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Well, Pal, there's not much more to report. I think I may have coded it
once in AB a year or so ago, but I don't remember much about the results. When
you place your orders, you use OCO orders so you don't get filled on both long
and short on the same day. You get filled at the first breach of a band (upper
or lower), and then the other order automatically gets canceled. Or, you could
use it as a reversal system, too, if you wanted. I know nothing about Gann
support and resistance points, so I can't comment on that. Thanks for the reply.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
palsanand
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 24, 2003 9:07
PM
Subject: [amibroker] Re: The Reverse
Engine Bollinger Bands Problem, IV
Hi,I can envision some problems with this Bollinger
Breakout system. 1) It is extremely diffcult for one to
make a determination of the direction of the market based on volatility
(HVR, BandWidth etc.,)alone without a good Entry/Exit Trading signal
Detection System. Hence you may have to straddle the
market.2) Suppose you go long above the upper band and you place
a sell stop below the lower band (straddle) and vice-versa and you get
filled on both sides....You may get away with this system by
placing your stop not just above/below the bands but at for e.g., at
Gann's support and resistance points, because these points once they are
breached reverse their function (support becomes resistance and resistance
becomes support).I would be interested in knowing more about this
system....Thanks.Regards,Pal---
In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:>
Pal,> > There is a trading system used by some traders called
the Bollinger Breakout System. It is similar to what DT has proposed. You
buy when the upper band is exceeded plus a small additional amount
(opposite for shorting). However, the standard deviation bands are much
smaller than the usual +/- 2. Usually, they are around +/- 0.4 or so. So,
the bands are quite a bit narrower and are used as breakout bands rather
than the usual rebound bands or support/resistance levels where one
sells at the top of the upper band and buys at the bottom of the lower
band. Just a different way of looking at things. It's a volatility
breakout system of sorts. By the way, the exit is the opposite of the
entry: sell at the breakout from the lower band (if long originally).
> > AV> ----- Original Message -----
> From: palsanand > To:
amibroker@xxxxxxxxxxxxxxx > Sent: Wednesday, September 24,
2003 1:03 PM> Subject: [amibroker] Re: The Reverse Engine
Bollinger Bands Problem, IV> > >
Hi,> > I would characterize your definition of upper
or lower breakout as a > continuation signal not a
breakout. > > In my opinion an upper breakout
always starts from the lower Bband > and a lower
breakout always starts from the upper Bband. The trick
> there is to find that particular value of the Z-Score
(+/-2)that will > detect the breakout or counter-trend
pullback. It is made much > easier by calculating a
range of Z-Scores with different moving > averages (2-21)
& performing a check on it using StochZ(50) &
StochZ> (200).> > The
Bollinger Bands are Standard Deviation Bands. It's superiority
> is in showing your investments volatility along with the
likely > support and resistance areas (Z=0). The
extremes of the band (+/-2)> are considered
"unusual". Every time you see an investment reach the
> extremes, it is said to be at the "Bollinger Band".
