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We may create a channel around M=MA(C,20), if we consider MUP
+20% above M and MDOWN -20% below M.
For the last 100 bars, the percentage of bars inside the
channel is INS %.
For many stocks this +20% is wide enough to give INS=100% and
does not help.
Let us risk to decrease this 20% to obtain a NEWINS=95%. We
will see, for many stocks, values below 10%, which gives more
reasonable and useful MA channels.
When the small green circle appears, we should expect prices
to move towards the MA again.
// Adjusted Moving Average Bands
P=20;
LOOKBACK=100;
PERC=95;M=MA(C,P);
<FONT
size=2>X=2;MUP=M*(1+X/10);MDOWN=M*(1-X/10);INS0=100*Sum(C>=MDOWN AND
C<=MUP,LOOKBACK)/LOOKBACK;STEP=0.01;for(X=0.1;X<3;X=X+STEP){MUP=M*(1+X/10);MDOWN=M*(1-X/10);INS=100*Sum(C>=MDOWN
AND
C<=MUP,LOOKBACK)/LOOKBACK;G[0]=2;if(INS[BarCount-1]<=PERC){G=X;}}NEWMUP=M*(1+G/10);NEWMDOWN=M*(1-G/10);NEWINS=100*Sum(C>=NEWMDOWN
AND
C<=NEWMUP,LOOKBACK)/LOOKBACK;Plot(C,"",1,64);F=Cum(1)>LastValue(Cum(1))-LOOKBACK;Plot(M,"",1,1);Plot(MUP,"",2,1);Plot(MDOWN,"",2,1);Plot(NEWMUP,"",4,1);Plot(NEWMDOWN,"",4,1);Title=Name()+",Width="+WriteVal(10*G,1.1)+"%,
OLD INS="+WriteVal(INS0,1.0)+"%"+", NEW
INS="+WriteVal(NEWINS,1.0)+"%";PlotShapes((Cum(1)==LastValue(Cum(1))-LOOKBACK)*shapeUpTriangle,colorBlue);OUT=C<NEWMDOWN
OR
C>NEWMUP;PlotShapes(F*OUT*shapeSmallCircle,colorBrightGreen);Filter=Sum(OUT,3)>=1;//
EXPLORE FOR THE N=1 LAST QUOTATIONS
AddColumn(10*g,"WIDTH
%");AddColumn(C,"C");AddColumn(NEWMUP,"NEWMUP");AddColumn(NEWMDOWN,"NEWMDOWN");
For Indicator builder set scaling to Automatic.
For AA, explore for the n=1 last quotations to investigate if
some green circle appeared the last 3 bars.
The initial Width 20% is too much for the majority of stocks.
AAPL is responsible for this choice : the OLDINS is 93% and
AAPL needs a new Width 24% to give the 95% !!! May2003 is
still included in the 100-bar test period and causes this
behavior. If AAPL is cool the next 15 bars, the Width will
become more reasonable and useful for price speculation.
The N100 champion was NVDA. It needs a Width=29% [!!!] and
does not like this method.
See the various Widths by replacing the filter condition to
Filter=1; Many stocks are below 10% .
Dimitris Tsokakis
PS1. The formula is not proper for backtesting.
PS2. For more accurate results you may decrease the
STEP=0.01, to STEP=0.005; or even to STEP=0.001; with the
unavoidable slow down of the
procedure .
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