Better Bollinger Bands for Metastock

maestro

almost 14 years ago

Metastock

In an article in Futures Magazine, October 1998, Dennis McNicholl describes the
use of Bollinger Bands (BB) and provides a means of making them tighter when markets are trending. He calls them Better Bollinger Bands.

In the Oct issue of “Futures” there is an article written by Dennis McNicholl called “Better Bollinger Bands”. In his article he describes how in a trending market the center band of the B.B. will shift away from the “mean” value of the price, and that the two outer bands will shift outward to such an extent that the envelope loses its utility as a volatility gauge (these are his words… not mine). As usual “Futures” only posted the TradeStation code, so this is my conversion from it. He called the Indicator “Denvelope”, and it runs the bands much closer….. similar to “StandardError Bands”.

Screenshots

Files

Indicator / Formula

Lb:=Input("Look-Back Period ?",3,100,20);
De:=Input("Band Deviation ?",.5,3,2);
Alp:=2/(Lb+1);
Mt:=Alp*CLOSE+(1-Alp)*PREV;
Ut:=Alp*Mt+(1-Alp)*PREV;
Dt:=((2-Alp)*Mt-Ut)/(1-Alp);
mt2:=Alp*Abs(C-Dt)+(1-Alp)*PREV;
ut2:=Alp*mt2+(1-alp)*PREV;
dt2:=((2-Alp)*mt2-ut2)/(1-Alp);
But:=Dt+de*dt2;
Blt:=Dt-de*dt2;
But;
Dt;
Blt;

pds:=Input("Periods",2,200,20);
sd:=Input("Standard Deviations",.01,10,2);
alpha:=2/(pds+1);
mt:=alpha*C+(1-alpha)*(If(Cum(1)<pds,C,PREV));
ut:=alpha*mt+(1-alpha)*(If(Cum(1)<pds,C,PREV));
dt:=((2-alpha)*mt-ut)/(1-alpha);
mt2:=alpha*Abs(C-dt)+(1-alpha)*PREV;
ut2:=alpha*mt2+(1-alpha)*PREV;
dt2:=((2-alpha)*mt2-ut2)/(1-alpha);
but:=dt+sd*dt2;
blt:=dt-sd*dt2;
dt;
but;
blt

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