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> --------------------------------------- > ----- Original Message ----- > From: Walter Lake <wlake@xxxxxxxxx> > To: Metastock bulletin board <metastock@xxxxxxxxxxxxx> > Sent: Sunday, June 13, 1999 9:23 AM > Subject: volatility bands on oscillators > > > > Hi Adam et all > > > > Has anyone done any work with volatility bands on oscillators, i.e. RSI, etc.? > > > > I was looking at various combinations of your "Denvelope" etc. on a RSI(14). > > > > Best regards > > > > Walter > -----Original Message----- > From: owner-metastock@xxxxxxxxxxxxx > [mailto  wner-metastock@xxxxxxxxxxxxx]On Behalf Of VonHef> Sent: Monday, June 14, 1999 2:41 PM > To: metastock@xxxxxxxxxxxxx > Subject: Re: volatility bands on oscillators > > > Hi Walter, > > I have never looked at applying a volatility indicator on anything but > price. Did you discover anything?<g> > I am still looking over the other material you sent me......this may > take some time for me to absorb. > > Best wishes, > Adam Hefner. > VonHef@xxxxxxxxxxxxx ----- Original Message ----- From: Laurent GITTLER <lgittler@xxxxxxxxxxx> To: <metastock@xxxxxxxxxxxxx> Sent: Monday, June 14, 1999 10:28 AM Subject: RE: volatility bands on oscillators John Bollinger has applied Bollinger bands on indicators, thus giving a relative reading rather than 30 - 70 %. RSI is a bit special because it is self-smoothing as you get longer periods. This gives another approach to indicator reading. Another indicator which is very interesting builf on the same basis of the RSI is the Money Flow Index which takes care of volume. Laurent GITTLER ----- Original Message ----- From: Walter Lake <wlake@xxxxxxxxx> To: <metastock@xxxxxxxxxxxxx> Sent: Monday, June 14, 1999 1:05 PM Subject: Re: volatility bands on oscillators The lady's name is Constance Brown. Her web site is www.aeroinvest.com She doesn't recommend the Bollinger Bands but instead uses ATR bands. BB's give a totally different look. Best regards Walter Re: volatility bands on oscillators · To: <metastock@xxxxxxxxxxxxx> · Subject: Re: volatility bands on oscillators · From: "VonHef" <VonHef@xxxxxxxxxxxxx> · Date: Mon, 14 Jun 1999 17:05:35 -0500 · Organization: Microsoft Corporation · References: <001301beb672$27111330$361fa03e@xxxxxxxxxxx> · Reply-To: metastock@xxxxxxxxxxxxx · Sender: owner-metastock@xxxxxxxxxxxxx I'm not sure how to create "Bands" on a oscillator, based on the "Average True Range" since the ATR function is derived from the days High and Low. I did manage to modify the "Denvelope" code to work on the "RSI". This code may be worthless....but here it is: |
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Relative Strength Index (RSI) Denvelope pds:=Input("Periods",2,200,14); sd:=Input("Standard Deviations",.01,10,2); D1:= RSI(pds); alpha:=2/(pds+1); mt:=alpha*D1+(1-alpha)*(If(Cum(1)<pds,D1,PREV)); ut:=alpha*mt+(1-alpha)*(If(Cum(1)<pds,D1,PREV)); dt:=((2-alpha)*mt-ut)/(1-alpha); mt2:=alpha*Abs(D1-dt)+(1-alpha)*PREV; ut2:=alpha*mt2+(1-alpha)*PREV; dt2:=((2-alpha)*mt2-ut2)/(1-alpha); but:=dt+sd*dt2; blt:=dt-sd*dt2; blt; dt; but; |
Best wishes, Adam Hefner. VonHef@xxxxxxxxxxxxx --------------------------------------- [14314] | |
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