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Lionel,
The type of distribution shape ain't the reason why Maas laws are completely
flawed. He's assuming first +/- 2 std is catching 100 % of the data, ie a
first rule which is just plain wrong (and should enlighten this list once
more Mr Maas is just a pretentious ignorant, kind of Staline science). He's
then assuming that since +/- 2 std is catching 100 %, then +/- 1.8 std is
catching 90 %, ie a second rule which is again junk science. Not bad for a
guy pretending TA is a science and not an art.
Now about TA.
That the prices are not exactly normally distributed is a fact all TA
authors know since decades. John Bollinger also knew when he did introduce
his bands... but, the normal hypothesis is shared by the vast majority of TA
litterature (books, web sites, software docs) when population statistics
(percentage of price data within bands) are being associated with count of
standard deviations (std).
So, there are no many ways to answer the question of %-age vs std count for
Bollinger bands. Either you stick to the "convention" and 90 % of the data
is +/- 1.645 std, the same +/- 2 std is 95 % of the data. Or you begin
discussing again the real price distribution shape, and have to propose that
there ain't in fact any agreed single law to deduce %-age from std count (or
reversely). I took the option of providing a simple answer, based on a
generally agreed and tacite hypothesis in the TA language.
Another realty is John Bollinger's bands are volatility bands, and his
entry/exit rules are in the same way based on volatility. What he says is
that he found out standard deviation is the most suitable volatility
measure. He could have used another one... and we would not speak today
about %-ages figures he never (NEVER) considered himself [a fortiori use].
The only he says about std count is it should adjusted based on the number
of periods considered in the Bollinger bands (+/- 1.5 if 10, +/- 2 id 20,
+/- 2.5 if 50 -- exact numbers to be confirmed).
As it happens so often, one person introduced a concept... and the universe
added different interpretations and/or uses. Some people are always looking
for improvements... other just want to have something different to say.
Greetings. Alain.
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, October 28, 2000 4:43 PM
Subject: Re: Simple question on Bollinger Bands
> Maas:
> Since the distribution of stock prices is log-normal, your entire
discussion
> of standard deviations is flawed. Refer to Peter's book "Chaos and Order
in
> the Financial Markets..." for documentation of this.
> Lionel Issen
> lissen@xxxxxxxxx
> ----- Original Message -----
> From: "A.J. Maas" <anthmaas@xxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Saturday, October 28, 2000 9:58 AM
> Subject: Re: Simple question on Bollinger Bands
>
>
> > Are we here discussing the Kaufman's definition for his method in
> calculating
> > an everyday very common Standard Deviation value?
> > Or anyone else's sd-calc methods?
> > ----------------------------------
> > Nope.
> > We are discussing here the use of the Bollinger Bands (which bands
already
> > include the MSK Standard Deviation function in their formulas), that
will
> have
> > to catch 90% of the Price, eg A.Torchio's original question:
> > "Could anyone tell me the number of standard deviations
allowing
> to
> > contain within the bands 90% of price data?"
> >
> > Find the answer using MSK and Bartjens:
> >
> > In MSK click "Help"|"Index"|"Bollinger bands:sample custom indicator:"
> > for the bands-formula that catches 100% of the Price.
> > Like said, the BBands already include StDev, thus no need to add more or
> > alter its function. What needs adjusting -lowering- is the times that
the
> function
> > needs to be multiplied to have the bands come down to catch 90% instead
> > of the 100% it does at the moment. So, yet again unraffled:
> >
> > The CF Bollinger Bands
> > -uses 2 times the StDev function for Upper band
> > -uses 2 times the StDev function for Lower band
> > ------------
> > -totals 4 times the StDev function
> > (for the bandwidth "to contain 100% of price data")
> >
> > Then in a CF to catch 90% of the Price is using this as follows:
> >
> > -uses 1.8 times the StDev function for Upper band
> > -uses 1.8 times the StDev function for Lower band
> > ------------
> > -totals 3.6 times the StDev function
> > (for the bandwidth now "to contain 90% of price data")
> >
> > and where the "3.6" then also equals to 90% of the original "4 devs"
> ((4/100)*90).
> > ---------------------------------------------------------
> >
> > Whatever Kaufman then wants to use in and for his method {haven't
checked
> it}
> > is -like your silly+stupid remarks- unimportant and irrelevant here.
