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J.,
Below is some of the information that describes the system:
Designing a Flexible-Parameter Bollinger Band System:
Since the pivot point and stop-setting process in the
flexible-parameter approach is based on the directionality of the market, we
begin by introducing an index of market momentum or directionality over the
past n periods as defined by Chande and Kroll (1994) and given below:
Total "Up" days - Total "Down" days
Momentum index = ----------------------------------
Total "Up" days + Total "Down" days
A higher close today as compared to yesterday results in an "Up"
day. Conversely, a lower close today as compared to yesterday results in a
"Down" day. The sum of all "Up" days ("Down" days) over the past n periods
gives us the total "Up" days ("Down" days) in the above formula. The
momentum index as defined above ranges anywhere from +1 (a perfect up trend,
as in case of data set 1) to -1 (a perfect down trend). A value close to
zero implies a lack of directionality in the market.
In an up-trending market, when the momentum index is positive, the
pivot point of the current trend ought to be higher than the moving average,
somewhere near the high end of the trading range (Ruggiero 1996; Ruggiero
1998). This will allow for a faster reversal from a buy to a sell, when the
up trend reverses. Accordingly, a flexible pivot point is defined as the n
period moving average of prices plus some fraction of the difference between
the n period highest price and the n period moving average. The fraction in
question is given by the current n period momentum of the market. Therefore,
the stronger the directionality of the up trend, the closer the pivot point
is to the highest high over the past n periods. The formula for the n period
flexible pivot in an up trending market, when the momentum is positive, is
as under:
Flexible pivot = Moving Average + Momentum * (Highest High - Moving
Average).
Should be able to recreate this......but I havn't taken the time to try
yet!
Adam Hefner
----- Original Message -----
From: j seed <jseed_10@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Sunday, November 12, 2000 7:16 AM
Subject: Re: boll01.html
> Adam,
> Any idea what the flexible system is?
>
> J.
>
>
> >From: "Adam Hefner" <vonhef@xxxxxxxxxxxx>
> >Reply-To: metastock@xxxxxxxxxxxxx
> >To: <metastock@xxxxxxxxxxxxx>
> >Subject: boll01.html
> >Date: Fri, 10 Nov 2000 07:41:30 -0600
> >
> >Here is a link to some research I found interesting.
> >
> > http://orion.neiu.edu/~agkanali/Research/boll01.html
> ><< boll01.html.url >>
>
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