture a given % of prices (90% - 85%
etc.)
2 - do so over a given period (45 days, 90 days
etc.)
Rick
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----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 10, 2003 11:08
PM
Subject: [amibroker] channel width, in
dr. elder's sense
does anyone know how to automatically calculate channel
(envelope) widthslike dr. elder intends? far as I can tell, this is
idiosyncratic to him;everywhere else I've found references to channels,
they just mean thegeneral idea of constant ratio above and below an
EMA.here's what he says in Come Into My Trading
Room:----------Upper channel line = EMA + (EMA * Channel
coefficient)Lower channel line = EMA - (EMA * Channel
coefficient)A well-drawn channel contains the bulk of prices, with
only a few extremespoking out. Adjust the coefficient until the channel
contains approximately95 percent of all prices for the past several
months. Mathematicians callthe "second standard deviation channel". Most
software packages make thisadjustment very easy.----------I
don't know how to turn the reference to standard deviation into code.
hespecifically contrasts channels to Bollinger Bands, which are plotted
somenumber of standard deviations away from the EMA.anyone
understand this better than me?daveSend
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