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[amibroker] Re: Adjustable Bollinger Bands



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Only in a normal distribution, 2*StDev captures 95% of the values.  
Maybe the distribution is not normal but something close to the 
normal distribution?...

Pal
--- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> Thanks for the response. Yes, I did use (paste) the formula. I'm 
just 
> trying to understand the logic behind it. Let me clarify a bit 
more 
> on what I was trying to say. 
> 
> Let me first talk about the second point that I raised. So you do 
NOT 
> want a fluctuating min f value? I thought you would, because 
> otherwise the 95% capture would happen only for last 100 bars, 
which 
> is Ok in real time, but not in say, a backtest. For example, when 
I 
> plot the formula, I see perc is 95% or greater for last 100 bars, 
but 
> not necessarily for bars before that. Was that the intent? If yes, 
> then its OK.
> 
> Re. first point, what I was trying to say is that why figure out a 
> coeff for BBands calcualted over "n" periods that captures 95% of 
the 
> values over "Lookback" periods which is greater than n? Even if 
you 
> put aside the argument that 2X doesn't always give you 95% (see 
> below), why not just calculate BBands for Lookback periods and 
figure 
> out a coeff for those which capture 95% of the prices for 
Lookback? 
> Is there any reason for choosing a "different" n periods to 
calculate 
> the coeff for?
> 
> Thirdly, and now this is VERY surprising. When I plot a simple 2X 
of 
> a BBand like below -
> 
> -------------------------------
> SetBarsRequired(10000, 10000);
> 
> n=20;
> newbB=BBandBot(C,n,2);
> newbT=BBandTop(C,n,2);
> newperc=100*Sum(C>=newbB AND C<=newbT,n)/n;
> 
> Plot(C,"C",1,64);
> Plot(newbB,"BB",colorLightYellow,8);
> Plot(newbT,"BT",colorLightYellow,8);
> Plot(newperc,"Perc",colorLightBlue,8);
> --------------------------------
> 
> - you are right that newperc sometimes dips below 95? How come? 
Isn't 
> 2 times standard deviation supposed to capture 95% of the values 
in a 
> given dataset, which is values over last n periods? Does anyone 
know 
> why it would dip below 95%?
> 
> Jitu
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" 
<TSOKAKIS@xxxx> 
> wrote:
> > Find some comments below:
> > --- In amibroker@xxxxxxxxxxxxxxx, "jtelang" <jtelang@xxxx> wrote:
> > > Hi Dimitris,
> > > 
> > > A bit confused about couple of things here... Hope you can 
> clarify.
> > > 
> > > 1. BBands are calculated as standard deviation, so by 
definition, 
> 2 
> > > times BBands is supposed to capture 95% of the values over 
> periods 
> > > specified. 
> > 
> > No, it is not true. 
> > The percentage x is given by
> > 
> > Lookback=100;n=20;
> > bB=BBandBot(C,n,2);
> > bT=BBandTop(C,n,2);
> > x=100*Sum(C>=bB AND C<=bT,Lookback)/Lookback;
> > 
> > Explore your database and you will see that x is not equal to 95.
> > This is exactly what my code searches: to find the proper f that 
> will 
> > make this percentage equal to 95%.
> > 
> > >In your formula below, if you make Lookback equal to n, 
> > > then theorotically the f min value should always be equal to 
2, 
> no 
> > > less, no more. Is that assumption correct? If yes, then 
couldn't 
> > you 
> > > simply calculate BBands over Lookback periods with 2 as 
> multiplier, 
> > > giving you the same values as calculated below?
> > > 
> > > 2. In the for loop below, when you use "x[BarCount-1]" to 
> compare, 
> > > what are you assuming BarCount value to be? "BarCount-1" will 
> > always 
> > > give you the last value in the array, no? 
> > 
> > I agree.
> > 
> > >Furthermore, as TJ 
> > > explained to me earlier in another thread, the BarCount value 
> > > fluctuates when QuickAFL mode is on. 
> > 
> > I didnīt follow this reply you refer but I donīt see anything 
> > flactuating in my results. Did you notice something similar ?
> > 
> > >So if you add "SetBarsRequired
> > > (10000, 10000)" at the top of your formula to correct it, 
you'll 
> > > notice that your min f value is a constant.
> > 
> > I do not use SetBarsRequired in this code.
> > 
> > To avoid confusion [?] with barcount, replace this line with
> > 
> > if(x[LastValue(Cum(1))-1]<=perc)
> > 
> > It will give the same result.
> > > TIA,
> > > 
> > > Jitu
> > In general, paste the code and see how it works [because it 
works] 
> > and then arrange it according to your standards.
> > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" 
> > <TSOKAKIS@xxxx> 
> > > wrote:
> > > > 
> > > > Paste in Inicator builder the
> > > > 
> > > > // Adjustable Bollinger bands
> > > > n=20;
> > > > Lookback=100;
> > > > perc=95;
> > > > for(f=1.5;f<3;f=f+0.01)
> > > > {
> > > > bB=BBandBot(C,n,f);bT=BBandTop(C,n,f);
> > > > x=100*Sum(C>=bB AND C<=bT,Lookback)/Lookback;
> > > > if(x[BarCount-1]<=perc)
> > > > {
> > > > g=f;
> > > > }
> > > > }
> > > > newbB=BBandBot(C,n,g);
> > > > newbT=BBandTop(C,n,g);
> > > > newperc=100*Sum(C>=newbB AND C<=newbT,Lookback)/Lookback;
> > > > Plot(C,"",1,64);Plot(newbB,"",colorLightYellow,8);Plot
> > > (newbT,"",colorLightYellow,8);
> > > > Plot(BBandBot(C,n,2),"",colorRed,1);Plot(BBandTop
> > > (C,n,2),"",colorRed,1);
> > > > Title="f min="+WriteVal(g,1.2)+",perc="+WriteVal(newperc,1.0)
> +"%";
> > > > 
> > > > The formula will find the f min necessary for the 95% 
> confidence, 
> > > > will plot the new BBands and, for comparison, will plot the 
> usual 
> > > f=2 BBlines.
> > > > It is interesting to see fminCSCO=2.09 but fminBEAS=2.70.
> > > > You may adjust n, Lookback and perc.
> > > > Dimitris Tsokakis


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