StockFetcher Forums · Filter Exchange · A SIMPLE QUESTION THAT I STRUGGLE TO ANSWER<< >>Post Follow-up
Kevin_in_GA
4,552 posts
msg #115088
Ignore Kevin_in_GA
8/26/2013 9:39:45 PM

Can a stock ever cross below its lower Bollinger Band(5,4)?

Simple? I'm not sure. Think about what happens intraday as a stock moves lower in price. Concurrent with that move the lower BB(5,4) also moves down ... a lot since it maintains 4 SD from the evolving 5 day average. Is there a point intraday where the price can actually be below the lower BB(5,4)?

SF is not able to test this since it requires intraday updates, but I cannot find a single example of a stock whose price closed below this threshold, so I think it is basically impossible. I can't even find an example of any stock closing below the lower BB(5,2) never mind BB(5,4).

klynn55
425 posts
msg #115096
Ignore klynn55
8/26/2013 11:49:53 PM

ran this scan through strategy desk: Bar[Close,5] < BollingerBands[Lower,Close,5,2,5]

so far one DRRX , five minute TF 33% finished
ran daily scan , none after 30% scan completed

Kevin_in_GA
4,552 posts
msg #115166
Ignore Kevin_in_GA
8/30/2013 7:53:04 PM

Let's attack this question using SF filters ... the question I'll try to answer is "at what combination of period and SD can one begin to see any close BELOW the lower BB?" I'll look back 20 days across the entire SF stock list to see what the result is (the reason for only 20 days? Several stocks that just started trading will trigger here but only because they have anomalous behavior from their first day of trading that the filter thinks is a close outside of the BBs).

5 day look back:

Fetcher[

count(close below lower Bollinger band(5,4),20) above 0

]



Fetcher[

count(close below lower Bollinger band(5,3),20) above 0

]



Fetcher[

count(close below lower Bollinger band(5,2),20) above 0

]



Fetcher[

count(close below lower Bollinger band(5,1),20) above 0

]



10 day look back:

Fetcher[

count(close below lower Bollinger band(10,4),20) above 0

]



Fetcher[

count(close below lower Bollinger band(10,3),20) above 0

]



Fetcher[

count(close below lower Bollinger band(10,2),20) above 0

]



Fetcher[

count(close below lower Bollinger band(10,1),20) above 0

]



15 day look back:

Fetcher[

count(close below lower Bollinger band(15,4),20) above 0

]



Fetcher[

count(close below lower Bollinger band(15,3),20) above 0

]



Fetcher[

count(close below lower Bollinger band(15,2),20) above 0

]



Fetcher[

count(close below lower Bollinger band(15,1),20) above 0

]



20 day look back:

Fetcher[

count(close below lower Bollinger band(20,4),20) above 0

]



Fetcher[

count(close below lower Bollinger band(20,3),20) above 0

]



Fetcher[

count(close below lower Bollinger band(20,2),20) above 0

]



Fetcher[

count(close below lower Bollinger band(20,1),20) above 0

]



Well, it pretty clearly looks like there are few options to trade on short term dislocations which drive the price below certain BB combinations. Really no combos shorter than 15 days look like they provide enough trades to make into a viable system. Good to know, since this steers me away from wasted effort in system development.

Marco Sicily
20 posts
msg #115167
Ignore Marco Sicily
8/30/2013 9:10:20 PM

Kevin

Here is a filter I have been using. I know it is not what you are looking for but it has tested out pretty well.


Fetcher[stock is an ETF
and volume (21) is above 125,000
and close is below lower bollinger band(5,1) last 3 consecutive days
and add column count( close is below lower bollinger band(5,1),5) {Below last 5 days}
and close is above MA(200)
add column bollinger %b(5,1)
]




rakker
1 posts
msg #115181
Ignore rakker
9/2/2013 3:08:04 PM

Marco, Come va, signore!: Based on the fact that you put the 200MA I assume you're using this as a counter trend tool. I look at a few scans before today and see that there are many still down. Any clarification on how you use your settings? Thanks

Marco Sicily
20 posts
msg #115242
Ignore Marco Sicily
modified
9/7/2013 10:59:42 AM

Hello Rakker

I'm Sorry for the delay in answering - Out of town on business

With the MA(200) I am simply trying to determine that I have identified an uptrending stock in a deep pullback. Stocks that spend multiple days below the lower BB traditionally have significant bounces when they revert to their established uptrend.

Simple oversold filter which seems to work well.

StockFetcher Forums · Filter Exchange · A SIMPLE QUESTION THAT I STRUGGLE TO ANSWER<< >>Post Follow-up

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