However, it is > also a key turning point. The
price can be expected to be anywhere > within the 95%
confidence band at any time. The moment the >
investment hits the extremes, it is now statistically significant and
> something has caused this new valuation and it is time to
search for > a signal using your favorite Entry/Exit
Trading Signal Detection > system.>
> But, sometimes a breakout becomes a counter-trend
pullback & vice-> versa. The trick there is to
detect the volatility. You may find > that the
volatility characteristics are quite different for these two
> types of market conditions.> >
Regards,> > Pal> --- In
amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
> wrote:> > Here is an application of
the method.> > Suppose we trade BBands and suppose we
buy at the upper breakout > and sell some, say 8, days
later.> > The usual code would be, from 1/1/2003 till
now> > > > // Without the
method> > t=8;> >
Buy=Cross(C,bt);Buy=ExRemSpan(Buy,t);Sell=Ref(Buy,-t);>
> SetTradeDelays( 1, 1, 1, 1 ) ;> >
e2=Equity(1,3,1030101,1030924);> > >
> where bt is the BBandTop(C,n,f) upper Bollinger Band>
> Buy/Sell at Open with delay +1.> >
> > Now we know in advance the critical level X1 to have
a BB breakout > tomorrow. > > We
may use it as a BuyPrice and set Buy delay to 0.> > The
new system would be> > > > // With
the method> > t=8;> >
Buy=Cross(C,bt);Buy=ExRemSpan(Buy,t);Sell=Ref(Buy,-t);BuyPrice=Ref>
(x1,-1);> > SetTradeDelays( 0, 1, 1, 1 )
;e1=Equity(1,3,1030101,1030924);> > >
> The att. gif gives an outline of the improvement.>
> Of course, nothing is free in this world, we have to decide, when
> the price reach the critical level X1, that it will close
higher !!> > Explore the database for the n=1 last
quotations with> > > > n=10;
f=2;> >
Qn=Sum(C^2,n);Qn_1=Sum(C^2,n-1);> >
Sn=Sum(C,n);Sn_1=Sum(C,n-1);> >
Mn=Sn/n;Mn_1=Sn_1/(n-1);> >
Kn=(1/n)*sqrt(n*Qn-Sn^2);Kn_1=(1/(n-1))*sqrt((n-1)*Qn_1-Sn_1^2);>
> bb=Mn-f*Kn;bt=Mn+f*Kn;> >
S=Sn_1;Q=Qn_1;> >
A2=(n-1)*(f^2-n+1);> >
A1=-2*(f^2+1-n)*S;> >
A0=f^2*n*Q-f^2*S^2-S^2;> >
x1=(-A1-sqrt(A1^2-4*A2*A0))/(2*A2);> >
x2=(-A1+sqrt(A1^2-4*A2*A0))/(2*A2);> >
Plot(C,"C",1,8);> >
Plot(X1,"",colorBlue,1);> >
Plot(X2,"",colorBlue,1);Plot(bb,"BBandBot",7,1);Plot>
(bt,"BBandTop",7,1);> >
PlotShapes(shapeDownTriangle*Cross(x2,Ref(C,1)),colorPink);>
> PlotShapes(shapeDownArrow*(Cross(bb,C)),colorRed);>
>
PlotShapes(shapeUpTriangle*Cross(Ref(C,1),x1),colorAqua);>
>
PlotShapes(shapeUpArrow*(Cross(C,bt)),colorBrightGreen);>
> Title="The next "+Name()+" Close should be "+"\n
*below"+WriteVal> (x2)+" [ "+WriteVal(100*(-1+x2/C))+"%
] for a BBandBot Cross"+> > "\n *above"+WriteVal(x1)+"
["+WriteVal(100*(-1+x1/C))+"% ] for a > BBandTop
Cross"+> > "\n Actual Next Close =
"+WriteIf(Cum(1)!=LastValue(Cum>
(1)),WriteVal(Ref(C,1)),"?");> >
t=8;> > // With the method> >
Buy=Cross(C,bt);Buy=ExRemSpan(Buy,t);Sell=Ref(Buy,-t);>
> BuyPrice=Ref(x1,-1);> > SetTradeDelays( 0, 1, 1, 1
) ;> >
e1=Equity(1,3,1030101,1030924);> > // Without the
method> >
Buy=Cross(C,bt);Buy=ExRemSpan(Buy,t);Sell=Ref(Buy,-t);>
> SetTradeDelays( 1, 1, 1, 1 ) ;> >
e2=Equity(1,3,1030101,1030924);> >
Filter=e1>e2;> > AddColumn(e2,"e
Without");> > AddColumn(e1,"e
With");> > AddColumn(100*(-1+e1/e2),"Profits %
Increment");> > > > to get an idea
of probable applications.> > Dimitris
Tsokakis> > > >
> > > > > >
> > ----- Original Message ----- >
> From: Dimitris Tsokakis > > To:
amibroker@xxxxxxxxxxxxxxx > > Sent: Tuesday, September
23, 2003 1:15 PM> > Subject: Fw: The Reverse Engine
Bollinger Bands Problem, III> > >
> > > If you expect a BBandBot(C,10,3) to cross CSCO
Close, perhaps you > should wait for long.
