|
PureBytes Links
Trading Reference Links
|
Recently there was quite some interest in and confusion about Price
Headley Acceleration Bands: Where to find info, the formulas and how
to apply them
1. To find: Nowadays often the easiest way to find this type of info
is by going to Google and search keywords,e.g. "acceration bands" (in
Opera, the search bar is next to the addressbar; incidentally Opera
is superior to IE in many aspects and also somewhat faster).
2. Formulas: The bands are described extensively in "Big trends in
trading : strategies to master major market moves / Price Headley,
2002",on pg.91 and on
3. Application: The bands are meant for well trending stocks with
solid earnings growth (25%), in short for well behaved stocks that
respond well to a host of other indicators too.
4. A Buy signal occurs after 2 closes above the top band and a Sell
signal after a close below it.
5. The original formulas are:
UpperBand = MA((H*(1+2*((((H-L)/((H+L)/2))*1000)*0.001))),20);
MidBand = MA(C,20);
LowerBand = MA((L*(1-2*((((H-L)/((H+L)/2))*1000)*0.001))),20);
6. This hard-to-decipher formula is unnecessary complicated and can be
easily reduced to a straightforward form:
BWRatio = (H-L)/(H+L) ; //BandWidth Ratio
UpperBand = MA(H*(1+4*BWRatio),20);
LowerBand = MA(L*(1-4*BWRatio),20);
7. From the simplified, but equivalent formulas, one can easily
determine, that acceleration is predominantly caused by the Center
Band behavior, not by the Top and Bottom bands. Also although a trend
technique, the late Buy and Sell entries force loss of a large
portion of the trend
8. Essentially, the bands are part of a family of MA-based Top/Bottom
Bands shifted wrt to the Center MA band
9. In fact, the Buy and Sell points are often identical to those
derived from a MA Center band with Percentage offset from the Center:
e.g. (100-Const.)/100*MA,(100+Const.)/100*MA.
10. Bands based on a statistical criterion (e.g. Std Dev, ATR) such as
BB bands in general provide earlier Buy and Sell signals.
11. The impact of the various parameters can be easily visualized with
the PARAM feature (AB4.25 and up)
12. To verify above statements and of course also for play and
comparison, below some simple indicator code containing:
1. Original Price headley formulas
2. Price Headley formulas simplified (by removing unnecessary
parentheses and factors)
3. Price Headley formulas simplified; (generalized with PARAMS)
4. MA Bands offset from Center MA Band (with PARAMS)
5. Bollinger Bands (with PARAMS)
//====================================================================
========================================================
//Acceleration Bands-Price Headley
MaxGraph = 10;
Graph0Style=Graph1Style=Graph2Style=Graph3Style=Graph4Style=Graph5Styl
e=Graph6Style=Graph7Style=Graph8Style=1;
Graph0Color = Graph1Color = Graph2Color = 7;Graph3Color = Graph4Color
= Graph5Color = 6; Graph6Color =Graph7Color = Graph8Color = 1;
Plot(C,"C",1,64);
// 1. Original Price headley formulas
UpperBand = MA((H*(1+2*((((H-L)/((H+L)/2))*1000)*0.001))),20);
MidBand = MA(C,20);
LowerBand = MA((L*(1-2*((((H-L)/((H+L)/2))*1000)*0.001))),20);
//=========================================
Graph0 = UpperBand ; //Yellow
Graph1 = MidBand ;
Graph2 = LowerBand ;
/*
2.Price Headley formulas simplified (by removing unnecessary
parentheses and factors)
BWRatio = (H-L)/(H+L) ; //BandWidth Ratio
UpperBand = MA(H*(1+4*BWRatio),20);
LowerBand = MA(L*(1-4*BWRatio),20);
*/
//=========================================
// 3.Price Headley formulas simplified; generalized with additional
PARAMS
ConstBWR = Param("ConstBWR",4,1,10,0.5);
PerMAPH= Param("PerMAPH",10,2,30,1);
BWRatio = (H-L)/(H+L) ;
UpperBand = MA(H*(1+COnstBWR*BWRatio),PerMAPH);
MidBand = MA(C,PerMAPH);
LowerBand = MA(L*(1- COnstBWR*BWRatio),PerMAPH);
Graph3 = UpperBand ; //Blue
Graph4 = MidBand ;
Graph5 = LowerBand ;
//=========================================
// 4. MA Bands
OffsetPerc= Param("Offset Perc.",15,0,50,1);
PeriodMA = Param("PeriodMA",10,2,30,1);
UpperBand = (1+OffsetPerc/100 )* MA(C,PeriodMA);
MidBand = MA(C,PeriodMA);
LowerBand =(1-OffsetPerc/100 )* MA(C,PeriodMA);
Graph6 = UpperBand ; //Black
Graph7 = MidBand ;
Graph8 = LowerBand ;
//==========================================
// 5. Bollinger Bands
BBStdDev = Param("BBStdDev",2,0.5,3,0.5);
//BBStdDev = Param("BBStdDev",2,0.25,4,0.25);
BBPeriod = Param("BBPeriod ",10,5,30,1);
//BBTop = BBandTop(C,BBPeriod ,BBStdDev);
//BBBottom = BBandBot(C,BBPeriod ,BBStdDev);
BBTop = BBandTop(H,BBPeriod ,BBStdDev);// I often use the H and L
instead of C
BBBottom = BBandBot(L,BBPeriod ,BBStdDev);
Plot(BBTop ,"BBTop ;",2,1); //White
Plot(BBBottom ,"BBBottom ",2,1);
Plotcolor = IIf(C-O>0,5,4);
minimum = LastValue( Lowest( Volume ) );
maximum = LastValue( Highest( Volume ) );
Plot( MA(V,1),"Volume = ", Plotcolor ,
styleHistogram|styleNoLabel|styleOwnScale,Minimum,4*Maximum);
Title = EncodeColor(7) + "Acceleration Bands-Price Headley; Period =
20;" +
EncodeColor(6) + "\nAcceleration Bands; ConstBandwidth Ratio = " +
WriteVal(COnstBWR ,2.0) + "; PeriodMA-Price Headley = " +
WriteVal(PerMAPH,2.0) + ";" +
EncodeColor(1)+"\nMA Bands; CenterBand MA Offset; Offset Perc = " +
WriteVal(OffsetPerc,2.0) + "; PeriodMA = " + WriteVal(PeriodMA ,2.0)
+";" +
EncodeColor(2)+ " \nBollinger Bands - StdDev = " + WriteVal(BBStdDev,
2.0) + "; BBPeriod = " + WriteVal(BBPeriod ,2.0) +";" ;
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|