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typo:
...just send an email to <A
href="">amibroker@(or reply to) an email with your file
attached...
should have been:
...just send an email to <A
href="">amibroker@xxxxxxxxxxxxxxx
with your file attached. ..
----- Original Message -----
From: <A
title=jgibb1@xxxxxxxxxxxxx href="">john gibb
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, September 22, 2003 10:35 AM
Subject: Re: [amibroker] Re: using %b and Bollinger's Method
II
see below
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
palsanand
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, September 21, 2003 8:45
AM
Subject: [amibroker] Re: using %b and
Bollinger's Method II
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...
<BLOCKQUOTE
><FONT
face=Arial color=#008000 size=2>which service do you get initially bad volume
data from?
> 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.,
This seems a good idea. Have you
tried Bollinger's approach of putting Bollinger Bands around inicators and
letting upper(lower) band tags indicate overbought(oversold)? The process
being:
a) calculate
(and plot) the indicator
b) calculate and
plot BBands around it
c) calculate %b
via:
<FONT face=Arial color=#008000
size=2> (indicator -
indicator_lower_band) / (indicator_upper_band -
indicator_lower_band)
d) plot
the new %b as a normalized version of the indicator
I am wondering how that compares to
'stochasticizing' indicators like I am gueesing you do like the following,
where XXX is any
indicator:
(XXX_current -
XXX_lowest_in_period) / (XXX_highest_in_period -
XXX_lowest_in_period)
?<FONT face=Arial
size=2>
> 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.
<BLOCKQUOTE
><FONT
color=#008000>
I think Amibroker's
Optimization capability will help with this, though I am just starting to use
it, so I am not sure if I look first for stocks to optimize or optimize first
in order to select stocks.> > 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
I am not sure how you use ATR.
Isn't BandWidth:
(upper Bollinger
Band - lower Bollinger Band) /middle Bollinger Band
?
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...<FONT face=Arial color=#008000
size=2>
I think Bollinger might respond
by advocating using %b of price and then, for confirmation, %b of the
indicator.
<BLOCKQUOTE
>
<FONT
face=Arial size=2>> > 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.
my pseudo email is: jgibb1 at
earthlink dot net
In order to post attachments such
as charts, assuming your email program supports attachments, just send an
email to amibroker@(or reply to) an email
with your file attached. (AFIK, you can't do this thru the Yahoo site when you
'post' a message)
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:> > > > <A
href="">http://www.bollingeronbollingerbands.com/methods/main.php>
> <A
href="">http://www.bollingeronbollingerbands.com/methods/main.php?method=2>
> <A
href="">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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