|
PureBytes Links
Trading Reference Links
|
Bollinger Bands use the standard deviation of a series of Closing prices, essentially measuring
the scatter of the closing prices with respect to a best fit straight line. This system takes the
standard deviation of the difference of the close from a moving average, i.e. measuring the
scatter of the closes with respect to a moving/adjusting line.
So it is similar. I would think that as your periods get longer and longer, the moving average
looks more like a straight line, although the magnitudes of the resulting std dev would be much
higher.
One nice feature of this system is that there are no absolute measures, like Sigma>50 or some
fixed factor. The trading is adaptive to each market's individual and recent volatility. Some
markets may not be volatile enough to be worth trading with this after commissions and slippage,
but clearly the system is designed to be robust and adaptive.
So both systems measure volatility, but in a slightly different way. Is one way better than
another? As we code this in Metastock, perhaps someone can test it and compare it with the
Bollinger Band system that you reference.
--- Lionel Issen <lissen@xxxxxxxxxxxxxx> wrote:
> Is this analogous to a Bollinger Band volatility breakout?
> Lionel Issen
> lissen@xxxxxxxxxxxxxx
=====
Dave Nadeau
Fort Collins, CO
__________________________________________________
Do You Yahoo!?
Get email alerts & NEW webcam video instant messaging with Yahoo! Messenger
http://im.yahoo.com
|