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 Gold Customer
Joined: 10/7/2004
Posts: 17
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Looking to construct a formula for 2 standard deviations above and below the 20 moving average .The bollingrr bands are only a given point difference from the moving average and not considered stand dev .
Other posted notes refer to regression lines .I am requesting the Stand dev formula.
Below is what I have worked on so far .Maybe it might be helpful:
= SQR( (1/20) -1 *( (C20-20)^2+(C19-20) ^2 + (C18-20)^2+(C17-20)^2+(C16-20)^2 +(C15-20)^2+(C14-20)^2+(C13-20)^2+(C12-20)^2+(C11-20)^2+(C10-20)^2+(C9-20)^2+(C8-20)^2+(C7-20)^2+(C6-20)^2+(C5-20)^2+(C4-20)^2+ ( C3-20)^2+(C2-20)^2+(C1-20)^2 +C-20)^2)
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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A Bollinger Band with a Period and Width of 20 is 2 Standard Deviations above and below the 20 Period Simple Moving Average. Here is one way to write a formula for 2 times the 20-Period Standard Deviation:
2*SQR(((C-AVGC20)^2 +(C1-AVGC20)^2 +(C2-AVGC20)^2 +(C3-AVGC20)^2 +(C4-AVGC20)^2 +(C5-AVGC20)^2 +(C6-AVGC20)^2 +(C7-AVGC20)^2 +(C8-AVGC20)^2 +(C9-AVGC20)^2 +(C10-AVGC20)^2 +(C11-AVGC20)^2 +(C12-AVGC20)^2 +(C13-AVGC20)^2 +(C14-AVGC20)^2 +(C15-AVGC20)^2 +(C16-AVGC20)^2 +(C17-AVGC20)^2 +(C18-AVGC20)^2 +(C19-AVGC20)^2)/19)
You may be interested in the following:
Modelling Bollinger Bands (& Standard Deviation) in a TC PCF
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Gold Customer
Joined: 10/7/2004
Posts: 17
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Bruce,
In your last meassage to me regarding stand dev, you equated setting period and width to 20 and then calling this 2 standard dev. I don't think this is correct. Bollinger is a just a preset distance of 20 .The stand dev as meassured by % dispersion from the mean varies from asset to asset .By setting the width to 20 assumes all stocks have the same stand dev. If i am wrong ,I stand corrected.
thankyou ,
Dr Silverhardt
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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It is not a preset width. The Bollinger Bands are calculated for each stock individually based on their Standard Deviation. You should be able to verify this for yourself by looking at different stocks where Bollinger Bands are applied to price.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 12/19/2004
Posts: 17
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I would like to know exactly what a standard deviation is equal to. I have looked in various places, and have not been able to find out what the value of a standard deviation is and whether it can change its value based on whatever program is being used.
davemc
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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When channel lines are drawn 1 standard deviation above and below a moving average, price will fall within the channel 67% of the time. With 2 standard deviations, price will fall within the channel 95% of the time.
- Doug
Teaching Online!
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Registered User
Joined: 1/1/2005
Posts: 2,645
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A Gaussian random variable falls within 1 standard deviation of its mean 68% of the time, within 2 standard deviations of its mean 95% of the time, and within 3 standard deviations of its mean 99.7% of the time.
The above is not directly applicable to Bollinger Bands in TC2005. For example, with a Bollinger Band setting of (2,10), the Close falls within the bands 100% of the time.
Thanks,
Jim Murphy
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