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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.
@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.
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?
Fat Tails
Berlin, Europe
Market Wizard
Experience: Advanced
Platform: NinjaTrader, MultiCharts
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Trading: Keyboard
Posts: 9,888 since Mar 2010
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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.
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):