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ron67
 Posted : Thursday, April 16, 2009 12:19:06 PM
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Joined: 2/1/2008
Posts: 13
How are the channels measured?
1 deviation is what %?
The term deviation by itself is a bit vague
Thanks,

Ron Daino
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Bruce_L
 Posted : Thursday, April 16, 2009 12:35:44 PM

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Joined: 10/7/2004
Posts: 65,138
I don't know how Envelope Channels are calculated in TeleChart and have been unable to reproduce them using formulas. The Envelope Channel Width calculations used in TeleChart appear to be very similar to the Linear Regression Channel Width calculations:

Linear regression channel calculations

That said, I have not been able reproduce the Envelope Channel Width calculations exactly and cannot provide any additional details. You can use Channel Sorts on Envelope Channels however. You may wish to review the following:

Sort using envelopes, regression channels and Bollinger bands

-Bruce
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ron67
 Posted : Thursday, April 16, 2009 1:09:50 PM
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Posts: 13
Bruce,
Just want to know what 10, 20 etc widths are in terms of %.
Ron Daino
Bruce_L
 Posted : Thursday, April 16, 2009 1:18:07 PM

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Joined: 10/7/2004
Posts: 65,138
A Width of 10 = 1 x the total Width calculation, so 1 would be 10% of the total Width calculation. But as stated previously, the Width calculations for an Envelope Channel are unknown.

-Bruce
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ron67
 Posted : Thursday, April 16, 2009 3:47:48 PM
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Joined: 2/1/2008
Posts: 13
What width setting would I use on the S&P500 if I wanted a 2.75% band top & bottom?
Bruce_L
 Posted : Thursday, April 16, 2009 3:57:53 PM

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Joined: 10/7/2004
Posts: 65,138
You wouldn't. The Envelope Channels in TeleChart are not a percent of Price or the Moving Average of Price. As stated previously, the calculation is unknown.

If you want to Plot channels that are 2.75% above and below Price or its Moving Average, you could create a Custom Price Channel Indicator.

Select Chart Template | Add Indicator | Price Channel.
-Visible: Checked
-Smoothing Average: 1 if you don't want a Moving Average, the MA Period otherwise
-Average Type: Up to you (doesn't matter if the Smoothing Average is 1)
-Width Multiplier: 10
-Indicator Line Formula: C
-Channel Width Formula: .0275 * C

You may wish to review the following:

PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!

-Bruce
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jfh123
 Posted : Saturday, July 25, 2009 10:52:25 AM
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Joined: 12/17/2004
Posts: 143
QUOTE (Bruce_L)
I don't know how Envelope Channels are calculated in TeleChart and have been unable to reproduce them using formulas. The Envelope Channel Width calculations used in TeleChart appear to be very similar to the Linear Regression Channel Width calculations:

Linear regression channel calculations

That said, I have not been able reproduce the Envelope Channel Width calculations exactly and cannot provide any additional details. You can use Channel Sorts on Envelope Channels however. You may wish to review the following:

Sort using envelopes, regression channels and Bollinger bands

B-

I want to APPROXIMATE the formula for envelope channels.  For my purposes, LR Width calculations would be similar enough.  But, when I tried the LR settings you provided in the link (60,10), and an envelope with the same settings, they didn't seem to agree.  Would you help me find my error?

Here's an example: On SP-500, on 7/13/09, LR upper = about 935 and LR lower = about 913, but the lower env chnl = about 801 and the upper env chnl = about 1002.

Thanks!

J
Bruce_L
 Posted : Monday, July 27, 2009 1:35:15 PM

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Joined: 10/7/2004
Posts: 65,138
jfh123,
I really can't help you other than to say that while the calculations of the envelope channels appear to be of a similar form to those of Linear Regression Channels, they appear to use far more data than their Period settings would suggest.

I have spent many hours on this over the years and can still only speculate as to the exact details. That said, I suspect that Period is only used in the calculation of the Moving Average centerline, that the width is independent of the period and that the "period" used in the Width calculations is based on whichever Indicator currently Plotted on the Chart requires the most data.

-Bruce
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jfh123
 Posted : Monday, July 27, 2009 7:49:14 PM
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Joined: 12/17/2004
Posts: 143
Thanks, anyway.
Bruce_L
 Posted : Tuesday, July 28, 2009 7:28:00 AM

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Joined: 10/7/2004
Posts: 65,138
jfh123,
You're welcome.

-Bruce
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