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Thanks for the info. I'm not using Boll Bands simply because Elder
says they're not based on volatility as BBands are. Elder feels
that channels are more appropriate for stock trading because they
give former price targets when channel trading.
This seems reasonable to me but I wanted to see for myself.
Chris
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Is there any reason you're not using the Bollinger Bands? They're
> supposed to provide you exactly the same thing you're seeking,
unless
> I'm missing something in your question.
>
> Having said that, I myself once tried to implement Elder's channel
> profit strategy a while ago (I'm assuming you're trying to do
> something similar), and did not use BBands to calculate the
channel
> heights because I thought they were too sensitive to occasional
peaks
> that were not "normal". I used something like following -
>
> 1. Calculate past "n" peak values (peak can be defined several
ways;
> there're some past discussions about it on the board)
> 2. Calculate EMA or SMA of past n peak values
> 3. That MA - current MA of the price determines the channel
height.
> Multiply on both sides.
>
> This way, it doesn't necessarily contain 95% of all values, but if
> your peak definition is decent, then it gives pretty good results.
>
> I don't have that code translated to AB yet, but plan to do that
> soon. I'll post it once that's done, if anyone's interested.
>
> Jitu
>
> PS: Did anyone find it odd that throughout the book, Dr. Elder
talked
> about taking channel profits (as in buy when it touches EMA and
then
> sell when it hits the channel target), but none of the trades that
he
> showed at the end of the book were based on that strategy? If I
> remember correctly, they were all based on Force Index divergences
> and what not, where he essentially predicted short term reversals
of
> ongoing trend. Doing that and comparing the profit made to the
> percentage of channel height didn't really make any sense to me.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "indiana0352" <cs_winn@xxxx>
wrote:
> > OK I want to pose this problem to the rest of the board now
because
> > I seem to have maxxed out my programming skills.
> >
> > Basically, I want to be able to draw channels that are
equidistant
> > from the EMA. The original formula goes like this:
> >
> > ----------
> > 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've written some straightforward code to do your own channels.
It
> > is:
> >
> > --------------------------
> > Chancoeff = Param ("Channel Coefficient", 0.1, 0.0, 0.3, 0.005);
> >
> > Upchannel = EMA(Close, EMAShort) + (EMA(Close, EMAShort) *
> > Chancoeff);
> >
> > Downchannel = EMA(Close, EMAShort) - (EMA(Close, EMAShort) *
> > Chancoeff);
> >
> > Plot (Upchannel, "", colorBlack, styleLine);
> >
> > Plot (Downchannel, "", colorBlack, styleLine);
> >
> > ---------------------------
> >
> > That's the easy part. You adjust the channels manually with the
> > param function and "eyeball" when you think that the channels
> > include 95% of prices.
> >
> > Basically what I want is to be able to have AB calculate the
> channel
> > coefficient for me. I've done some work on this and here's what
I
> > have:
> >
> > -------------------------------
> > Lookback = Param ("Channel Lookback", 45, 1, 100, 1); /*lookback
> > period for channels*/
> >
> > ChannelPercent = Param ("Channel %", 95, 80, 100, 0.5); /*what %
of
> > prices within channel in specified lookback period*/
> >
> > Highsum = Sum (High, Lookback); /*sum of high values in lookback
> > period*/
> >
> > Lowsum = Sum (Low, Lookback); /*sum of all low values in
lookback
> > period*/
> >
> > PriceRange = Highsum - Lowsum; /*total of daily range within
entire
> > lookback period*/
> >
> > PercentPrice = PriceRange * ChannelPercent / 100; /*value to be
> > included in channel*/
> > --------------------------------
> >
> > From here I'm stuck. I somehow need to take the value of
> > PercentPrice and convert it to the channel coefficient.
> >
> > Any ideas?
> >
> > TIA,
> > Chris
> >
> >
> >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx>
wrote:
> > > > The same percent of the high prices will be greater in
dollars
> > > than the % of
> > > > lows. I suggest use % of average price (H+L)/2 to get the
> > > bandwidth.
> > > >
> > > > Cheers,
> > > > Graham
> > > > http://groups.msn.com/ASXShareTrading
> > > > http://groups.msn.com/FMSAustralia
> > > >
> > > >
> > > > -----Original Message-----
> > > > From: indiana0352 [mailto:cs_winn@x...]
> > > > Sent: Monday, 15 September 2003 12:55 PM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Re: channel width, in dr. elder's sense
> > > >
> > > >
> > > > Hmm this seems like a good start but the formula below seems
to
> > > base
> > > > the channels on closing proces rather than high and low
prices,
> > so
> > > > the lines would be:
> > > >
> > > > Value2 = HHV(High,Lookback);
> > > >
> > > > Value3 = LLV(Low,Lookback);
> > > >
> > > > This corrects part of the problem but the bottom channel
line
> is
> > > > still not the same distance from the EMA as the top as it
> should
> > > be.
> > > >
> > > > I'll work on this tomorrow but for now I need to go to bed...
> > > >
> > > > Chris
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
> > > <ajf1111@xxxx>
> > > > wrote:
> > > > > Lookback=45;
> > > > >
> > > > > PerCent=95;
> > > > >
> > > > > x=C;
> > > > >
> > > > > Osc=x; /*insert variable by Identifier*/
> > > > >
> > > > > /****************************************/
> > > > >
> > > > > /*Value of Osc*/
> > > > >
> > > > > Value1 = Osc;
> > > > >
> > > > > /*Highest AND Lowest Values of Osc during Lookback Period*/
> > > > >
> > > > > Value2 = HHV(Value1,Lookback);
> > > > >
> > > > > Value3 = LLV(Value1,Lookback);
> > > > >
> > > > > /*Range of Osc during Lookback Period*/
> > > > >
> > > > > Value4 = Value2 - Value3;
> > > > >
> > > > > /*Define PerCent of Range to determine OB AND OS levels*/
> > > > >
> > > > > Value5 = Value4 * (PerCent / 100);
> > > > >
> > > > > /*Calculate OB AND OS levels*/
> > > > >
> > > > > Value6 = Value3 + Value5;
> > > > >
> > > > > Value7 = Value2 - Value5;
> > > > >
> > > > > baseline=(value2 + value3)/2;
> > > > >
> > > > > Plot(C,"",colorBlack,styleCandle);
> > > > >
> > > > > Plot(Value6,"",colorRed,styleLine);
> > > > >
> > > > > Plot(Value7,"",colorRed,styleLine);
> > > > >
> > > > >
> > > > > ---
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