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Hello List,
below is what I believe is the Flexible Pivot with Upper and Lower band as described in the paper. Any improvements are more than
welcome.
<SNIP>
N:=Input("Lookback Period", 9, 220, 90);
M:=N; {Period used for Momentum Index}
SD:=1.5; {Number of Stdev's around FlexPivot}
MI:= CMO(C ,M ) / 100; { Momentum Index }
MA:= Mov(C, N, S); { Moving Average }
FlxP := If( MI > 0,
{ THEN }
MA + (MI * (HHV(C, M) - MA)),
{ ELSE }
MA + (MI * (MA - LLV(C, M)))
); { ENDIF }
LBand := FlxP - SD * Stdev(INDICATOR, N);
UBand := FlxP + SD * Stdev(INDICATOR, N);
UBand;
FlxP;
LBand;
</SNIP>
Andreas
---
Andreas Grau aka agrau@xxxxxxxxxxxxxxxxxxxx
I know you believe you understand what you think I said,
but I am not sure you realize that what you read is not
what I meant. -- Found in an English pub
> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Adam Hefner
> Gesendet am: Sonntag, 12. November 2000 15:22
> An: metastock@xxxxxxxxxxxxx
> Betreff: Re: boll01.html
>
> 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 >>
> >
> > _________________________________________________________________________
> > Get Your Private, Free E-mail from MSN Hotmail at http://www.hotmail.com.
> >
> > Share information about yourself, create your own public profile at
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> >
>
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