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Elder describes one use in Come Into My Trading
Room. He feels parallel bands are better for trading than
something
like Bollinger Bands that react to volatility. The
bands themselves generally represent exit points. He recommends using
trend indicators in longer time frame and
shorter term oscillators in combination to generate signals and trying to
buy/short near the EMA and
sell/cover near the appropriate band. He rates
trades on how much of the channel was
'taken out' in profit. 30% or more would be a very
good trade.
Elder doesn't advocate mechanical systems or tracking
large numbers of stocks. He recommends following a fairly
small number of stocks and getting to know how they behave
and using a lot of discretion along with the technical
analysis. His ideas probably wouldn't
backtest very well in Amibroker, but it is an interesting book and has
some
good ideas on money management and the need for
and use of stops.
Bob
----- Original Message -----
Sent: Tuesday, May 31, 2005 5:31 PM
Subject: Re: [amibroker] Re: Moving
Average Channels
Hi Marshall,
No, I dont have any special expertise with them
- there was a recent question asking if it was possible to draw the bands so
that 85% of the bars would be automatically included - I just thought it
might be interesting to try and write the code.
Steve
----- Original Message -----
Sent: Tuesday, May 31, 2005 5:37
PM
Subject: Re: [amibroker] Re: Moving
Average Channels
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Steve, A rhetorical question, but; Have you worked
with the bands long enough to have some comments on how
they should be worked and evaluated for best performance.
I have been trying it as an indicator with subtle results, even
a little confusion. Marshall
-------Original
Message-------
Date:
05/31/05 15:18:38
Subject: Re:
[amibroker] Re: Moving Average Channels
I sent it as an attachment. If you dont
receive these posts as e-mails, I
guess you wouldn't see it.
I have included it
below.
Steve
----------------------------------------------------------------
//
user defined params
Field = Avg;
MovAvgPds =
13;
LookbackPds = 63;
StepPct = 0.25; // increment
bands by this percent each step
WantInChan = 85; // want
85% of bars to be inside channel
// error handling for
stocks with very few bars
MovAvgPds = Min( MovAvgPds,
BarCount - 3 );
LookbackPds = Min( LookbackPds, BarCount
);
// optimization loop
StepAmt = LastValue( Field
) * StepPct / 100; // calculate % for each stock
MovAvg =
MA( Field, MovAvgPds );
UpperBand = LowerBand =
MovAvg;
KeepLooping = True;
for( Incr = StepAmt;
Incr < LastValue( Field ) AND KeepLooping; Incr = Incr
+
StepAmt )
{
UpperBand = MovAvg +
Incr;
LowerBand = MovAvg - Incr;
InChan = High
< UpperBand AND Low > LowerBand;
TotalInChan = Sum
(InChan, LookbackPds );
PctInChan = LastValue(
TotalInChan / Min( LookbackPds, BarsSince( IsEmpty(
MovAvg )
) ) * 100 ); // more error handling
if( PctInChan >=
WantInChan )
{
KeepLooping = False;
ChanPts
= UpperBand - MovAvg;
ChanPct = ChanPts / MovAvg *
100;
}
}
// plot indicator
Plot(
Close, "Close", colorBlack, styleCandle );
Plot( MovAvg,
"MA", colorWhite, styleLine|styleNoTitle );
Plot(
MovAvgPds, "MA Pd", colorDarkRed,
styleOwnScale|styleNoLine|styleNoLabel );
Plot(
LookbackPds, "LB Pd", colorDarkRed,
styleOwnScale|styleNoLine|styleNoLabel );
Plot(
TotalInChan, "Inside Bars", colorDarkRed,
styleOwnScale|styleNoLine|styleNoLabel );
Plot(
PctInChan, "% Inside Bars", colorDarkRed,
styleOwnScale|styleNoLine|styleNoLabel );
Plot(
UpperBand, "Upper Band", colorBlue, styleLine|styleNoTitle
);
Plot( LowerBand, "Lower Band", colorBlue,
styleLine|styleNoTitle );
Plot( ChanPts, "Chan $",
colorBlue,
styleOwnScale|styleNoLine|styleNoLabel
);
Plot( ChanPct, "Chan %", colorBlue,
styleOwnScale|styleNoLine|styleNoLabel );
-----
Original Message -----
From: "ckinsey2003"
<ckinsey2003@xxxxxxxxx>
To:
<amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, May 31, 2005
9:27 AM
Subject: Re: [amibroker] Re: Moving Average
Channels
> Steve, Thanks for fixing it but I don't
see the new code ?? <G>
>
> Ever
hopefull,
Jack
>
>
>
>
>
> Please note
that this group is for discussion between users
only.
>
> To get support from AmiBroker please send
an e-mail directly to
> SUPPORT {at}
amibroker.com
>
> For other support material please
check also:
> http://www.amibroker.com/support.html
>
>
>
Yahoo! Groups
Links
>
>
>
>
>
>
>
Please note that this group is for
discussion between users only.
To get support from
AmiBroker please send an e-mail directly to
SUPPORT {at}
amibroker.com
For other support material please check
also:
http://www.amibroker.com/support.html
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Please note that this
group is for discussion between users only.
To get support from
AmiBroker please send an e-mail directly to
SUPPORT {at}
amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Please
note that this group is for discussion between users only.
To get
support from AmiBroker please send an e-mail directly to
SUPPORT {at}
amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
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