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jmschuller,
the BW ratio is the D-ratio, originally posted two years ago [see
#20167 The D-ratio and its application, 6/24/2002]
It was quite interesting for the bearish years [when the
accelerations were significant]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "jmschuller" <jmschuller@xxxx>
wrote:
> This morning I sent you what is called in trade circles a
> Janeczko-gram: Short ( 4 words), to the point, but perhaps not
> addressing the implied questions or broader perspective. So I will
> expand a bit.
> 1. Price Headley: To facilitate visualization I have included 2
> indicators with vertical lines that show the locations of the
actual
> Buy and Sell conditions. They are nearly identical except that one
> shows all buy and sell conditions and the other only includes those
> Sell conditions that are preceeded by a Buy condition. Put the two
> together with the other indicator in the previous email on 1 tab
and
> play with the params. In a short time you will see what works and
> not, the simularity with shifted MA Bands and the comparison wrt to
BB
> bands.
> I don't use PH, because it gets in late and also out late. It is
meant
> for well-trending stocks, what I call O'Neal stocks(IBD,"buy, high,
> sell higher"). That approach works fine in a strong bull market,
but
> eats your lunch anywhere else. Regardless, you only see the tip of
the
> iceberg and leave a lot of profits on the table. For example, after
> analysis of the IBD100 stocks for a period of 13 months, I
concluded
> that in 96% of the cases I would have been in weeks/months earlier
and
> out also much earlier. In addition, I would have invested in only
15%
> of the stocks because there were many more interesting short term
> opportunities. Whereas 5 years ago, the avg buy and hold still was
4-5
> years, currently the avg is 4-5 months. My shortest buy and hold
has
> been 12 sec (the socalled "Shoot,too late" category. PH entry and
> exit points can be improved by reducing the BWRatio and the PerMAPH.
> 2. Bollinger Bands. Some people enter when the close is above the
top
> band. Here again, I feel that you give up way too much without any
> assurance of improved return. I try always to get in near the
minimum
> or short near the maximum. So every now and then you get stopped
out.
> So what? You lose very little. Commissions are hardly a
consideration
> anymore, even when daytrading. The times that you paid 4-6% for a
> roundtrip to your full-service broker are over. There is no dent in
> your wallet, only in your ego. ( If you get stopped out 8 times
in a
> row, though, as has happened to me once, you feel like an idiot,
even
> though the loss was negligible. You have to remind yourself that
you
> are a lot smarter than those traders with the strategically placed
8%
> losses and keep plowing. Coincidentally, the next day I had the
best
> day of that year.
> I use the BB bands primarily for visualization of volatility, to
alert
> me to low volatility (the silence before the storm) and to remind
me
> of where the close is wrt to the bands. It is a very good way of
> assessing the potential risk/reward. If you are interested in BB,
> among the books I liked were:
> 1. Bollinger on Bollinger bands, John Bollinger, 2002 and 2.
Dynamic
> technical analysis,Philippe Cahen, 2001 (He carries it a little bit
> far, but you get ideas of how to implment your own ideas). Also,
even
> though PHformula was kind of outrageous, the book itself is
actually
> pretty readable. 3. Big trends in trading : strategies to master
major
> market moves /Price Headley, 2002.
>
> //==================================================================
==
> ===
>
> //Indicator 1. Prior Buy Condition Restriction for Sell signal
>
> // 3.Price Headley formulas simplified; generalized with additional
> PARAMS
> //Acceleration Bands-Price Headley-Formula Test
> 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);
> ConstBWR = Param("ConstBWR",4,1,10,0.5);
> PerMAPH= Param("PerMAPH",20,2,30,1);
> 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 ;
> //=======================================
> C1 = Ref(C,-1); C2 = Ref(C,-2);
> UpperBand1 = Ref(UpperBand,-1); UpperBand2 = Ref(UpperBand,-2);
> UpperBandDiff = C - UpperBand; UpperBandDiff1 = C1 - UpperBand1;
> UpperBandDiff2 = C2 - UpperBand2;
> BuyCond = IIf(C>UpperBand AND C1>UpperBand1 AND
C2<UpperBand2,1,0);
> Sellcond = IIf(C1>UpperBand1 AND C<UpperBand,2,0);
> Title = EncodeColor(1) +"Price Headley Formula Test - Prior Buy
> Condition" +"\n C2 = " + WriteVal(C2,2.2) +"; C1 = "
+
> WriteVal(C1,2.2) +"; C = " + WriteVal(C,2.2) + "; "
> +"\nPH - UB2 = " + WriteVal(UpperBand2 ,2.2) +"; UB1 = " +
> WriteVal(UpperBand1 ,2.2) +"; UB = " + WriteVal(Graph3 ,2.2) +";"
> +"\nDist Above UpperBand; \nUBDiff2 = " + WriteVal
(UpperBandDiff2 ,2.
