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Chris
Why do think it important for the upper and lower
channels to be equidistant from the EMA? Stocks often fall a lot quicker
than they rise - and that might argue for a tighter lower band. In an
uptrend, the upper band will expand and the lower one will contract, and
vice-versa.
One indicator I've heard of that had different
coefficients is called Bomar Bands - apparently the product of Bob Brogan and
Mark Chaiken (i.e. BOb and MARk). There are two versions. The
first is based on a 21-day SMA and captures 83% of the price action based on a
lookback period of 185 days (it may be shorter than this - not sure). In
other words, these bands are supposed to stop the stock price at one of the
bands 5 out of 6 times.
There is a second intermediate one designed to stop
prices 90% of the time (9 out of 10 times) plotted around a 50-day SMA and a
lookback period of 12 months (240 days).
In MetaStock (dare I mention that on this site)
plugin, John Bollinger mentions Bomar Bands. He says the bands are shifted
up 3% and down 2% - but I tried that solution and the bands do not resemble
samples of the bands I've been able to find on the web. (I subscribed to
Signalwatch at one point, which uses Bomar Bands).
So a challenge to the mathematicians in the
group. How do you create an algorithm that uses the price history to
automatically calculate these bands.
Rick
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
indiana0352
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, September 18, 2003 7:31
PM
Subject: [amibroker] 95% Channel
formula
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> > <A
href="">http://groups.msn.com/ASXShareTrading>
> <A
href="">http://groups.msn.com/FMSAustralia>
> > > > > -----Original Message-----> > From:
indiana0352 [mailto:cs_winn@xxxx] > > 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);> > >
> > > > > > ---> > > Outgoing mail is
certified Virus Free.> > > Checked by AVG anti-virus system (<A
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Version: 6.0.516 / Virus Database: 313 - Release Date: 9/1/2003> >
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