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----- Original Message -----
From: Bob Jagow <bjagow@xxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, June 15, 1999 12:03 PM
Subject: RE: Volatility bands on Osc's
> TR isn't based on the open, Walter.
> Did OT publish that? No wonder it makes such amazing calls :o)
>
> bjagow@xxxxxxx <mailto:bjagow@xxxxxxx>
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
> Sent: Tuesday, June 15, 1999 7:33 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Volatility bands on Osc's
>
>
> 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
> >
>
>
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