Registered User
Joined: 10/7/2004
Posts: 71
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A leading authority on Options Trading uses a mBB (Modified Bollinger Bands) very effectively. He publishes weekly newsletters and uses the mBB in analyzing SPY in particular.His mBB is based on the Standard Deviation of daily price percentage changes. His mBB utilizes 3 and 4 std dev instead of 2.
Can you set this modifed Bollinger Band up as an indicator for my use?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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That is actually not enough information to really go on. I would suspect this could be done using a Custom PCF Channel Indicator using the following settings, but this involves a lot of guessing on my part as to the actual calculations.
- Period: 1
- Average Type: Doesn't matter (because the Period is 1).
- Width Multiplier: 3 or 4
- Indicator Line Formula: AVGC20
- Channel Width Formula: C * SQR(ABS(SUM((C / C1) ^ 2, 20) - SUM(C / C1, 20) ^ 2 / 20) / 20)
The C at the beginning of the Channel Width Formula would make sense using AVGC20 as well. That is one of the questions your description doesn't answer. Using C would make the indicator more responsive while using AVGC20 would make the indicator smoother.
-Bruce
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Registered User
Joined: 10/7/2004
Posts: 71
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It seemed to me the mBB is basically the same as regular Bollinger Bands. The difference is instead of using daily closing prices, he is using the percent difference each day. Instead of using a regular Std Dev of 2, he is using 3Std Dev and 4 Std Dev.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The indicator supplied is one interpreation of this idea (there are certainly others and I will not explore them without a more concrete definition). Please give it a try.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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