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It's close to normalized already, as the band width is divided by the MA. So
in the formulation I use for bandwidth
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;
BBMA:=Mov(Bandwidth,3,S);
Bandwidth;
BBMA;
LLV(Ref(Bandwidth,-1),P3);
One easy way is to do an exploration for the securities you're going to use
the indicator for and find the highest bandwidth value over a several year
period. Then use that as a scaling factor. That way you'll get no
compression of data at the extreme. Alternatively you could express the
bandwidth as a % of the highest bandwidth over the preceding X bars for the
specific security - then you just have to make sure you have enough data
loaded. In the end it depends on what you are using the indicator for.
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of Khamsina
Sent: Sunday, May 15, 2005 4:58 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Re: How to normalize Bollinger's
bandwidth
Hi Jose,
I do agree with your opinion. But unfortunately I have no workaround :-[
I you have a solution, do not hesitate !
Regards,
Marco
Jose Silva a écrit :
The basic premise of the Bollinger's bandwidth indicator is to
measure
volatility, but it doesn't do this too well.
Volatility as measured by this indicator not only appears late (as
with all lagging indicators), but actually increases after the
event.
Marco, plot your indicator on a chart with a big sudden price move
(say, 20~50%), and the problem becomes evident. Normalizing the
indicator will not fix it.
jose
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, Khamsina <Khamsina11@xxxx>
<mailto:Khamsina11@x...>
wrote:
Hi,
I would like to normalize (0-100 scale) Bollinger's bandwith
indicator but I just can't figure out how to do it :
Here is the bandwidth indicator :
(BBandTop(Typical(),20,S,2)-BBandBot(Typical(),20,S,2))/
Mov(Typical(),20,S)
Any help would be greatly appreciated,
Regards,
Marco
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