|
PureBytes Links
Trading Reference Links
|
I suspect you guys may be referring to the system
described here: <A
href="">http://www.bollingeronbollingerbands.com/methods/main.php
...although he talks of only reducing the bandwidth
to +/- 1.5
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Al
Venosa
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 24, 2003 6:38
PM
Subject: Re: [amibroker] Re: The Reverse
Engine Bollinger Bands Problem, IV
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]> >
> Yahoo! Groups
Sponsor
>
ADVERTISEMENT>
>
> > >
> Send BUG REPORTS to bugs@xxxx> Send
SUGGESTIONS to suggest@xxxx>
-----------------------------------------> Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group
FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service. > > >
---> Outgoing mail is certified Virus
Free.> Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).>
Version: 6.0.520 / Virus Database: 318 - Release Date:
9/18/2003
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version:
6.0.520 / Virus Database: 318 - Release Date:
9/18/2003Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|