|
PureBytes Links
Trading Reference Links
|
Bill....thank you for your work on this! Excellent!
Actually, I am using these envelopes on closing prices
only....Combining the methodologies of Elder (as mentioned in this
thread) and from Gerald Appel, who has a chapter in his new book on
using moving average channels.
Here is a link to Appel's new book, FWIW...
http://www.amazon.com/exec/obidos/tg/detail/-
/0131479024/ref=ase_tailwindinves-20/103-9560179-4376606?
v=glance&s=books
--- In amibroker@xxxxxxxxxxxxxxx, bilbod <bilbod@xxxx> wrote:
> BB usually use 2 SD (nothing magic about that) which contain 95%
of
> prices.You can use fractional SD's to contain whatever % you want.
>From
> reading this thread, It seems you want to contain 85% of price
bars, not
> prices. You cannot do that with simple % above and below bands
unless
> you make the % so large that the envelope is useless.
>
> Initially I thought it would be very difficult but you can do
something
> with MA's that looks similar to BB.
>
> It took me quite some time to figure it out because I am not very
good
> with the AFL but in hindsight, it turned out to be simpler than I
> thought it would be.
>
> The formula is below.
>
> Caveat: There are degenerate cases that won't converge to within
the 2%
> criteria that I used. I use a 'binary search' algorithm so it
usually
> converges within 5 iterations of the loop. You can set up a loop
counter
> and terminate the loop after 8 iterations to avoid problems with
the
> degenerate cases. That will get you to within .5% of the high-low
range
> to the optimum solution.
>
> Observations: You can reduce both the ExternalBarPct and the
ConvergePct
> to get a better envelop fit. Also, if you shift the Middle MA back
1/2
> its period (always use an odd number for the period and shift it
back
> (period + 1)/2) before doing the calculations, the envelope width
will
> be much narrower and track the price extremes more closely.
>
> Bill
>
> ---
> LookBkPd = 100 ;
> AvgPd = 21 ;
> ExternalBarPct = 15 ;
> ConvergePct = 2 ;
> Middle = MA( C,AvgPd ) ;
> Rng = HHV( H,LookBkPd ) - LLV( L,LookBkPd ) ;
>
> X = Rng ;
> deltaX = X/2 ;
> do
> {
> Over = H > Middle + X ;
> Under = L < Middle - X ;
> OuterPct = 100*( Sum( Over, LookBkPd ) + Sum( Under, LookBkPd )
> )/LookBkPd ;
> OP = LastValue(OuterPct) ;
> X=X+sign( OP - ExternalBarPct )*deltaX ;
> deltaX = deltaX/2 ;
> }while ( abs( OP - ExternalBarPct ) > ConvergePct ) ;
>
>
> Plot( Middle, "MA", colorRed, styleLine|styleNoTitle ) ;
> Plot( Middle+X, "MA", colorBlue, styleLine|styleNoTitle ) ;
> Plot( Middle-X, "MA", colorBlue, styleLine|styleNoTitle ) ;
> ---
>
> niceguyeddy5 wrote:
>
> > Bill....correct me if I'm wrong....I was just hoping for "percent
> > above and below" bands that work in conjuction with the moving
> > average....as opposed to standard deviation bands.
> >
> > b/r,
> > ed s.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, bilbod <bilbod@xxxx> wrote:
> > > That's what Bollinger Bands are for.
> > >
> > > Bill
> > >
> > > niceguyeddy5 wrote:
> > >
> > > > Hello.....
> > > >
> > > > Is there an indicator out there that can automatically
adjust the
> > > > width of moving average channels to fit a givnen amount of
data?
> > > >
> > > > That is.....the moving average channels are great....but it's
> > kind of
> > > > a pain to use trial and error to re adjust them to contain,
say,
> > 85%
> > > > of the data for each new chart I load...
> > > >
> > > > Thanks...
> > > >
> > > > Ed S.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Please note that this group is for discussion between users
only.
> > > >
> > > > To get support from AmiBroker please send an e-mail directly
to
> > > > SUPPORT {at} amibroker.com
> > > >
> > > > For other support material please check also:
> > > > http://www.amibroker.com/support.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
> > > > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
> > subject=Unsubscribe>
> > > >
> > > > * Your use of Yahoo! Groups is subject to the Yahoo!
Terms of
> > > > Service <http://docs.yahoo.com/info/terms/>.
> > > >
> > > >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.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
> > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>
> >
> > * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service <http://docs.yahoo.com/info/terms/>.
> >
> >
------------------------ Yahoo! Groups Sponsor --------------------~-->
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.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/
|