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Alvin,
See if this helps.
>From the built in help files:
Bollinger Bands use the stdev() function to calculate the upper and
lower bands. The middle band is a 20-period simple moving average.
Periods:=input("Enter the number of periods: ",5,50,20); mov(C,
Periods, S); mov( C, Periods, S ) + ( 2 * stdev( C, Periods )); mov(
C, Periods, S ) - ( 2 * stdev( C, Periods ))
SYNTAX bbandbot( DATA ARRAY, PERIODS, METHOD, DEVIATIONS )
FUNCTION Calculates the bottom Bollinger Band of DATA ARRAY
using METHOD calculation method and shifted downward DEVIATION
standard deviations. Valid methods are SIMPLE, EXPONENTIAL,
WEIGHTED, TIMESERIES, TRIANGULAR, and VARIABLE (these can be
abbreviated as S, E, W, T, TRI, and VAR).
EXAMPLE bbandbot( close, 10, S, 2 )
For the top band we would use:
bbandtop( close, 10, S, 2 )
On January 14th, Patrick Butler offered this formula:
x:=Input("number of periods for RSI",1,2000,14);
k1:=Input("standard deviation constant",0.1,5,1.8);
c1:=Input("SMA constant",0.1,5,2);
m1:=Input("method <1=SD/2=SMA>",1,2,1);
top:=If(m1=1,
50+(k1*Stdev(RSI(x),x)),
50+(c1*Mov(Abs(RSI(x)-Mov(RSI(x),x,S)),x,S)));
bottom:=If(m1=1,
50-(k1*Stdev(RSI(x),x)),
50-(c1*Mov(Abs(RSI(x)-Mov(RSI(x),x,S)),x,S)));
RSI(x);
top;
bottom;
Patrick also mentions that it may possibly be the formula! It is
indeed very close to the formula that we need.
Compare the equis top band to that of the formula given by Patrick:
mov( C, Periods, S ) + ( 2 * stdev( C, Periods ));
50+(k1*Stdev(RSI(x),x))
So what does the Active Trader Magazine article have to say?
Here is the link again:
http://store.activetradermag.com/futures_tsl1105.pdf
System concept: The Relative Strength Index (RSI) is a momentum
indicator
that oscillates between zero and 100, where values above a certain
level
(default 70) indicate overbought situations and values below 30
indicate the
opposite. The indicator's default lookback period is 14. (See "Key
Concepts
and Definitions," p. 81, for more information on the RSI.)
Typically, the indicator's overbought and oversold levels are fixed.
Standard
RSI systems usually issue buy signals when the RSI exits the oversold
area
(i.e., crosses above 30) and give sell signals as soon as the RSI
leaves the overbought
area (i.e., drops below 70). This system experiments with
changing the overbought/oversold levels depending on market
conditions.
For example, during low-volatility periods it is usually better to
set the boundaries at,
say, 60 and 40, because the indicator is less likely to fluctuate
extremely higher or lower during such periods. Conversely, very
volatile periods might require levels of 80 and 20 to avoid
generating too many false signals.
This system changes the RSI's oversold/overbought boundaries
dynamically. (As the testing will
illustrate, doing this converts a losing system into a profitable
one.) To accomplish this, the system applies
Bollinger Bands (see "Key Concepts and Definitions," p. 81) to the
RSI itself. As a result, instead of using
fixed overbought and oversold levels, these readings are defined by
the dynamic Bollinger Band calculation
? as the bands change according to the RSI's volatility, so do the
overbought/oversold levels
.
Rules:
1. Go long next day at market if the 14-day RSI
crosses above the lower Bollinger Band, using a
100-day simple moving average and two
standard deviations for the Bollinger Band
parameters.
2. Exit long next day and go short at market if the
14-day RSI crosses below its upper Bollinger
Band.
3. Place a stop-loss four times the 10-day average
true range (ATR) from the entry price.
Figure 1, which shows trades in the S&P 500 E-Mini
futures (ES), illustrates how the RSI bands adapt to changing
volatility. In August 2003, the lower band was at 44 and the higher
band was at 74. On Aug. 8 the RSI crossed above its lower
band, issuing a buy signal; a standard RSI system with a fixed
oversold level of 30 or 40 would not have caught this trade
opportunity. The system stayed in this trade until Jan. 12, when
the RSI crossed below the upper band and the system went
short.
It exited when a second crossover above the lower band occurred on
March 18.
Putting everything we have learned together we come up with the
following formula:
{Adaptive RSI System with an idea
Taken from the November 2005 Active Trader article}
x:=Input("number of periods for RSI",1,2000,14);
sd1:=Input("standard deviation constant",0.1,5,2);
bs1:=Input("Bollinger Band Smoothing",1,200,100);
bbandtop( RSI(X), bs1, S, sd1 );
bbandbot( RSI(X), bs1, S, sd1 );
RSI(x); {end}
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, Alvin Yu <alvinyu2005@xxx>
wrote:
>
> Hi sugiharto
> Â Â Â Thks.I got the formula working but it is not similar to that
shown in the article in :
> Â Â Â Â Â Â Â Â Â Â Â http://store. activetradermag.
com/futures_ tsl1105.pdf
> . According to the artcle, the bollinger band is using 100 Simple
Moving Average and STD deviation 2, Can u adv where I have to change
further  ?
