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Steve, thanks for posting these formulas. I've set them up
already and they look very promising.
I have the 'Bollinger Band System' for Metstock and I find it
very good. It provides an exploration to identify a short list of securities
with which it works well historically, and an exploration to
find long/short conditions within that short list. Also accompanying
experts. My experience is that it does not identify a large number of signals,
but the ones it does identify are good ones. Well worth the purchase
price.
Regards,
Nick
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-----Original Message-----From:
Steve Karnish <<A
href="mailto:kernish@xxxxxxxxxxxx";>kernish@xxxxxxxxxxxx>To:
<A
href="mailto:Metastockusers@xxxxxxxxxxxxxxx";>Metastockusers@xxxxxxxxxxxxxxx
<<A
href="mailto:Metastockusers@xxxxxxxxxxxxxxx";>Metastockusers@xxxxxxxxxxxxxxx>;
metastock@xxxxxxxxxxxxx <<A
href="mailto:metastock@xxxxxxxxxxxxx";>metastock@xxxxxxxxxxxxx>Date:
Tuesday, 18 September, 2001 4:00Subject: Bollinger Band
Systems
List,
I really don't have the foggiest idea what the
"Bollinger Band System" is (whether provided by Bollinger or the Equis
add-on). The following discussion is an overview of how I have
manipulated the formula during the last few years. Since there seems to
be a growing interest in this area, I thought I might "spill" a few ideas, on
the forum, and see if any list-members can improve and contribute ideas
to this framework.
First, let me say: among all of the public,
"talking head", commentators, I consider John to be one of the good
guys. After attending graduate biz school, at an advanced age, I was
delighted that there was a practical application involving one of the few
things I learned while attending school: standard deviations.
Of course, we all know, I think, that those
crooked little lines that tend to bracket the price range are points on the
chart that represent (in John's formula) two standard deviations from the
mean. I like that concept, but I hate those crooked lines. As some
of you know, I've taken the information contained in the Bollinger formula and
changed it to allow the information to look a bit more logical (my subjective
opinion).
Instead of the crooked lines (the daily
adjustment representing the two standard deviations from the mean), I prefer
to convert the crooked lines into straight lines and chart the standard
deviations as parallel lines. In this restructured formula, the price is
plotted as a percentage of the distance between the chosen standard deviations
(see attachment "1").
The "new, improved" formula is:
<FONT face=Arial
size=2>((C+2*Std(C,20)-Mov(C,20,S))/(4*(Std(C,20)))*100)
I suggest adding horizontal lines at 0 (zero) and
100 (and now, a trader can compare and see that we are just representing the
information in a different "light").
Next, it's an easy step to implement a "system"
... for example:
{Enter Long positions when the indicator
closes below 0Enter short positions when the indicator
closes above 100}
Enter Long:
<FONT face=Arial
size=2>Cross(0,Ref(((C+2*Std(C,20)-Mov(C,20,S))/(4*(Std(C,20)))*100),-1))
Enter Short:
<FONT face=Arial
size=2>Cross(Ref(((C+2*Std(C,20)-Mov(C,20,S))/(4*(Std(C,20)))*100),-1),100)
This "crude" approach returns 130 cents and
has an 10 & zero track record when forced onto
the December Wheat '01 contract (see attachment "2").
I suggest optimizing variables within the
formula. It's easy to explore results by varying the "trigger" levels,
the mean, or the standard deviations.
If you want to apply the "approach" to day
trading the naz or s&p, try stepping down to the "ever-popular" ten
period-ema. Use the 10ema and experiment with a stepped down version
that explores penetrations of only one standard deviation.
The combinations are endless. This approach
is just that: an approach. Filters, trend identifiers, combinations and
modifications are all possibilities. This
is not the holy grail. It just is a jumping off point for those who
would like to explore the realm of price (buried in an average) and it's
relationship to standard deviations.
Hopefully, this will stimulate a trading
discussion that will benefit our forum. If we don't get back to
the purpose of this forum, it might as well fold up and blow
away.
Take care,
Steve Karnish, CTACedar Creek Trading<A
href="http://www.cedarcreektrading.com";>http://www.cedarcreektrading.com
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