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Registered User
Joined: 9/14/2006
Posts: 11
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Without writing an absurdly long PCF, is it possible to determine the minimum value of a custom indicator over a period of 161 bars (6 months). My end goal is to determine if the current value is less than the minimum value over the last 6 months. A true/false answer or a net value is acceptable.
Thanks, Richard
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Give me the custom indicator and lets see. As an aside, there are generally 125-130 trading days in 6 months.
- Craig
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Registered User
Joined: 9/14/2006
Posts: 11
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Sorry for the typo on the number of bars in 6 mos. It should be 126 (approximate). The indicator is Bollinger's Bandwidth which is 4 standard deviations of price. For a period of 20 bars, the formula is as follows:
4*SQR(ABS(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+C19^2-20*AVGC20^2)/19)/AVGC20*100
One of Bollinger's techniques is to scan for a potential volatility breakout by determining if the current bandwidth value is lower than any other over a period of at least the last 6 months.
Thanks, Richard
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Registered User
Joined: 1/28/2005
Posts: 6,049
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rwwoods
I would create an Easyscan:
Your Indicator<(whatever value you think is low)
You may want to add fundamental/price screening also.
--------------------------------------------------------------------------------
Once you have a watchlist.
Set your zoom to 4 ( I believe approximately 148 days)
Do a visual sort on the watchlist.
At one end you will have the highest values. At the other
the lowest.
Thanks
diceman
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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In this case, rwwoods, it would take a long PCF.
You would have to write in this form:
Today < 1-day ago AND
Today < 2-days ago AND
Today < 3-days ago (etc.)
Keep in mind that band width is just a measure of the volatility of the stock. What you are really searching for are the stocks falling into their lowest volatility for the past six months.
Take a look at the stocks this PCF finds and see if you like recent band width:
(MAXH20-MINL20)/MINL20<(MAXH20.10-MINL20.10)/MINL20.10 AND
(MAXH20-MINL20)/MINL20<(MAXH20.20-MINL20.20)/MINL20.20 AND
(MAXH20-MINL20)/MINL20<(MAXH20.30-MINL20.30)/MINL20.30 AND
(MAXH20-MINL20)/MINL20<(MAXH20.40-MINL20.40)/MINL20.40 AND
(MAXH20-MINL20)/MINL20<(MAXH20.50-MINL20.50)/MINL20.50 AND
(MAXH20-MINL20)/MINL20<(MAXH20.60-MINL20.60)/MINL20.60 AND
(MAXH20-MINL20)/MINL20<(MAXH20.70-MINL20.70)/MINL20.70 AND
(MAXH20-MINL20)/MINL20<(MAXH20.80-MINL20.80)/MINL20.80 AND
(MAXH20-MINL20)/MINL20<(MAXH20.90-MINL20.90)/MINL20.90 AND
(MAXH20-MINL20)/MINL20<(MAXH20.100-MINL20.100)/MINL20.100 AND
(MAXH20-MINL20)/MINL20<(MAXH20.110-MINL20.110)/MINL20.110 AND
(MAXH20-MINL20)/MINL20<(MAXH20.120-MINL20.120)/MINL20.120
This does a spot check (doesnt check every day) for a different measure of volatility. I think you will see most stocks returning TRUE for this are experiending the lowest bandwidth recently.
- Craig
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Registered User
Joined: 9/14/2006
Posts: 11
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Craig, that is a very creative approach and it seems to work well.
Thanks! Richard
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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My pleasure.
- Craig
Here to Help!
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