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Updated February 8, 2019
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April 16th, 2015, 11:39 PM
Berlin, Europe
Legendary Market Wizard
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,104
ElChacal
@
Fat Tails , one question. I noticed you use
SMA (3) as the smoother for your Bollinger Universal indicator. In case I wished to use "smoothed" VW
std . deviations, would you suggest to use (3) as the period or the same period as the Middle band? Assuming I am using a VWMA.
I know this is a VERY OPEN, kinda silly question but you have a lot of experience with these indicators and can probably share some of your preferences.
Once again, thanks for all your indicators.
I just wanted to smooth the bands a little bit. I could have used a period of 2 or 3. If you use a larger period, the bands will be out of whack, not recommended.
The Bollinger Universal does not come with a formula for the volume-weighted standard deviation . It just uses the default standard deviation that comes with NinjaTrader .
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
April 17th, 2015, 12:43 AM
Houston, TX
Experience: Intermediate
Platform: NinjaTrader TWS Barchart
Broker: IB / IB
Trading: SPY, QQQ
Posts: 419 since Nov 2014
Thanks Given: 474
Thanks Received: 278
Well, here's an indicator I made with Volume Weighted Std Dev bands and uses VWMA / VWAP as Middle band options.
I briefly backtested it and the results were not significantly better than standard Bollinger. Will keep digging.
Attached Files
Elite Membership required to download: VWBands.zip
April 17th, 2015, 05:56 AM
Berlin, Europe
Legendary Market Wizard
Experience: Advanced
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Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
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ElChacal
Well, here's an indicator I made with Volume Weighted
Std Dev bands and uses VWMA /
VWAP as Middle band options.
I briefly backtested it and the results were not significantly better than standard Bollinger. Will keep digging.
My volume-weighted standard deviation bands look definitely different from yours.
What I meant is to use an algorithm that takes into account contract value, when calculating the standard deviation (blue bands).
You have applied a magic volume formula to the non-volume-weighted standard deviation, which is leads to a different result (orange bands).
The idea is to calculate the standard deviation of the underlying price volume distribution by using all information available through the chart.
April 17th, 2015, 09:10 AM
Houston, TX
Experience: Intermediate
Platform: NinjaTrader TWS Barchart
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Trading: SPY, QQQ
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Oh I see... Right, I basically smoothed out the bands, I didn't find much reason behind that either.
April 17th, 2015, 09:10 AM
Wrocław, Poland
Experience: Intermediate
Platform: NinjaTrader, Racket
Trading: Ockham's razor
Posts: 649 since Aug 2009
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@ElChacal , here is an example of Volume Weighted Standard Deviation - haven't tested it thoroughly as I've just written it inspired by @Fat Tails last post. Feel free to apply it to your bands.
Green in the picture is Volume Weighted, yellow is original Standard Deviation:
EDIT: I've replaced the file with a cleaner version with no for loop.
Attached Files
Elite Membership required to download: VWStdDev.zip
April 17th, 2015, 10:00 AM
Houston, TX
Experience: Intermediate
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Trading: SPY, QQQ
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shodson
Counter-trend trading is not necessarily the same as
mean reversion trading, at least not for me. Much of my trading is done by buying pullbacks in a longer-term up-trends or selling rallies in longer-term down-trends, so I'm counter a short-term move that is contrary to the longer-term trend. Exits are at an established mean. This works quite well in trending and sideways markets, but when the longer-term trend changes or the pull-back is deep, it can be painful. Over time though this has worked very well for me.
I agree that any strategy should have some "trend filter", pure counter-trend is a killing tomato.
@shodson what indicators do you use? channels, patterns, oscillators?
April 17th, 2015, 01:13 PM
Berlin, Europe
Legendary Market Wizard
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gregid
@
ElChacal , here is an example of Volume Weighted
Standard Deviation - haven't tested it thoroughly as I've just written it inspired by @
Fat Tails last post. Feel free to apply it to your bands.
Green in the picture is Volume Weighted, yellow is original Standard Deviation:
EDIT: I've replaced the file with a cleaner version with no for loop.
That comes close to the standard deviation that I use.
In addition to the weighting I have modelled each bar from 6 data points (open, high, low,close, mean, body mean). Also it is possible to replace the summing up with a faster recursive algorithm.
The chart below shows the comparison, the green one is yours, the red one is my version of the volume-weighted standard deviation.
April 17th, 2015, 03:56 PM
Wrocław, Poland
Experience: Intermediate
Platform: NinjaTrader, Racket
Trading: Ockham's razor
Posts: 649 since Aug 2009
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@Fat Tails ,
I tweaked the code a bit to implement the 6 point data input value in the simplest way I could think of - the results resemble your version much more than my initial version. I like the smoothness of the plot.
(Red - 6 points data input, Green my original submission):
Attached Files
Elite Membership required to download: VWStdDevExperiment.zip
April 17th, 2015, 04:11 PM
Hanover, Germany
Legendary Amateur Trader
Experience: Beginner
Platform: NinjaTrader
Trading: ES
Posts: 1,941 since Apr 2014
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Sorry for off-topic but while reading your screen name I thought to myself:
"gregid. Sounds like grexit. Now THAT one would be a "mean" reversion ..."
gregid
@
Fat Tails ,
I tweaked the code a bit to implement the 6 point data input value in the simplest way I could think of - the results resemble your version much more than my initial version. I like the smoothness of the plot.
(Red - 6
points data input, Green my original submission):
April 17th, 2015, 04:15 PM
Wrocław, Poland
Experience: Intermediate
Platform: NinjaTrader, Racket
Trading: Ockham's razor
Posts: 649 since Aug 2009
Thanks Given: 320
Thanks Received: 623
Scalpingtrader
Sorry for off-topic but while reading your screen name I thought to myself:
"gregid. Sounds like grexit. Now THAT one would be a "mean"
reversion ..."
No matter how mean that would be I would rather go momentum in such case
Last Updated on February 8, 2019