[RT] Probability Cones and QQQ

[MikeSuesserott@xxxxxxxxxxx]

<SPAN 
class=936242109-24032003>Well done, Bob, 
and<FONT 
color=#000080> thanks for 
sharing!
<SPAN 
class=936242109-24032003> 
<SPAN 
class=936242109-24032003>Best regards,
<SPAN 
class=936242109-24032003> 
<SPAN 
class=936242109-24032003>Michael Suesserott
<SPAN 
class=936242109-24032003> 
<SPAN 
class=936242109-24032003> 
<SPAN 
class=936242109-24032003> <FONT face=Tahoma 
size=2>-----Ursprüngliche Nachricht-----Von: BobR 
[mailto:bobrabcd@xxxxxxxxxxxxx]Gesendet: Sunday, March 23, 2003 
18:34An: realtraders@xxxxxxxxxxxxxxxCc: 
MedianLine@xxxxxxxxxxxxxxxBetreff: Re: [RT] Probability Cones and 
QQQ
<BLOCKQUOTE 
>
  With Mike's and Clyde's thoughts in mind here is 
  some work I did on the TradeStation Probability Maps back in April 1999.  
  The objective was to modify the TS Normal Distribution Probability Map so that 
  a user could input a prospective implied volatility or he/she could use the 
  VIX when inserted in another data field, or IV from some other source either 
  EOD or realtime.  Attached is the resulting .els and a .gif and below is 
  the text of the modifications.  Constructive criticism is welcome.  
  Those of you experienced in such math may want to check the coding of the 
  VolatilitySDev line.  The original line is {braced out} and the new line 
  is below it.  Explanations for the inputs are in the header of the 
  text.  Insert the ProbMap as is done with anyother indicator.  It 
  will begin on the last bar of the chart.  Then to relocate it you go to 
  "Drawing" on the menu bar and select "Probability Map".  This activates a 
  new pointer which you then locate on the bar you want the Prob Map to begin 
  on.  By the way, the name probability cones was popularized by Don 
  Fishback and is also the name used in MetaStock "ODDS Probability 
  Cones".  Parabola is mathmatically correct per Mike.
   
  enjoy,
  BobR
   
  <FONT face=Arial 
  size=2>{*******************************************************************Description : 
  Probability Map shows expected Normal Distribution of Prices based on implied 
  volatilityProvided By : Omega Research, Inc. (c) Copyright 1999 
  Modified by Bob Roeske April 16, 1999 <A 
  href="">http://www.oextrader.com/sigma_trader 
  email bobrabcd@xxxxxxxxxxxxx 
  and <A 
  href="">bobr@xxxxxxxxxxxxxxxx}
   
  {Input definitions:VolatilityLength in the 
  modified code is the ratio of look-a-head days divided by trading days(252) in 
  a year or all days(365) in a year.  For example use 
  VolatilityLength(30/252) for a 30 day lookahead using trading 
  days.
   
  SD(#)= number of standard deviations for top and 
  bottom of the ProbMapND.  SD(1) captures prices 68% of the 
  time.SD(2) captures prices 95% of the time. SD(3) captures prices 99.7 
  of the time.
   
  VIX(c of data2) is to provide an implied 
  volatility input from your datafeed or from a manual inputwhen doing "what 
  if" types of studies.  For example if you want to assume the market goes 
  into a nosediveand implied volatility rises to 50 then use VIX(50) instead 
  of VIX(c of data2).
   
  PriceRows(#) determines the number of horizontal 
  lines in the map.
  BarColumns(#) determines the number of price bars 
  used in the map.  Format Window Bars to Right to "see" into the 
  future.
  ********************************************************************}
   
  Inputs: VolatilityLength(30/252),SD(2),VIX(c of 
  data2), PriceRows(75), BarColumns(75);Variables: Count(0), PriceLevel(0), 
  RowHeight(0), MapTop(0), MapBottom(0), VolatilitySDev(0), Probability(0), 
  UseLog(True);
   
  {VolatilitySDev = 
  StdDevSAnnualized(ExtremePrice(2,UseLog),VolatilityLength);}VolatilitySDev 
  = SD*(0.01*VIX)*squareroot(volatilitylength);
   
  If CurrentBar>= 1 Then Begin
   
   MapTop = Close + (Close * 
  VolatilitySDev); MapBottom = Close - (Close * 
  VolatilitySDev); RowHeight = (MapTop - MapBottom) / 
  PriceRows; Count = 1;
   
  <FONT face=Arial 
  size=2> PM_SetLow(MapBottom); PM_SetHigh(MapTop); PM_SetRowHeight(RowHeight); PM_SetNumColumns(BarColumns);
   
   While Count <= BarColumns Begin  PriceLevel = 
  MapBottom;    While PriceLevel < MapTop 
  Begin     If PriceLevel < Close 
  Then    Probability = ProbBelow(PriceLevel, Close, 
  VolatilitySDev, Count) * 
  100   Else    Probability = 
  ProbAbove(PriceLevel, Close, VolatilitySDev, Count) * 
  100;   PM_SetCellValue(Count, PriceLevel, 
  Probability);   PriceLevel = PriceLevel + 
  RowHeight;  End;  Count = Count + 
  1; End;  End;
   
   






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