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Bollinger on Bollinger Bands
-----Original Message-----
From: Lionel Issen [mailto:lissen@xxxxxxxxxxxxx]
Sent: Saturday, July 10, 2004 10:40 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] Bollinger Squeeze Code - improvable?
What book are you referring to for Method 1?
Lionel
-----Original Message-----
From: Philip Schmitz [mailto:pschmi02@xxxxxxxxxxx]
Sent: Friday, July 09, 2004 3:44 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Bollinger Squeeze Code - improvable?
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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