> > This type of cross never occurred the last 45 months
!!> > There are some resctrictions in BBandbot(C,n,f)
parameters. > > A. f upper limit>
> For a given n, the values of f are limited.> > This
limit is not universal, it varies from stock to stock.>
> In AA window, explore the current stock for the last n=1 bars
with> > > > // f upper limit
for a given n> > // Explore ONLY current stock, n=1 last
quotations> > SetOption ("NoDefaultColumns"
,True);> >
AddTextColumn(Name(),"Name");> >
n=10;> > for(f=1.5;f<=3;f=f+0.1)>
> {> > b=BBandBot(C,n,f);> >
x=Cross(b,C);y=LastValue(Cum(x));> >
if(y>0)> >
{AddColumn(y,"f="+WriteVal(f,1.1),1.0);}> >
}> > Filter=1;> >
> > You may see the # of Cross(b,C) per f value. the
last column gives > the upper limit of f for a given
n.> > For the database it is better to use the
code> > > > // f upper limit
for a given n> > // Explore the database for the n=1
last quotations> > SetOption ("NoDefaultColumns"
,True);> >
AddTextColumn(Name(),"Name");> >
n=10;> > for(f=1.5;f<=3;f=f+0.1)>
> {> > b=BBandBot(C,n,f);> >
x=Cross(b,C);y=LastValue(Cum(x));> >
AddColumn(y,"f="+WriteVal(f,1.1),1.0);> >
}> > Filter=1;> >
> > For the N100 database no stock exceeded f=3 since
Jan2000.> > > > B. n lower
limit> > For a given f there is a lower limit for n,
also variable from > stock to stock.>
> > > // n lower limit for a given
f> > // Explore the database for the n=1 last
quotations> > SetOption ("NoDefaultColumns"
,True);> >
AddTextColumn(Name(),"Name");> >
f=2.5;> > for(n=3;n<20;n=n+1)>
> {> > b=BBandBot(C,n,f);> >
x=Cross(b,C);y=LastValue(Cum(x));> >
AddColumn(y,"n="+WriteVal(n,1.0),1.0);> >
}> > Filter=1;> >
> > You will see that n should be greater than n=8 for a
probable Cross> (b,C)> >
> > C. fmax for various n> > For
your BBandBot parameters selection you should know the fmax for
> various n.> > // fmax for various
n> > SetOption ("NoDefaultColumns"
,True);> >
AddTextColumn(Name(),"Name");> >
for(n=10;n<210;n=n+10)> > {> >
for(f=1.5;f<=5;f=f+0.1)> > {> >
b=BBandBot(C,n,f);> >
x=Cross(b,C);y=LastValue(Cum(x));> >
if(y>0)> > {fmax=f;}> >
}> > Filter=1;// explore for the n=1 last
quotations.> >
AddColumn(fmax,"n="+WriteVal(n,1.0),1.1);> >
}> > > > In the attached gif you
may see the fmax distribution for a group > of stocks
[test period Jan2000 till now]> > It is better to know
the mutual f,n limitations before using the > Reverse
Engine BBands mechanism.> > Dimitris
Tsokakis> > > >
> > ----- Original Message ----- >
> From: Dimitris Tsokakis > > To:
amibroker@xxxxxxxxxxxxxxx > > Sent: Monday, September
22, 2003 1:53 PM> > Subject: The Reverse Engine
Bollinger Bands Problem, II> > > >
> > Here is the complete IB formula for BBandTop,
BBandbot.> > > > // Anticipating
the next bar BBandBot or BBandTop cross, by D. > Tsokakis,
Sept 2003> > n=20; f=2;> >
