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Thank you Dimitris for a nice piece of work.
I read an article about Sigma Bands, it looks like it, but is not
simular.
>From 1 until 15 october we are on Crete again.
Sjaak
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx> wrote:
> 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);
> 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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