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Volatility Bands as a Long Term Strategy by Ahmet and Suzan Tezel
This article "Volatility Bands As A Long Term Strategy",by Ahmet Tezel, Ph.D.,
and Suzan Koknar-Tezel, M.S., which appears in this issue introduces two different volatility band trading systems. One systemuses bands based on moving averages and the other is based on bands whichuse regression. To plot the Moving Average Asymmetric Volatility Price Bandsin MetaStock for Windows, simply plot Bollinger Bands using 11 periods and 1.7 standard deviations. Then click your right-mouse button while the cursoris over the lower band and choose properties. Change the standard deviations to 2. This plot will now appear exactly as the bands discussed in the article.

To plot the Regression Asymmetric Volatility Price Bands in Metastock for Windows, simply plot Standard Error Bands using 21 periods, 1 for standard errors, and 1 for the smoothing periods. Then click your right-mouse button while the cursor is over the lower band and choose properties. Change the standard errors to 1.5.

To recreate the systems in MetaStock for Windows, choose System Tester from the Tools menu. Next choose New and enter the following trading rules and stop conditions. After entering this information, choose Options and change the trade delay to 1, then change the Trade Price to Open. If you have MetaStock 6.5 enter the first set of formulas. MetaStock 6.5 allows variables which will allow you to change the periods when testing much more easily.

MovAvg Asymmetric Volatility Price Bands

Enter Long:

Periods := 11;
UpperBand := BBandTop(CLOSE,Periods,S,1.7);

BuySignal1 := Sum(CLOSE > UpperBand,3) = 3;
BuySignal2 := CLOSE > UpperBand AND Ref(LOW,-1) > Ref(upperband,-1);
BuySignal3 := LOW > UpperBand AND Ref(CLOSE,-1) > Ref(upperband,-1);
BuySignal4 := CLOSE > UpperBand AND CLOSE > 1.4 * LLV(LOW,Periods + 1) AND Mov(VOLUME,3,S) > 2000 {assuming volume in 100's otherwise use200000} AND Mov(HIGH,3,S) > UpperBand AND Mov(HIGH - LOW,3,S) > Mov(HIGH- LOW,Periods,S);

BuySignal1 OR BuySignal2 OR BuySignal3 OR BuySignal4

Close Long:

Periods := 11;
LowerBand := BBandBot(CLOSE,Periods,S,2);
SellSignal1 := Sum(CLOSE < LowerBand,3) = 3;
SellSignal2 := CLOSE < (1-.18) * HHV(HIGH,Periods + 1) AND Sum(CLOSE < LowerBand,2) = 2;
SellSignal3 := CLOSE < (1-.18) * HHV(HIGH,Periods + 1) AND HIGH < LowerBand;
SellSignal1 OR SellSignal2 OR SellSignal3


STOPS
-----
Maximum Loss: LONG ONLY

10.00 Percent

 

 

Regression Asymmetric Volatile Price Band

Enter Long:

Periods := 21;
UpperBand := STEBandTop(CLOSE,Periods,1) ;
Sum(CLOSE > UpperBand,3) = 3 AND LinRegSlope(CLOSE,21) > 0 AND ROC(Correl(CLOSE,Cum(1) ,21,0),2,$) >= .2


Close Long:

Periods := 21;
LowerBand := STEBandBot(CLOSE,Periods,1.5) ;
SellSignal1 := Sum(CLOSE < LowerBand,3) = 3;
SellSignal2 := CLOSE < (1-.18) * HHV(HIGH,Periods + 1) AND HIGH < LowerBand;
SellSignal1 OR SellSignal2

STOPS
-----
Maximum Loss: LONG ONLY

10.00 Percent

 

 
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