Bands, Envelopes & Channels

[rcameron]

I've finally resolved the time rollover issue and after further testing had to add extra trapping routines for missing bars at potential start times commonly occuring during overnight times on continuous futures. If it was not for continuous futures data the coding would have been much simpler!

I believe I have squeezed out all potential errors now regarding time, however if anyone experiences any problems please let me know and I'll try and fix it.

Robert

N.B. Attached is the new file, note name change to "DynaBands", however the version numbers are kept from the old file name now at V1.3.0.

[rcameron]

Here is a DJ Mini futures chart marked up (for December 05, 2003) using DynaBands based on an EMA, Close Basis and Kirshenbaum Bands with a CI of 2 which measure Standard Error where anything outside of these bands accounts to only 5% of projected data from the mean. Therefore it should be safe to enter a trade with minimal risk at these points. However I added further qualifications to find stronger trades to prevent getting trapped in a trade that has no reverse trade.

If the market was strongly trending, then I believe that the methodology would get caught out as the bars would be hugging and dipping in and out of one of the bands. Therefore a trend filter needs to be added to prevent premature trade entries.

Because the DynaBands get progressively wider as the day wears on (unavoidable due to the way they are produced with increasing periods bar by bar), I divide the day into 2 sessions which coincides what the floor traders are up to. The first 15-20 minutes from the opening bell is always a nightmare to trade on the futures market. Either you get in PreMarket from about 07:00 EST or you wait until about 15 minutes have passed to initiate some trading parameters which way the market is going to go (these days almost anywhere).

If anyone wants to comment on this or show their trading methodologies then it should provide interest to all.

[Harndog]

Reply

Robert:
1. Thank you for your work and observations.
2. The thing I would add to this conversation is the Advanced Get XTL Study. The XTL Study does something called the "Run's Test" on the bar data to identify data skew. I would add the XTL Study to the conversation.
In the attached chart I have added the breakout parameters for the XTL. These are 1/2 bar of the signal bar in both directions.
I picked the long red XTL as the signal bar and the signal would not be taken until a breakout above either of these levels.
The Black bars in between the first red bar (negative skew) and the final breakout do not alter the strategy.
The black bars just mean the data is no longer skewed and it is mean "normal."

Harndog

[gspiker]

Hi Robert,

Sorry for the delay on this, I just got back into town tonight. It looks like they pulled the info I used to recreate BOMAR bands, I think they might have realized they had said more about how they are created and work then they intended to. Bob Brogan isn't keen on giving the info away. Using what little they had said and trial and error I was able to recreate them on a different trading platform (with the help of a pre-eSignal Matt).

I'll look though my notes (and hopefully the code, if I still have it) and if its al right, send you a PM with what I can recreate in the way of a discription.

One warning - BOMAR is very compute intensive...I wouldn't try to run it on very short interval charts.

Garth

[rcameron]

Harndog:

Thank you for your contribution. Unfortunately I do not subscribe to Advanced GET after having a trial subscription of a couple of months, I was very unhappy that many of the indicators use proprietary methodologies and therefore you cannot independently verify that the data is correctly computed. I also found some of the indicators giving totally false data which eSignal Support neither understood nor could resolve. So for the discussions here, I would prefer not to include any GET studies unless we can code the methodology from scratch.

In fact the main reason I tried Advanced GET was for Elliott Wave Analysis from which I saw as being totally incorrect as per R.N. Elliott, but that is another big discussion which I do not want to venture into here.

BTW in your chart, I assume you are a US based user, so alter the time periods for DynaBands from 09:30 to say 17:00 for EST time as yours are using the default start time of 14:30 which has been set at UK time where I am currently based.

Robert

[rcameron]

As per a member request, I have added a volume weighted option to the computation of the DynaBands. Please see attached script (V 1.4.0)

Again if there are any problems in use, please let me know and I'll try to fix it.

