volume weighted bollinger bands

[DCameronMauch]

Thought it might be useful to have a modified bollinger band where the basis was a volume weighted moving average instead of a simple moving average. I am somewhat skeptical of any price study which does not involve volume. Anyways, here is a little efs script I wrote to do the job. Used the builtin MAStudy, but had to compute the bands. No big deal. The length parameter can be chosen from the fibonacci numbers between 5 and 89 defaulting to 21. Deviation is any number between 1 and 3 defaulting to 2. Thought I would share. Might be useful to someone else. Any feedback, positive or negative, is welcome.

Update: Also tried using the JurikJMAStudy for the BB basis. But could not get anything useful looking out of it.

[Mike2]

Cameron, I think you're on to an idea, and it's a very tidy peice of code. Have you considered changing the bandwidth instead of the base, or even bandwidth and base ?, using a momentum indicator on volume or something similar.

http://forum.esignalcentral.com/showthread.php?s=&threadid=8022&highlight=momentum

This is a rough draft of the idea, with no real research done yet as to usefulness.

The line aVPMO[0]/1000000 may have to be modified to suit the scale of the chat it's being tested on.

Having had a closer look at momentum on volume, it can swing from + to - too rapidly with a volume change. There would most likely be a better volume indicator to work with, perhaps a trend indicator on volume.