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Hi,
>Does that mean you don't use Volume?
I do not use volume at all. The volume we get from the data
providers is crude approximation and they correct this volume the
next day because they could not calculate the volume accurately
enough in 1 single day, but by the time you get the corrected volume
it is too late... But generally I avoid thinly traded markets...
> Good question...have you, by chance, tried using %b on your
indicators to determine O/B and O/S levels? (Chapter 21: 'Normalizing
Indicators' in Bollinger on Bollinger Bands)
I do use Stochastics on my indicators, not the normal stochastics
that uses high, low etc., but the StochCCI etc.,
> Do you lookback a certain number of bars to determine BandWidth
extremes or is it on a stock-by-stock basis?
It is on a stock-by-stock basis.
>
> In my view, any indicator which acts just on the "close" price is
> spurious except the Z-scores.
I reverse my opinion on this. RSI and Stochastics do work quite well
as Z-Scores on "close" price. RSI is tricky in that the O/B and O/S
levels I use is 75 and 30, not 70 and 30. Stochastics 20/80 and Z-
Scores +2/-2, same as 100/0 atleast initially to detect the signal...
> Do you use the same period for your Z-scores as for the BandWidth
period and what 'price' do you use? (with %b, i tried both Close and
Average Price but didn't see much difference in results)
For BandWidth I use just one period namely 20 bars, but lately I
found out that 50 is better because of something to do with 50 being
a better sample size than 20 to approximate a normal (gaussian)
distribution and so I am going to modify it. I also use ATR(20) for
BandWidth calculation and I am going to change it to ATR(50) also.
For calculating Z-Scores the sample size does not matter, anything
from 2 to 50 is ok.
> I did not find %b and BB's Method II useful mainly because I have
> problems with any theory that contradicts the "Contrarian"
theory.
> As they say, practice without theory is impossible, and theory
> without practice is useless....
>
> i don't follow...Contrarian theory for me means do the opposite
of the majority...
This Method II advocates going long when %b is 80 and short when %b
is 20 which is just the opposite of what the "Contrarian" theory is
advocating. In fact you should do it at 0/100 as O/S, O/B levels for
these...
>
> I agree with Bollinger in using the BandWidth to interpret the
> Volatility Breakout and Counter-trend pullback signals. But
> sometimes, the Counter-trend pullback becomes a Breakout and the
> Breakout becomes a Counter-trend pullback.
>
> At least for his Method I (volatility breakout system), he warns
of frequent headfakes, where a breakout occurs initially in the
direction opposite of that which it eventually takes...is that what
you are referring to?
No. When it starts as a Breakout and then the Volatility changes
suddenly as if by magic and the Breakout condition is no longer valid
and the Counter-trend condition becomes suddenly valid... and vice-
versa.. There is a lot of misinformation in his website or else he
doesn't know as much as he claims... He is leading me on a wild-
goose chase when the answers are there in simple basic statistics...
If you have a good Entry/Exit Trading Signal Detection System as I
do, you would easily spot all these contradictions... I guess it all
boils down to how good your signal detection system is....
>
> So, I use both stops and
> Limits based on Volatility. Stops based on 3BSMA in the same old
> counter-trend territory to cut your losses short or to protect
> profits and stops based on Gann's Rule of Eights in the newly
> trending opposite territory to let your profits run. Limits are
> based on 6 bar Gann Swing points and will vary depending on
> volatility breakout or counter-trend pullback.
>
> it would be great to see a chart illustrating what you mean in
the last paragraph...
I dont how to attach files here. I would try to send you a screen
capture of Gann's ROE and 6 Bar Swing points to your personal e-mail
jgibb1@xxxxx but I dont know the rest of the e-mail.
Pal
>
> -john
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> > Hi sloughbridge,
> >
> > I interpret Method II to be a trend continuation rather than
trend
> reversal (end-of-trend) system.
> >
> > I am using SAR for exits and the '%b<20 AND MFI<20' only for
new
> sell signals.
> >
> > But, since my results are not that great, I may take his
> suggestion and use Method II merely as a setup for his Squeeze
> (Method I) system. (I also have this thought that %b should be
> qualified by the BandWidth; i.e., an %b of 80 when the bands are
> narrow doesn't seem as good a signal as %b of 80 when they are
wide)
> >
> > -john
> >
> > PS: for those who don't have his book, here are the three
systems
> he presents there:
> >
> > http://www.bollingeronbollingerbands.com/methods/main.php
> > http://www.bollingeronbollingerbands.com/methods/main.php?
method=2
> > http://www.bollingeronbollingerbands.com/methods/main.php?
method=3
> > ----- Original Message -----
> > From: sloughbridge
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, September 19, 2003 1:28 AM
> > Subject: [amibroker] Re: using %b and Bollinger's Method II
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx>
> wrote:
> > > Hi,
> > >
> > > I am using 'regular' %b with Money Flow Index in order to
> > replicate, with EOD data, Bollinger's Method II (trend
> following)
> > system from his book Bollinger on Bollinger Bands. (Both %b
and
> MFI
> > have to be above 80 for a buy and below 20 for a sell.)
> >
> > > Also, has anyone else used Bollinger's Method II? So far,
my
> > results are mediocre at best.
> >
> > Well, he also talks about other end-of-trend indicators, and
> Method
> > II followed lots of discussion of topping patterns. And he
> talked a
> > lot about Parametric SAR for an exit with Method II. I think
> that a
> > lot can be lost if no sign of end-of-trend is detected until %
> b<20
> > and MFI<20, but it would definitely give a trending stock
plenty
> of
> > room to run :)
> >
> >
> >
> >
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