Robert

[Himalaya]

Dynamic SMA

Afternoon Breakout for trending markets

[tasman]

Hi Robert,

This is a very interesting study you have developed. I am a big fan of bands and channels. I have used Keltner bands in some of my studies and am currently using Bollinger bands. I really like the way you grouped several types of band studies into one study. I especially liked the way you explained how to use the study. My biggest pet peeve is seeing a possibly interesting study that the author doesn't explain very well. Even in most books about technical analysis, about all the author gives you is a very basic explanation of how to use it ("Basketball bands is an overbought/oversold type indicator"). It took me a long time to find anything that gave me a decent explanation about some possible ways to use Bollinger bands.

I also wanted to mention to you that I think I may have encountered a minor bug. I wasn't paying attention to which chart I applied your DynaBands study to and accidentally put it on a chart with a 30 second interval that I am using to test a study I'm working on. Your study gave me an error message that says "Variable Period Study only works with Intraday Charts". I don't trade using charts with this short of an interval, so I don't know if you really meant it to cut off the really short intervals or not.

Keep up the good work.

Dale Sullivan

[rcameron]

Dave,

Thank you for your kind comments. I have posted a revised script (V1.4.1) which corrects the problem for display in all intraday type charts. The only charts that the study will not display is in daily, weekly & monthly by giving an error message.

If you feel anything should be added or revised from the functionality point of view then let me know.

Robert

[rcameron]

Hi Himalaya,

Thank you for posting your chart with commentary on how you use for trading. Very interesting. What is the setting you use for the Stoller Bands? As you are trading continuous futures, what time do you start the script from?

Are you able to get consistant results both for short and long plays on a daily basis? How many plays do you average daily?

Robert

NB As per your request I will post a volume only DynaBand script in due course hopefully.

[rcameron]

Himalaya,

Here is a new script titled VolDynaBands.efs (V1.0.0). This computes a dynamic MA of volume bars which works in the same way as the Price DynaBands study already posted with the following exceptions:-

1. Because Volume bars starts at 0, only the upper band is drawn.

2. No selections available for Headley, Keltner and Stoller bands as all of these use price low/highs in their computations.

If you see that any modifications or problems are encountered then let me know and I'll try to fix them.

If ok then let us know if the study is of any use.

Robert

[Himalaya]

Dyna for current contract

Robert,

Below are the trades of the current contract to date.
Stollers set to 2 and start the study at 6:30 PST - End 13:15 PST

Sorry for not being clear enough on the changes I was looking for on the original script. The new script plots of the bar's volume, but what I was looking for was for it to still plot off of the bar's price info but for it to work on volume based bars

It seems the original script will not work on Volume, Tick or Second based bars. Again I am a complete idiot when it comes to coding so I don't know if it possible to get it to work on on volume based bars or if it is too much trouble.

Always hunting for a statistical edge :-)

John

[rcameron]

Hi John,

Nice results on your plays!

Re study on vol bars & ticks. Sorry to have misunderstand your request.

The new script (DynaBands) already posted V1.4.1 should work as the only studies thst are filtered are daily, weekly & monthly.

However I do not recommend use on tick charts as there is too much data to be processed and currently eSignal does not allow you to limit the number of ticks displayed, only intraday (minute) data can be shortened.

Robert

[Harndog]

Standard Deviation question

As part of the Kase Statware indicators, there is a stop called the Devstop. The Devstop is calculated off the ATR of the last 2 bars. I am wondering if some I can recreate something like this as a bollinger Band. For example, I want use something like the Devstop as a risk reward calculation.
I know Advanced Get's XTL says to use a 1/2 bar as a stop but I like the standard deviation concept as if I use a 2nd standard deviation as a stop it will hold 96% of the last 2 bars action.
Any suggestions/help/ wisdom is appreciated.
Harndog

[rcameron]

Hi Harndog,

I believe that you will be able to do exactly what you want with a script I posted as per the following thread:-

http://forum.esignalcentral.com/showthread.php?s=&threadid=3476

You should look for Stoller Bands V1.2.0. You can alter the basis & bands time periods as well as the multiplier for the bands.

I have also posted a script for Kirshenbaum bands (v1.1.0) as per the following thread if this will be of interest:-

http://forum.esignalcentral.com/showthread.php?s=&threadid=2853

I suppose it would be nice if I allowed DynaBands script to accept static periods as well, I might do that once time permits

Robert