> 2) +"; UBDiff1 = " + WriteVal(UpperBandDiff1 ,2.2) +"; UBDiff = " +
> WriteVal(UpperBandDiff ,2.2) +";";
> //Use the FLIP command to remove extraneous Sell signals: 2
Methods,
> just to provide some flavor
> /*
> //Method1
> BuyFlip = Flip(BuyCond ,Sellcond ); BuyCond3 = IIf( BuyFlip AND
> Ref(BuyFlip ,-1)==0,1,0);
> SellFlip = Flip(Sellcond,BuyCond ); SellCond3 = IIf( SellFlip AND
> Ref(SellFlip ,-1)==0,1,0);
> Plot
(BuyCond3 ,"BuyCond ",5,styleHistogram|styleOwnScale|styleNoLabel)
> ;
> Plot(SellCond3 ,"SellCond ",4,
> styleHistogram|styleOwnScale|styleNoLabel);
> */
> //Method2
> BuySellFlip = Flip(Sellcond,BuyCond );
> BuySellFlip2 = IIf( BuySellFlip != Ref(BuySellFlip ,-1),1,0);
> PlotColor = IIf(BuyCond ,5,4);
> Plot(BuySellFlip2 ,"BuyCond-SellCond ",PlotColor ,
> styleHistogram|styleOwnScale|styleNoLabel);
> //==================================================================
==
> ==============================================
> //Indicator 2.No Prior Buy Condition Restriction for Sell signal
> // 3.Price Headley formulas simplified; generalized with additional
> PARAMS
> //Acceleration Bands-Price Headley-Formula Test
> 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);
> ConstBWR = Param("ConstBWR",4,1,10,0.5);
> PerMAPH= Param("PerMAPH",20,2,30,1);
> 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 ;
> C1 = Ref(C,-1); C2 = Ref(C,-2);
> UpperBand1 = Ref(UpperBand,-1); UpperBand2 = Ref(UpperBand,-2);
> UpperBandDiff = C - UpperBand; UpperBandDiff1 = C1 - UpperBand1;
> UpperBandDiff2 = C2 - UpperBand2;
> BuyCond = IIf(C>UpperBand AND C1>UpperBand1 AND
C2<UpperBand2,1,0);
> Sellcond = IIf(C1>UpperBand1 AND C<UpperBand,2,0);
> Title = EncodeColor(1) +"Price Headley Formula Test - No Prior Buy
> Condition Restriction" +"\n C2 = " + WriteVal(C2,2.2)
+";
> C1 = " + WriteVal(C1,2.2) +"; C = " + WriteVal(C,2.2) + "; "
> +"\nPH - UB2 = " + WriteVal(UpperBand2 ,2.2) +"; UB1 = " +
> WriteVal(UpperBand1 ,2.2) +"; UB = " + WriteVal(Graph3 ,2.2) +";"
> +"\nDist Above UpperBand; \nUBDiff2 = " + WriteVal
(UpperBandDiff2 ,2.
> 2) +"; UBDiff1 = " + WriteVal(UpperBandDiff1 ,2.2) +"; UBDiff = " +
> WriteVal(UpperBandDiff ,2.2) +";";
> Plot
(BuyCond ,"BuyCond ",5,styleHistogram|styleOwnScale|styleNoLabel);
> Plot(SellCond ,"SellCond ",4,
> styleHistogram|styleOwnScale|styleNoLabel);
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx>
wrote:
> > 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@xxxx>
> > 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
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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