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This does NOT match up with the description you gave, but linear
regression combined with Gilbert Raff's linear regression channel
lines seems to be what you want, unless i'm mistaken. As you probably
know, linear regression is a best fit through the middle of a price.
The channels are then parallel lines designed to contain the price
action (or most of it anyways).
If this is not what he means, I would maybe offer that this might be
a better solution for this kind of channel.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> does anyone know how to automatically calculate channel (envelope)
widths
> like dr. elder intends? far as I can tell, this is idiosyncratic to
him;
> everywhere else I've found references to channels, they just mean
the
> general 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
extremes
> poking out. Adjust the coefficient until the channel contains
approximately
> 95 percent of all prices for the past several months.
Mathematicians call
> the "second standard deviation channel". Most software packages
make this
> adjustment very easy.
> ----------
>
> I don't know how to turn the reference to standard deviation into
code. he
> specifically contrasts channels to Bollinger Bands, which are
plotted some
> number of standard deviations away from the EMA.
>
> anyone understand this better than me?
>
> dave
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