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Advanced Bollinger Band indicator - does it exist ?
Started:September 20th, 2011 (10:03 PM) by Overview Views / Replies:6,686 / 58
Last Reply:June 11th, 2013 (02:55 AM) Attachments:12

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Advanced Bollinger Band indicator - does it exist ?

Old September 20th, 2011, 10:03 PM   #1 (permalink)
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Advanced Bollinger Band indicator - does it exist ?

Hi All

I would like to use a more advanced Bollinger indicator, where I can show one middle band and up to 4 upper / lower bands instead of the normal 1.

Ideally this indicator will also, when applied to other indicators (rather than an instrument itself), show an option to use the indicator that is already in the target display panel, and also have customizable price markers.

It is possible to use the standard Bollinger indicator in NT7, but it is time-consuming to set up / change.

The other approach that would achieve a similar result might be a generic add-in so as to be able to show oscillator vertical scales in dual form - 1) the normal scale, and 2) normalized to the number of standard deviations from the mean (the mean ie.0 would also be shown) - then the period for calculating the mean and SD's could be something set in the add-in panel.

Anyone know of something like this - or something close ?

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Old September 21st, 2011, 04:26 AM   #2 (permalink)
Market Wizard
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Overview View Post
Hi All

I would like to use a more advanced Bollinger indicator, where I can show one middle band and up to 4 upper / lower bands instead of the normal 1.

Need to add some plots to the original Bollinger Bands.


Overview View Post
Ideally this indicator will also, when applied to other indicators (rather than an instrument itself), show an option to use the indicator that is already in the target display panel, and also have customizable price markers.

I am afraid that you will need to select the input series for the indicator manually when you apply it to a chart. Custumizable price markers can be coded, you would need to specify what you want to have customized.


Overview View Post
The other approach that would achieve a similar result might be a generic add-in so as to be able to show oscillator vertical scales in dual form - 1) the normal scale, and 2) normalized to the number of standard deviations from the mean (the mean ie.0 would also be shown) - then the period for calculating the mean and SD's could be something set in the add-in panel.

Not clear what you mean. Any indicator can be normalized and displayed relative to a scale of standard deviations, but how do you want to display a scale in dual form. If you display two scales, you will have two indicator lines on that panel as well.

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Old September 21st, 2011, 05:07 AM   #3 (permalink)
Urban Samurai
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Not sure what you're looking for, but I have something similar modeled that I've been watching/modifying for the past few weeks that is 'similar' to what the OP described, although probably not exactly.

That black line in the middle is the 0 standard Deviation. Then on each side of it is the first, second and third standard deviations.

Just modeling Bollinger bands themselves is a straightforward task and plotting Deviations on either side of the mean is easy. As FT suggested, applying that to a specific indie is pretty straightforward once adding it to the chart without going through custom programming.

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Advanced Bollinger Band indicator - does it exist ?-prime2011-09-21_040521.png  

Last edited by forrestang; September 21st, 2011 at 05:22 AM.
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Old September 21st, 2011, 09:14 AM   #4 (permalink)
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Hi again Fat Tails !

What I was trying to do was to plot ROC instead of scaled as a percentage, in units of Standard deviation. What I ended up doing was putting up the ROC indicator in a new panel, and then using 4 BB indicators, set to 1, 2 3 and 4 SDs, with a very long period so that the 0 line was substantially flat.

The issues I had were 1) that to change the ROC period, you have to change it in 5 places - in the ROC indicator, and AFAIK in the input series drop-down in each of the 4 BB indicators.

So through the above kludge, I have approximately what I am looking for, but it's pretty inelegant, and given I am to programming as fish are to bicycles, that is the best I am going to get unless someone has already done something similar.

If I were able to plot ROC (or any other indicator) in measures of SD, then I could if I want have 2 panels, one ROC in % and the other in SD measures, and then do the standard NT7 trick of selecting the plot in the second ROC panel and dragging it into the first, in which case the second scale will be placed on the LHS of the panel, and I can then see both plots in different colours. The other thing that can then be done if the scales are normalized in SDs is to have ROC plots in the same panel but with different periods.

@Fat Tails - what I originally had in mind was a way of selecting whether the scale is in its original units or is displayed in SDs - hence the idea of an add-in to avoid having to modify the code for every indicator. No idea whether this is even possible, but thought it worth a mention - SD scaled presentation might be useful to other people for other indicators / oscillators as well as ROC.

@ forrestang Sounds like your indicator would be a great start for my purposes - any chance of getting hold of it ? And how easy is it to add another BB ?

