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diceman
Posted : Friday, March 09, 2018 12:30:07 PM
Registered User
Joined: 1/28/2005
Posts: 6,049

If you have access to the October 1997 issue of TASC

theres an article called: RIDE THE EXTREMES

 

It lists various buy/sell conditions based on volatility bands.

 

I was wondering if you could create them?

You can just list them seperatly vs a group long or group sell signal.

They are in 2 groups: Bollinger Band/Regression.

 

 

Thanks

 

Bruce_L
Posted : Friday, March 09, 2018 2:34:09 PM


Worden Trainer

Joined: 10/7/2004
Posts: 64,323

I don't have the magazine, but I do have access to the subscriber area. I don't see an article called "Ride the Extremes" there. Could it be On Using Volatility Bands by Ahmet Tezel, Ph.D., and Suzan Koknar-Tezel, M.S.?



-Bruce
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diceman
Posted : Friday, March 09, 2018 2:40:30 PM
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Joined: 1/28/2005
Posts: 6,049

 

Yes

 

Ride the extremes was probably only a cover title.

 

 

Thanks

 

Bruce_L
Posted : Friday, March 09, 2018 5:14:42 PM


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Joined: 10/7/2004
Posts: 64,323

Note that you buy or sell on the open five days after the signal when using the MAAVPB system.

The five buy conditions in the MAAVPB system could be written as follows.

CountTrue(C > BBTOP(1.7, 11), 3) = 3 OR (C > BBTOP(1.7, 11) AND L1 > BBTOP(1.7, 11, 1)) OR (L > BBTOP(1.7, 11) AND C1 > BBTOP(1.7, 11, 1)) OR (C > BBTOP(1.7, 11) AND C >= 1.4 * MINL11.1) OR (AVGV3 > 200000 AND AVGH3 > BBTOP(1.7, 11) AND AVG(H - L, 3) > AVG(H3 - L3, 11))

Since we aren't actually tracking the position, we only have the first three sell condition for the MAAVPB system and don't include the bailout condition.

CountTrue(C < BBBOT(2, 11), 3) = 3 OR (CountTrue(C < BBBOT(2, 11), 2) = 2 AND C <= .82 * MAXH11.1) OR (H < BBBOT(2, 11) AND C <= .82 * MAXH11.1)



-Bruce
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diceman
Posted : Wednesday, March 21, 2018 3:37:37 PM
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Joined: 1/28/2005
Posts: 6,049

Were the REGAVPB signals not doable?

 

 

Thanks

 

Bruce_L
Posted : Wednesday, March 21, 2018 5:09:30 PM


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Joined: 10/7/2004
Posts: 64,323

They seem mostly doable (I can't really track the position for one of the sell conditions), but I am far less confident in the accuracy.

My interpretation of the buy condition would be the following.

FAVGC21 >= AVGC21 AND TrueInRow(C > 3 * FAVGC21 - 2 * AVGC21 + SQR(((C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2) / 21 - AVGC21 ^ 2) - 12 * (((0 * C0 + 1 * C1 + 2 * C2 + 3 * C3 + 4 * C4 + 5 * C5 + 6 * C6 + 7 * C7 + 8 * C8 + 9 * C9 + 10 * C10 + 11 * C11 + 12 * C12 + 13 * C13 + 14 * C14 + 15 * C15 + 16 * C16 + 17 * C17 + 18 * C18 + 19 * C19 + 20 * C20) / 21 - (21 - 1) * AVGC21 / 2) ^ 2) / (21 ^ 2 - 1)), 3) = 3 AND ((((21 - 1) / 2) * AVGC21 - (C1 + 2 * C2 + 3 * C3 + 4 * C4 + 5 * C5 + 6 * C6 + 7 * C7 + 8 * C8 + 9 * C9 + 10 * C10 + 11 * C11 + 12 * C12 + 13 * C13 + 14 * C14 + 15 * C15 + 16 * C16 + 17 * C17 + 18 * C18 + 19 * C19 + 20 * C20) / 21) / SQR(((21 ^ 2 - 1) / 12) * ((C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2) / 21 - AVGC21 ^ 2))) ^ 2 >= ((((21 - 1) / 2) * AVGC21.2 - (C3 + 2 * C4 + 3 * C5 + 4 * C6 + 5 * C7 + 6 * C8 + 7 * C9 + 8 * C10 + 9 * C11 + 10 * C12 + 11 * C13 + 12 * C14 + 13 * C15 + 14 * C16 + 15 * C17 + 16 * C18 + 17 * C19 + 18 * C20 + 19 * C21 + 20 * C22) / 21) / SQR(((21 ^ 2 - 1) / 12) * ((C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2 + C21 ^ 2 + C22 ^ 2) / 21 - AVGC21.2 ^ 2))) ^ 2 + .02

My interpretation of the two sell conditions conditions I can actually implement would be the following.

TrueInRow(C < 3 * FAVGC21 - 2 * AVGC21 - 1.5 * SQR(((C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2) / 21 - AVGC21 ^ 2) - 12 * (((0 * C0 + 1 * C1 + 2 * C2 + 3 * C3 + 4 * C4 + 5 * C5 + 6 * C6 + 7 * C7 + 8 * C8 + 9 * C9 + 10 * C10 + 11 * C11 + 12 * C12 + 13 * C13 + 14 * C14 + 15 * C15 + 16 * C16 + 17 * C17 + 18 * C18 + 19 * C19 + 20 * C20) / 21 - (21 - 1) * AVGC21 / 2) ^ 2) / (21 ^ 2 - 1)), 3) = 3 OR (C <= .82 * MAXH21.1 AND H < 3 * FAVGC21 - 2 * AVGC21 - 1.5 * SQR(((C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 + C20 ^ 2) / 21 - AVGC21 ^ 2) - 12 * (((0 * C0 + 1 * C1 + 2 * C2 + 3 * C3 + 4 * C4 + 5 * C5 + 6 * C6 + 7 * C7 + 8 * C8 + 9 * C9 + 10 * C10 + 11 * C11 + 12 * C12 + 13 * C13 + 14 * C14 + 15 * C15 + 16 * C16 + 17 * C17 + 18 * C18 + 19 * C19 + 20 * C20) / 21 - (21 - 1) * AVGC21 / 2) ^ 2) / (21 ^ 2 - 1)))



-Bruce
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