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sjaak,
we may repeat the procedure to other types of bands, the MA(C,20) was
an example, and adjust the width to get the 95% [or any other
percentage] inside the bands. If you find the basics for Sigma we
shall take a closer look, I am not informed about this formation.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "sjaak1943" <sjaakhaasnoot@xxxx>
wrote:
> 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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