>
> hks for your help.
>
> rgds
> Â Â Â Â Â Â Â
>
>
>
> ________________________________
> From: Sugiharto Setyabudi <sugiharto.wu@xxx>
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Friday, 30 January 2009 10:42:33
> Subject: Re: [EquisMetaStock Group] Adaptive RSI
>
>
> I tried the code, and the only error are spaces between 0. and 1 on
the inputs
> try this (no change to the code, just omitting the spaces):
> x:=Input("number of periods for RSI",1,2000, 14);
> k1:=Input("standard deviation constant",0. 1,5,1.8);
> c1:=Input("SMA constant",0. 1,5,2);
> m1:=Input("method <1=SD/2=SMA> ",1,2,1);
> top:=If(m1=1,
> 50+(k1*Stdev( RSI(x),x) ),
> 50+(c1*Mov(Abs( RSI(x)-Mov( RSI(x),x, S)),x,S)) );
> bottom:=If(m1= 1,
> 50-(k1*Stdev( RSI(x),x) ),
> 50-(c1*Mov(Abs( RSI(x)-Mov( RSI(x),x, S)),x,S)) );
> RSI(x);
> top;
> bottom
>
> Sugiharto
>
> On Thu, Jan 29, 2009 at 8:45 PM, Alvin Yu <alvinyu2005@ yahoo.com.
sg> wrote:
> > Hi Patrick
> > When I load them to " indicator builder" , it returns few errors .
> > Can u adv ?
> > rgds
> >
> > ____________ _________ _________ __
> > From: Patrick Butler <pat494@xxxxxx net>
> > To: equismetastock@ yahoogroups. com
> > Sent: Wednesday, 14 January 2009 6:09:48
> > Subject: Re: [EquisMetaStock Group] Re: New formula required
Please
> >
> > 
> >
> > Hi,
> > This may be the formula details you are looking for
> >
> > x:=Input("number of periods for RSI",1,2000, 14);
> > k1:=Input("standard deviation constant",0. 1,5,1..8);
> > c1:=Input("SMA constant",0. 1,5,2);
> > m1:=Input("method <1=SD/2=SMA> ",1,2,1);
> > top:=If(m1=1,
> > 50+(k1*Stdev( RSI(x),x) ),
> > 50+(c1*Mov(Abs( RSI(x)-Mov( RSI(x),x, S)),x,S)) );
> > bottom:=If(m1= 1,
> > 50-(k1*Stdev( RSI(x),x) ),
> > 50-(c1*Mov(Abs( RSI(x)-Mov( RSI(x),x, S)),x,S)) );
> > RSI(x);
> > top;
> > bottom
> >
> > regards Pat
> >
> > ----- Original Message -----
> > From: Alvin Yu
> > To: equismetastock@ yahoogroups. com
> > Sent: Sunday, January 11, 2009 2:28 PM
> > Subject: Re: [EquisMetaStock Group] Re: New formula required
Please
> >
> > Hi Ross
> > Any formula that is available for this adaptive RSI system ? It
look
> > interesting to me
> >
> > rgds
> >
> > ____________ _________ _________ __
> > From: jawjahtek <jawjahtek@xxxxxx com>
> > To: equismetastock@ yahoogroups. com
> > Sent: Sunday, 11 January 2009 9:41:08
> > Subject: [EquisMetaStock Group] Re: New formula required Please
> >
> > Here is a link to an article that makes an RSI trading system
adaptable
> > to market conditions:
> >
> > Free article download: Adaptive RSI system
> >
> > Through Wednesday, January 21, you can download the following
article
> > from the November 2005 issue of Active Trader magazine for
> > free: "Trading System Lab: Adaptive RSI system (futures)." This
system
> > uses Bollinger Bands to create dynamic overbought and oversold
levels
> > for the Relative Strength Index. The strategy is tested on a
portfolio
> > of 20 futures contracts over a 10-year period. Click here to go
to the
> > article link in the Active Trader store:
> > http://store. activetradermag. com/futures_ tsl1105.pdf
> >
> > Ross
> >
> > --- In equismetastock@ yahoogroups. com, Claud Baruch <claudba@ >
wrote:
> >>
> >> Many thanks. The links don't work, but I've been using a
variation of
> > this
> >> indicator which has produced some rather good results. It is
> > especially
> >> useful for volatile stocks and indexes....AND. .....there really
isn't
> > much
> >> of a lag the way I use it.
> >> Thanks again Preston.
> >>
> >> Claud
> >>
> >
> >
> > ____________ _________ _________ __
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> > Get the Email name you've always wanted on the new @ymail and
@rocketmail.
> > Hurry before someone else does!
> >
> > ____________ _________ _________ __
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>
>
>
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>
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