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Now that is an excellent, educational post!
1. Can you read 4. again and confirm the sell signal is triggered by a close
below the TOP band?
2. Do you use Bollinger bands in the same way as described above?
Steve
----- Original Message -----
From: "jmschuller" <jmschuller@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 23, 2004 8:44 PM
Subject: [amibroker] Acceleration bands - Price-Hadley
> 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) +";" ;
>
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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