Qn=Sum(C^2,n);Qn_1=Sum(C^2,n-1);> >
Sn=Sum(C,n);Sn_1=Sum(C,n-1);> >
Mn=Sn/n;Mn_1=Sn_1/(n-1);> >
Kn=(1/n)*sqrt(n*Qn-Sn^2);Kn_1=(1/(n-1))*sqrt((n-1)*Qn_1-Sn_1^2);>
> bb=Mn-f*Kn;bt=Mn+f*Kn;> >
S=Sn_1;Q=Qn_1;> >
A2=(n-1)*(f^2-n+1);> >
A1=-2*(f^2+1-n)*S;> >
A0=f^2*n*Q-f^2*S^2-S^2;> >
x1=(-A1-sqrt(A1^2-4*A2*A0))/(2*A2);> >
x2=(-A1+sqrt(A1^2-4*A2*A0))/(2*A2);> >
Plot(C,"C",1,8);> >
Plot(X1,"",colorBlue,1);> >
Plot(X2,"",colorBlue,1);Plot(bb,"BBandBot",7,1);Plot>
(bt,"BBandTop",7,1);> >
PlotShapes(shapeDownTriangle*Cross(x2,Ref(C,1)),colorPink);>
> PlotShapes(shapeDownArrow*(Cross(bb,C)),colorRed);>
>
PlotShapes(shapeUpTriangle*Cross(Ref(C,1),x1),colorAqua);>
>
PlotShapes(shapeUpArrow*(Cross(C,bt)),colorBrightGreen);>
> Title="The next "+Name()+" Close should be "+"\n
*below"+WriteVal> (x2)+" for a BBandBot
Cross"+> > "\n *above"+WriteVal(x1)+" for a BBandTop
Cross"+> > "\n Actual Next Close =
"+WriteIf(Cum(1)!=LastValue(Cum>
(1)),WriteVal(Ref(C,1)),"?");> > >
> The formula gives quite accurate results. Sometimes it is
useful.> > At point Z1, the price should be below
13.845 and the next bar > close was
13.840.> > At point Z2, the price should be above 20.840
and the next bar > close was 20.850.
> > From the mathematical point of view, both crosses
come from the > same 2nd degree equation
A2*X^2+A1*X+A0=0> > Dimitris
Tsokakis> > [to be continued]> >
> > ----- Original Message ----- >
> From: Dimitris Tsokakis > > To:
amibroker@xxxxxxxxxxxxxxx > > Sent: Monday, September
22, 2003 11:26 AM> > Subject: The Reverse Engine
Bollinger Bands Problem> > > >
> > What is the necessary next bar Close to see prices
below the next > bar BBandbot ?>
> Steve Karnish is responsible for the question [and >
the ...headache], some time ago.> > The following code
is dedicated to him.> > Paste in IB
the> > > > // Anticipating the
next bar BBandbot cross, by D. Tsokakis, Sept >
2003> > n=10; > >
f=2;> >
Qn=Sum(C^2,n);Qn_1=Sum(C^2,n-1);> >
Sn=Sum(C,n);Sn_1=Sum(C,n-1);> >
Mn=Sn/n;Mn_1=Sn_1/(n-1);> >
Kn=(1/n)*sqrt(n*Qn-Sn^2);Kn_1=(1/(n-1))*sqrt((n-1)*Qn_1-Sn_1^2);>
> b=Mn-f*Kn;> > S=Sn_1;Q=Qn_1;>
> A2=(n-1)*(f^2-n+1);> >
A1=-2*(f^2+1-n)*S;> >
A0=f^2*n*Q-f^2*S^2-S^2;> >
x2=(-A1+sqrt(A1^2-4*A2*A0))/(2*A2);> >
Plot(X2,"",colorBlue,1);Plot(C,"C",1,8);Plot(b,"BBandBot",7,1);>
>
PlotShapes(shapeUpArrow*Cross(x2,Ref(C,1)),colorWhite);>
> PlotShapes(shapeDownArrow*(Cross(b,C)),colorRed);>
> Title="The next "+Name()+" Close should be
<="+WriteVal(x2)+> > "\nActual Next Close =
"+WriteIf(Cum(1)!=LastValue(Cum(1)),WriteVal>
(Ref(C,1)),"?");> > > > The
solution is the X2 array.> > For visual verification, a
white arrow is plotted when the X2 > crosses the next bar
close and a red arrow points the actual cross.> >
> > Dimitris Tsokakis> > [to be
continued]> >
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