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Bollinger Bands (tightend to 90%) - John Bollinger
> > ----- Original Message -----
> > From: "Alberto Torchio" <atorchio@xxxxxxxxx>
> > To: "Realtraders" <realtraders@xxxxxxxxxxx>
> > Sent: Monday, October 23, 2000 2:27 AM
> > Subject: Simple question on Bollinger Bands
> >
> >
> > Dear Listmembers,
> >
> > I have been asked a simple question on Bollinger Bands and was unable to answer...
> > Could anyone tell me the number of standard deviations allowing to contain
> > within the bands 90% of price data?
> >
> > Alberto Torchio
> >  Torino, Italy


> ----- Oorspronkelijk bericht -----
> Van: "Lionel Issen"
> Aan: <metastock@xxxxxxxxxxxxx>
> Verzonden: dinsdag 24 oktober 2000 4:23
> Onderwerp: Re: Simple question on Bollinger Bands
>
>
> I cant find my statistics book, but I think its close to 2 std dev.
> Lionel Issen
> lissen@xxxxxxxxx


----- Oorspronkelijk bericht -----
Van: "michael"
Aan: <metastock@xxxxxxxxxxxxx>
Verzonden: vrijdag 27 oktober 2000 15:22
Onderwerp: RE: Simple question on Bollinger Bands


I don't know how come there are so many opinions on this.  1.28155 is the standard deviation equivilant of 90%.  If you plotted a 1.28155 standard deviation line above prices on a chart, 90% of the prices should theoretically fall below that line.  If the market follows the bell curve then this would be true.

Since you are probably using a lower standard deviation line also, the bottom line says that 90% of all values will be above the lower line. That leaves two 10% tails.  So in fact 80% of the values should occur in between the 2 lines.

If you want to know the standard deviation that is equivilant to 90%, I gaurantee it is 1.281.

If you want the area between the 2 lines to equal 90% then you need the standard deviation that correlates with 95%.  This will leave 5% tails on the normal distribution curve.  The standard deviation that correlates to 95% probability is 1.645.

Michael


-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of A.J. Maas
Sent: Thursday, October 26, 2000 10:12 PM
To: Metastock-List
Subject: Re: Simple question on Bollinger Bands


The mean=middle=0
and
100%=da width difference between "+1 stdev"{+100%} and "-1 stdev"{-100%}
thus
100%{2*1}=2*stdev(da,pds)   {width is then mean + 1*stdev up +1*stdev down}
and
50%{2*0.5}=1*stdev(da,pds)
then
90%{2*0.9}=1.8*stdev(da,pds)

Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
Homepage  http://home.planet.nl/~anthmaas


Re: Simple question on Bollinger Bands

To: <metastock@xxxxxxxxxxxxx>
Subject: Re: Simple question on Bollinger Bands
From: "A.J. Maas" <anthmaas@xxxxxxxxx>
Date: Sat, 28 Oct 2000 03:34:40 +0100
Organization: Ms-IRB
References: <NEBBIBJHKLGKBLOGAGNJIEHECEAA.mslist@xxxxxxxxxxxxxxxx>
Reply-To: metastock@xxxxxxxxxxxxx
Sender: owner-metastock@xxxxxxxxxxxxx

The Law According to Bartjens:

Bollinger Bands (tightend to 90%) - John Bollinger

{First, catching the BB's 100% of Price movement :}
UpperBand:= Mov( C,20,S ) + 1*( 2 * ( Std( C,20 ) ) );
MiddleBand:=Mov( C,20,S );
LowerBand:= Mov( C,20,S ) - 1*( 2 * ( Std( C,20 ) ) );
BandsWidth:= UpperBand - LowerBand;
{Second, now for catching 90% of Price movement}
BB100:= 1*BandsWidth;
BB90:= 0.9*BandsWidth;
{broken up, this then is equal to :}
sUpperBand:= mov( C,20,S ) + 0.9*( 2 * ( std( C,20 ) ) );
sMiddleBand:=mov( C,20,S );
sLowerBand:= mov( C,20,S ) - 0.9*( 2 * ( std( C,20 ) ) );
sBandsWidth:= sUpperBand - sLowerBand;
sUpperBand;
sMiddleBand;
sLowerBand;

sBandsWidth;

{Third, now to proove all is right, plot the BandsWidth's BB100%}
BB100;

{and plot the BB90%}

BB90;

{and plot the final difference outcome in $}
BB100-BB90;

{and plot the final difference outcome in %}
(BB100-BB90)/(BB100*0.01)

 

Just Copy+Paste into the Indicator Builder, and plot Bartjens Law.
Then:
- hold the mouse pointer onto one of the plotted lines, and peek in the small Tool Tips' Price window
or
- click the actual Data Window button.
 
The formula's to create the 90% Upper and Lower Bbands are then also printed above, using the 0.9 factor.
Note: That the sBandsWidth is plotted over the BB90 !!!!!.

From the above sound method, the 1.8 factor mentioned in the previous mail and below formula for the MSK stdev function use is thus {naturaly} correct.

                            90%{2*0.9}=1.8*stdev(da,pds)

Can't beat Bartjens !!!!.

Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
Homepage  http://home.planet.nl/~anthmaas

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