Envelope

[guibraga]

Hello Everybody!

I´m new to Metastock.

Can anyone help me creating an envelope (or bands) that has 95% do the daily data inside the envelope ???

Thanks a lot

Guilherme

 

[esiotrot]

Hi
Not sure if this is what you are looking for but Bollinger bands at 2 standard deviations (the default setting) encloses 95% of the price.

However it normally uses the close as the price array and therefor ignores hi/low figures. You can of course change this to give slightly different bands.

I'm a great fan of Bollingers and my default chart set up uses candlesticks and Bollingers only.

I trade EOD but it works on all time frames.

 

[guibraga]

Hello Peter !

Thanks for your reply, but I´m not looking for a volatily band (like bollinger bands); I´m looking for a channel.
for example: upper band: = EMA + EMA * coeficient
lowe band = EMA - EMA * coeficient;

just like the channel described on COME INTO MY TRADING ROOM....
The coeficiente must adapt 95% of the data....
I dont know if I was clear....

Thanks
Guilherme

ju

 

[esiotrot]

"Envelope" in Metastock will do all this EXCEPT guarantee that 95% of the price is inside the envelope.

Parameters: Time periods, Vertical shift (%), Horizontal shift (Periods), MA Method and Price field.

However this is not a channel as I understand the definition.

Metastock has a Standard Deviation channel but this will change markedly as the time range is altered. Not sure this is much help.
I attach a couple of charts. AAL is of no significance only an example.

 

[guibraga]

Hello peter !
Thanks again for the reply !
The Metastick envolope (as you described before) is the tool I´m using...
I was just wondering if there were other way to fix 95% of the data inside the envelope...
but I guess not....
no problem.

Thanks a lot !
Guilherme

 

[zambuck]

I know you don't want BB, but envelopes....but see the following that will contain 90% of data in the bands...

This is the one I had in files...the source of this formulae is not known, and it's not by me by the way....


Bollinger Bands (tightend to 90%) - John Bollinger
{First, catching the BB's 100% of Price movement :}
UpperBand:= Mov( C,20,S ) + 1*( 2 * ( Std( C,20 ) ) );
MiddleBand:=Mov( C,20,S );
LowerBand:= Mov( C,20,S ) - 1*( 2 * ( Std( C,20 ) ) );
BandsWidth:= UpperBand - LowerBand;
{Second, now for catching 90% of Price movement}
BB100:= 1*BandsWidth;
BB90:= 0.9*BandsWidth;
{broken up, this then is equal to :}
sUpperBand:= mov( C,20,S ) + 0.9*( 2 * ( std( C,20 ) ) );
sMiddleBand:=mov( C,20,S );
sLowerBand:= mov( C,20,S ) - 0.9*( 2 * ( std( C,20 ) ) );
sBandsWidth:= sUpperBand - sLowerBand;
sUpperBand;
sMiddleBand;
sLowerBand;

sBandsWidth;

{Third, now to proove all is right, plot the BandsWidth's BB100%}
BB100;

{and plot the BB90%}

BB90;

{and plot the final difference outcome in $}
BB100-BB90;

{and plot the final difference outcome in %}
(BB100-BB90)/(BB100*0.01)

 

[esiotrot]

Statistically 2 standard deviations contains 95% of the data.

This is the normal setting for Bollingers and reducing the band width to 1.8 Std.Dev. can be easily done in Metastock by changing the Band properties. A snapshot of the properties window attached here.

However NOT being a statistician I'm not sure what %age of data is included in the narrower bands?