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Thanks, John, for pointing that website out. No, I was not referring to
that per se, although his writeup caught the general gist except for the
bandwidth. Where I learned it from was a guy named Steve Notis
(www.byte-research.com), who sells a non-programming software product
called Powerkit.
AV
Original Message:
-----------------
From: john gibb jgibb1@xxxxxxxxxxxxx
Date: Thu, 25 Sep 2003 07:31:19 -0700
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: The Reverse Engine Bollinger Bands Problem, IV
I suspect you guys may be referring to the system described here:
http://www.bollingeronbollingerbands.com/methods/main.php
...although he talks of only reducing the bandwidth to +/- 1.5
----- Original Message -----
From: Al Venosa
To: 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
----- Original Message -----
From: palsanand
To: 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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