Re: [EquisMetaStock Group] Bollinger Squeeze Code - improvable?

[Philip Schmitz <pschmi02@xxxxxxxxxxx>]

Thanks very much, Andrew. Your code is something I've long wanted to 
investigate. Can you tell me what changes would be necessary to use it as a 
"filter" in an exploration? For the moment, I'd be interested in the code 
for long entries.

Philip

>Attached is my code for the Bollinger Squeeze methodology (Method 1 in the
>book). Entry on first band breakout after 6 month bandwidth low, exit on
>opposite band tag, based on adjusted typical price (i.e. (O+H+L+C)/4, which
>Bollinger seems to favor). It seems to work, and no PREV functions to slow
>it down. It includes many borrowings from Roy and Jose, but it's
>shortcomings are mine, not theirs!  Does anyone have any suggestions as to
>how to improve it? If anyone bought the add-in, I'd be interested in hearing
>how it stacks up.
>
>Andrew
>
>----------------------------------------------------------------------------
>-----------------------------------------------
>
>{Bollinger Method I.  Entry and exit on band breakout  following bandwidth
>squeeze, no stops. Using adjusted  typical price. Thanks to Roy and Jose for
>several key details}
>
>
>P1:=Input("No of bars:",1,200,20);
>P2:=Input("STD multiple",0.5,6,2);
>P3:=Input("Lookback bars",2,300,120);
>
>TypPrice:=(O+H+L+C)/4;
>MA:=Mov(TypPrice,P1,S);
>BBTop:=MA+P2*( Stdev(TypPrice, P1));
>BBBottom:=MA-P2*( Stdev(TypPrice, P1)) ;
>Bandwidth:=(BBTop - BBBottom)/MA;
>
>Bpct:=(TypPrice - BBBottom)/(BBTop-BBBottom);
>WidthLow:=LLV(Ref(Bandwidth,-1),P3);
>
>NewLo:= cross(WidthLow,Bandwidth);
>LoBpct:= cross(0,Bpct);
>HiBpct:= cross(Bpct,1);
>Init:=Cum(LoBpct+HiBpct+NewLo>-1)=1;
>
>TriggerL:=BarsSince(Init OR NewLo)
><BarsSince(Init OR LoBpct)+(Cum(LoBpct)=1);
>
>EL:= IF(TriggerL,HiBpct,0);
>
>long:= BarsSince(Init OR EL)
>< BarsSince(Init OR LoBpct)
>+(Cum(LoBpct)=1);
>
>TriggerS:=BarsSince(Init OR NewLo)
><BarsSince(Init OR HiBpct)+(Cum(HiBpct)=1);
>
>ES:= IF(TriggerS,LoBpct,0);
>
>short:=BarsSince(Init OR ES)
><BarsSince(Init OR HiBpct)
>+(Cum(HiBpct)=1);
>
>long - short
>
>
>
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>[]
>
>
>
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