Re: Volatility bands on Osc's

["Walter Lake" <wlake@xxxxxxxxx>]

Adam, Lenny, Laurent, et all

Here's the code for the Omni Trader Volatility Breakout System. It has True
Range separated from the Average.

"... the following calculations are made to arrive at the Volatility Bands:

If
P = Periods used
Range = Breakout Percentage (that is, 150 = 150%)
Then
R1 = ABS(O today -C today)
R2 = ABS(O today - C yesterday)
TR = Greater of R1, R2 {True Range calculation)
AVGTR = Average of TR of P periods

To construct the Volatility Bands

VB high = C yesterday + (Range/100*AVGTR)  {high band}
VB low = C yesterday - (Range/100*AVGTR)  {low band}"

If periods = 4, then ATR over 4 periods is used as basis for volatility.
Range: a value of 150 means that today's Close must rise 150% today's ATR
above yesterday's Close for signal to be triggered

============

Interesting that the True Range Custom (see below) uses 3 RSI 14's,

Best regards

Walter


----- Original Message -----
From: Walter Lake <wlake@xxxxxxxxx>
To: Metastock bulletin board <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, June 15, 1999 7:13 AM
Subject: Volatility bands on Osc's


> Walter - Here is the ELA for the indicator: RSI & Vol Bands:
>
> {Hi Lenny ... Thanks for the code. The square brackets should probably be
> round brackets. The code uses square brackets for yesterday [1], the day
> before [2], etc.}
>
> Input: Coefdwn[2.1],Coefup[2.3];
>
> {Is there a range of coefficients given in her book? The
> CoefficientDown(2.1) and CoefficientUp(2.3) get inserted into the formulas
> below, just like in Metastock.}
>
>
Plot1[[Average[[RSI[Close,14]],6]]+[Coefup*[Average[TrueRangeCustom[[RSI[Clo
> se
> ,14]],[RSI[Close,14]],[RSI[Close14]]],15]]],"Plot1"];
>
> {The code separates True Range into 2 parts: first the True Range then the
> Average. Whereas in Metastock you only use ATR. What is the input for the
> average and the ATR? 6 and 15?}
>
>
Plot2[[Average[[RSI[Close,14]],6]]-[Coefdwn*[Average[TrueRangeCustom[[RSI[Cl
> os
> e,14]],[RSI[Close,14]],[RSI[Close,14]]],15]]],"Plot2"];
>
> {As Adam suggested, the ATR will probably be calculated on the price and
> then applied to the RSI indicator}
>
> Plot3[[RSI[Close,14]],"Plot3"];
>
> {Dump all the rest for the time being}
>
> If CheckAlert Then Begin
>   If Plot1 Crosses Above Plot2 or Plot1 Crosses Below Plot2
> or Plot1 Crosses Above Plot3 or Plot1 Crosses Below Plot3
> or Plot2 Crosses Above Plot3 or Plot2 Crosses Below Plot3
>   Then Alert = True;
> End;
>
> I hope I transposed this correctly - Lenny
>