> >
> > You can however check Kaufmans calculations by using Bartjens, but note
> that
> > on the contrairy, Bartjens doesn't need a Kaufman to be right or to be
> spot on, eg
> > Batjens Law is always right.
> >
> > Like said, it's that is simple, but can be oh so difficult to understand
> for 8th grades
> > or a belg.
> >
> > Regards,
> > Ton Maas
> > ms-irb@xxxxxxxxxxxxxxxx
> > Dismiss the ".nospam" bit (including the dot) when replying.
> > Homepage http://home.planet.nl/~anthmaas
> >
> >
> > ----- Oorspronkelijk bericht -----
> > Van: "Jossart Alain" <Alain.Jossart@xxxxxxxxx>
> > Aan: <metastock@xxxxxxxxxxxxx>
> > Verzonden: zaterdag 28 oktober 2000 8:57
> > Onderwerp: Re: Simple question on Bollinger Bands
> >
> >
> > >
> > > " Trading Systems and Methods " - P. Kaufman, iow the reference in TA
> and
> > > trading systems
> > >
> > > I provided the answer to a question you have not even understood yet.
Is
> > > Bartjens free gift too ? [Kaufman ain't]
> > >
> > > ----- Original Message -----
> > > From: "A.J. Maas"
> > > To: "Metastock-List" <metastock@xxxxxxxxxxxxx>
> > > Sent: Saturday, October 28, 2000 5:38 AM
> > > Subject: Re: Simple question on Bollinger Bands
> > >
> > >
> > > > Obviously has to be a belg............Bartjens goes beyond 8th
grades.
> > > >
> > > > The formulas delivered in below mail ARE FOR USE IN METASTOCK !!
> > > > Not in a chatbox.
> > > >
> > > > They are available to you, if you also do have a copy of MetaStocK,
> > > > which I strongly doubt you have.
> > > > =============
> > > >
> > > > For other List members that are -now- truely concerned :
> > > > They make use of the program's StDev(DataArray,Periods) function,
that
> > > > you can find in the MSK7x-manual p.264.
> > > > See my other mail send tonight for more detailed info.
> > > >
> > > > And for the Jossarts, Jagows, Stevensons, Manascos and other here
not
> > > named
> > > > brown marks among us, think twice before writing + posting
> > > crap..................go by
> > > > the facts, else you just don't stand the chance!!!
> > > > Quality and prime trading + money earning stuff is what we're after
> here.
> > > Offensive,
> > > > even disgrading words, cannot and will not effect me, since you'll
get
> > > easy tackled
> > > > on your silly writings and sending in your own nonsense.
> > > >
> > > > Regards,
> > > > Ton Maas
> > > > ms-irb@xxxxxxxxxxxxxxxx
> > > > Dismiss the ".nospam" bit (including the dot) when replying.
> > > > Homepage http://home.planet.nl/~anthmaas
> > > >
> > > >
> > > > ----- Oorspronkelijk bericht -----
> > > > Van: "Jossart Alain" <Alain.Jossart@xxxxxxxxx>
> > > > Aan: <metastock@xxxxxxxxxxxxx>
> > > > Verzonden: vrijdag 27 oktober 2000 13:50
> > > > Onderwerp: Re: Simple question on Bollinger Bands
> > > >
> > > >
> > > > > Probability distribution tables :
> > > > > - +/- 1 std = .3413 x 2 = .6826 = 68.3 %
> > > > > - +/- 1.8 std = .4641 x 2 = .9282 = 92.3 %
> > > > > - +/- 2 std = .4772 x 2 = .9544 = 95.4 %
> > > > > - +/- 3 std = .4987 x 2 = .9974 = 99.7 %
> > > > >
> > > > > and...
> > > > >
> > > > > - 1.64 std = .4495 x 2 = .8990 = 89.9 % of the data
> > > > > or
> > > > > - 1.65 std = .4505 x 2 = .9010 = 90.1 % of the data
> > > > >
> > > > > So the answer to Alberto Torchio's question is : Bollinger (95%)
is
> +/-
> > > 2
> > > > > std, while 90 % is +/- 1.64... std
> > > > >
> > > > > What did you say ? en dus en dan, aah ja, zeker en vast...
> > > > >
> > > > > ----- Original Message -----
> > > > > From: "A.J. Maas"
> > > > > To: "Metastock-List" <metastock@xxxxxxxxxxxxx>
> > > > > Sent: Friday, October 27, 2000 4:11 AM
> > > > > 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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