Thx


Last edited by Overview; September 21st, 2011 at 09:24 AM.
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Old September 21st, 2011, 09:18 AM   #5 (permalink)
Urban Samurai
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Overview View Post

@ forrestang Sounds like your indicator would be a great start - any chance of getting hold of it ? And how easy is it to add another BB ?

Thx

My indie is 'still under construction' at the moment. There are some other things going on with that with behind the scenes that I am sorting out with regards to what I want to see on the chart.

But if you just want an indicator that will plot Bollingers with the standard deviations where you input a fixed length, I can create one of those really quickly for you so that you see that on your chart.

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Old September 21st, 2011, 09:29 AM   #6 (permalink)
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Awesome !

@ forrestang - Wow that would be great -- thanks v much

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Old September 21st, 2011, 09:43 AM   #7 (permalink)
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Overview View Post
@ forrestang - Wow that would be great -- thanks v much

Anything else you can think of that you might want in there before I post it?

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Advanced Bollinger Band indicator - does it exist ?-prime2011-09-21_084309.png  
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Old September 21st, 2011, 10:07 AM   #8 (permalink)
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Overview View Post
@Fat Tails - what I originally had in mind was a way of selecting whether the scale is in its original units or is displayed in SDs - hence the idea of an add-in to avoid having to modify the code for every indicator. No idea whether this is even possible, but thought it worth a mention - SD scaled presentation might be useful to other people for other indicators / oscillators as well as ROC.
Thx

The ROC normalizes momentum by dividing through price. As instruments have different volatility, and as percentage changes depend on the bar period selected, you will not observe any uniform behaviour for all instruments and timeframes. You are absolutely right, if you want to use volatility to normalize price action. You have the choice between the average true range - this is what I personally prefer, because it is faster to calculate - and the standard deviation.

Normalizing means to divide the indicator value by the average true range or standard deviation and then display the result as a multiple. The point here is to find an appropriate look back period. Do you want to include price action of the night session or just use volatility observed during the day session? One solution that I have often adopted is to use the average true range over the entire chart. This is fast to calculate and - more important - stable. It will not slow down the indicator for real-time performance, as the calculation can be done once per bar - first tick of bar - only.

For the standard deviation, it can also be done over the entire chart period, if a modified formula is used.

I do not genereally recommend this as an add-on, but it can be done as an add-on as well. However, the add-on will be limited to oscillators, as you need a fixed reference such as 0 (momentum, MACD) or 50 (Stochastics, RSI) for calculating the bands.

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Old September 21st, 2011, 11:13 AM   #9 (permalink)
Urban Samurai
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Overview View Post
What I ended up doing was putting up the ROC indicator in a new panel, and then using 4 BB indicators, set to 1, 2 3 and 4 SDs, with a very long period so that the 0 line was substantially flat.

The issues I had were 1) that to change the ROC period, you have to change it in 5 places - in the ROC indicator, and AFAIK in the input series drop-down in each of the 4 BB indicators.

So through the above kludge, I have approximately what I am looking for, but it's pretty inelegant, and given I am to programming as fish are to bicycles, that is the best I am going to get unless someone has already done something similar.

As is now, you would still have add it to the chart panel you want, apply the data series of whatever your target indicator is, and left justify it depending on how you want it displayed. And you won't have to change the period in so many different places.

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Old September 22nd, 2011, 12:13 AM   #10 (permalink)
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@ forrestang


forrestang View Post
Anything else you can think of that you might want in there before I post it?

Oops - was n't watching the thread for a while .....
What you have is working nearly perfectly - I use daily charts a lot and if I have the data load set to 3650 days, and the ROC to say 10 days, if I set the period in the OverviewBB to be above about 2000 periods, the lines seem to disappear. I can survive with it as is but if it's a quick fix that would be great.

And if there were 4 BBs that would be really cool - that extra one can be useful sometimes. If it's too much effort no problem - and thanks very much for taking the time on what you have done.

@ Fat Tails

Appreciate the comments - my approach is a bit like yours - to set the SD period to the whole chart data load. The interesting thing about ROC as a % is that you see the offset and so can see the mean % increase per ROC period over the whole of the chart period.

If you want to compare ROC charts in the same panel, each with 2 different periods, by using the SD scale you can compare them more directly for variability. Horses for courses I guess. I'd not thought of using ATR for a similar purpose. You are way ahead of me Fat Tails - I was looking at using this for daily charts over 10 years for position rather than day or even swing. Going OT, I would be really interested to know how you use that type of chart - discretionary/automatic and how ? Maybe I can use what you are doing short term to help with much longer timeframes.

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