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Hot off the Equis Web Page:
Better Bollinger Bands - Dennis McNicholl, 1998 October Futures
Magazine
Tighter Bollinger Bands when markets are trending.
pds:=Input("Periods",2,200,20);
sd:=Input("Standard Deviations",.01,10,2);
alpha:=2/(pds+1);
mt:=alpha*C+(1-alpha)*(If(Cum(1)<pds,C,PREV));
ut:=alpha*mt+(1-alpha)*(If(Cum(1)<pds,C,PREV));
dt:=((2-alpha)*mt-ut)/(1-alpha);
mt2:=alpha*Abs(C-dt)+(1-alpha)*PREV;
ut2:=alpha*mt2+(1-alpha)*PREV;
dt2:=((2-alpha)*mt2-ut2)/(1-alpha);
but:=dt+sd*dt2;
blt:=dt-sd*dt2;
dt;
but;
blt
-= Chris ß =-
Using MetaStock 6.5 | FastTrack | FastRUBE | FastTools | TC2000
On Sun, 6 Dec 1998 21:20:41 -0600, you wrote:
>In the Oct issue of "Futures" there is an article written by Dennis
>McNicholl called "Better Bollinger Bands". In his article he
>describes how in a trending market the center band of the B.B.
>will shift away from the "mean" value of the price, and that the
>two outer bands will shift outward to such an extent that the
>envelope loses its utility as a volatility gauge (these are his
>words... not mine).
>
>As usual "Futures" only posted the TradeStation code, so this is
>my conversion from it. He called the Indicator "Denvelope", and
>it runs the bands much closer.....
>similar to "Standard Error Bands".
>
>{Denvelope, Better Bollinger Bands}
>Lb:=Input("Look-Back Period ?",3,100,20);
>De:=Input("Band Deviation ?",.5,3,2);
>Alp:=2/(Lb+1);
>Mt:=Alp*CLOSE+(1-Alp)*PREV;
>Ut:=Alp*Mt+(1-Alp)*PREV;
>Dt:=((2-Alp)*Mt-Ut)/(1-Alp);
>mt2:=Alp*Abs(C-Dt)+(1-Alp)*PREV;
>ut2:=Alp*mt2+(1-alp)*PREV;
>dt2:=((2-Alp)*mt2-ut2)/(1-Alp);
>But:=Dt+de*dt2;
>Blt:=Dt-de*dt2;
>But;
>Dt;
>Blt;
> Adam Hefner.
> e-mail: VonHef@xxxxxxxxxx
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