StockFetcher Forums · Filter Exchange · Bollinger Bandwidth Oscillator<< >>Post Follow-up
mktmole
325 posts
msg #88121
Ignore mktmole
2/11/2010 11:49:18 AM


Any help is appreciated in creating a 8 period Rate of Change derived from the BBW value below.
and ideally plotting this indicator as an oscillator fluctuating above/below 0 line, or other plot options?
(Would this be be a "weighted" function?)

set{value1,upper bollinger band(20) - Lower bollinger Band(20)}
set{BBW,value1 / median bollinger Band(20)}

Thanks kindly !
mm




Kevin_in_GA
4,539 posts
msg #88145
Ignore Kevin_in_GA
2/11/2010 4:56:21 PM

Why not just use the Bollinger Oscillator built into SF?

just type Bollinger Oscillator(X,Y) and it will give you an oscillator for the close relative to the bands.

mktmole
325 posts
msg #88147
Ignore mktmole
2/11/2010 5:07:35 PM

tks Kevin!
but I'm actually looking for an 8 period ROC 'smoothing' to be applied to the BBW ?

rgds
mm

tomm1111
198 posts
msg #88154
Ignore tomm1111
2/11/2010 9:41:41 PM

mm, Is this what you have in mind? I've applied roc(8) prior the bollinger width calc but it doesn't look that smooth.

Fetcher[
set{var,roc(8)}
set{c_sd,cstddev(var,20)}
set{c_ma,cma(var,20)}

set{c1,c_sd * 2}
set{c2,c1 + var}
set{c3,c2 - c_ma}
set{c4,4 * c_sd}
set{c5,c3 / c4}
set{BBW,c5 * 100}

draw BBW

draw Bollinger Width Oscillator(20,2)
]



mktmole
325 posts
msg #88156
Ignore mktmole
2/11/2010 9:56:08 PM

hey tks tom !
you are right, it's not smooth...and the BB osc is much smoother which is the opposite of what it should be...umm.
The 8 roc is applied to the BB width calculation afterwards.
This theory appeared in S+C mag Bonus issue 2006 trading "Bandwidth Volatility Extremes", by Barbara Star.
Still trying to fine tune it...

mm


Kevin_in_GA
4,539 posts
msg #88174
Ignore Kevin_in_GA
2/12/2010 8:21:40 AM

Isn't rate of change simply the slope?

set{var1, Bollinger Oscillator(20,2)}
set{var2, 8 day slope of var1}



chetron
2,817 posts
msg #88176
Ignore chetron
2/12/2010 8:43:26 AM

i believe it is even simpler, that it is the difference between the bbo day to day for the last 8 day expressed as a moving average.....




hth


chetron
2,817 posts
msg #88179
Ignore chetron
2/12/2010 9:22:10 AM

maybe...

Fetcher[

set{var1,Bollinger Width Oscillator(20,2) 1 day ago}
set{var2,Bollinger Width Oscillator(20,2) - var1}
set{var4,cema(var2,8)}

draw var4

symlist(spy)

]






mktmole
325 posts
msg #88229
Ignore mktmole
2/12/2010 5:03:23 PM

tks chetron ! that's it exactly.

putting things all together gets interesting
Work in Progress

Fetcher[set{var,roc(8)}
set{c_sd,cstddev(var,20)}
set{c_ma,cma(var,20)}

set{c1,c_sd * 2}
set{c2,c1 + var}
set{c3,c2 - c_ma}
set{c4,4 * c_sd}
set{c5,c3 / c4}
set{BBW,c5 * 100}
draw BBW
draw Bollinger Width Oscillator(20,2)

set{var1,Bollinger Width Oscillator(20,2) 1 day ago}
set{var2,Bollinger Width Oscillator(20,2) - var1}
set{var4,cema(var2,8)}
draw Bollinger Band(20)
draw var4
and draw var4 line at 0
and price between 3 and 6
and average volume(20) above 250,000 and volume above 250,000
and draw Fast Stochastic(9,3,3) Slow %D

and BBW crossed above 45 within past 3 days
and BBW above 45
and close 1 day ago crossed above EMA(5)
and close above ema(5)
and date offset 12/17/2009
]



StockFetcher Forums · Filter Exchange · Bollinger Bandwidth Oscillator<< >>Post Follow-up

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