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The Law According to Bartjens:
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Bollinger Bands (tightend to 90%) - John Bollinger
{First, catching the BB's 100% of Price movement :}
UpperBand:= Mov( C,20,S ) + 1*( 2 * ( Std( C,20 ) ) );
MiddleBand:=Mov( C,20,S );
LowerBand:= Mov( C,20,S ) - 1*( 2 * ( Std( C,20 ) ) );
BandsWidth:= UpperBand - LowerBand;
{Second, now for catching 90% of Price movement}
BB100:= 1*BandsWidth;
BB90:= 0.9*BandsWidth;
{broken up, this then is equal to :}
sUpperBand:= mov( C,20,S ) + 0.9*( 2 * ( std( C,20 ) ) );
sMiddleBand:=mov( C,20,S );
sLowerBand:= mov( C,20,S ) - 0.9*( 2 * ( std( C,20 ) ) );
sBandsWidth:= sUpperBand - sLowerBand;
sUpperBand;
sMiddleBand;
sLowerBand;
sBandsWidth;
{Third, now to proove all is right, plot the BandsWidth's BB100%}
BB100;
{and plot the BB90%}
BB90;
{and plot the final difference outcome in $}
BB100-BB90;
{and plot the final difference outcome in %}
(BB100-BB90)/(BB100*0.01)
-------------------------------------------
Just Copy+Paste into the Indicator Builder, and plot Bartjens Law.
Then:
- hold the mouse pointer onto one of the plotted lines, and peek in
the small Tool Tips' Price window
or
- click the actual Data Window button.
The formula's to create the 90% Upper and Lower Bbands are then also
printed above, using the 0.9 factor.
Note: That the sBandsWidth is plotted over the BB90 !!!!!.
>From the above sound method, the 1.8 factor mentioned in the previous mail
and below formula for the MSK stdev function use is thus {naturaly} correct.
90%{2*0.9}=1.8*stdev(da,pds)
Can't beat Bartjens !!!!.
Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
Homepage http://home.planet.nl/~anthmaas
----- Oorspronkelijk bericht -----
Van: "michael"
Aan: <metastock@xxxxxxxxxxxxx>
Verzonden: vrijdag 27 oktober 2000 15:22
Onderwerp: RE: Simple question on Bollinger Bands
> I don't know how come there are so many opinions on this. 1.28155 is the
> standard deviation equivilant of 90%. If you plotted a 1.28155 standard
> deviation line above prices on a chart, 90% of the prices should
> theoretically fall below that line. If the market follows the bell curve
> then this would be true.
>
> Since you are probably using a lower standard deviation line also, the
> bottom line says that 90% of all values will be above the lower line. That
> leaves two 10% tails. So in fact 80% of the values should occur in between
> the 2 lines.
>
> If you want to know the standard deviation that is equivilant to 90%, I
> gaurantee it is 1.281.
>
> If you want the area between the 2 lines to equal 90% then you need the
> standard deviation that correlates with 95%. This will leave 5% tails on
> the normal distribution curve. The standard deviation that correlates to
> 95% probability is 1.645.
>
> Michael
>
>
>
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of A.J. Maas
> Sent: Thursday, October 26, 2000 10:12 PM
> To: Metastock-List
> Subject: Re: Simple question on Bollinger Bands
>
>
> The mean=middle=0
> and
> 100%=da width difference between "+1 stdev"{+100%} and "-1 stdev"{-100%}
> thus
> 100%{2*1}=2*stdev(da,pds) {width is then mean + 1*stdev up +1*stdev down}
> and
> 50%{2*0.5}=1*stdev(da,pds)
> then
> 90%{2*0.9}=1.8*stdev(da,pds)
>
> Regards,
> Ton Maas
> ms-irb@xxxxxxxxxxxxxxxx
> Dismiss the ".nospam" bit (including the dot) when replying.
> Homepage http://home.planet.nl/~anthmaas
>
>
> ----- Oorspronkelijk bericht -----
> Van: "Lionel Issen"
> Aan: <metastock@xxxxxxxxxxxxx>
> Verzonden: dinsdag 24 oktober 2000 4:23
> Onderwerp: Re: Simple question on Bollinger Bands
>
>
> > I cant find my statistics book, but I think its close to 2 std dev.
> > Lionel Issen
> > lissen@xxxxxxxxx
> > ----- Original Message -----
> > From: "Alberto Torchio" <atorchio@xxxxxxxxx>
> > To: "Realtraders" <realtraders@xxxxxxxxxxx>
> > Sent: Monday, October 23, 2000 2:27 AM
> > Subject: Simple question on Bollinger Bands
> >
> >
> > > Dear Listmembers,
> > >
> > > I have been asked a simple question on Bollinger Bands and was unable to
> > > answer...
> > > Could anyone tell me the number of standard deviations allowing to
> contain
> > > within the bands 90% of price data?
> > >
> > > Alberto Torchio
> > > Torino, Italy
>
>
>
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