1997issue C101-4
Asymmetric volatility band construction
Two reconstructions plot unequal upper and lower bands around an 11-period moving-average envelope or a 21-period regression envelope. Lookback, width, confirmation, slope, correlation, volume, and range are written as separate rules rather than one plotted envelope.
- One reconstruction plots an 11-period moving-average envelope with a 1.7-deviation upper band and a 2-deviation lower band. A second plots a 21-period regression envelope with one standard-error unit above the fit and 1.5 units below it.
- A long entry can require three consecutive closes above the upper moving-average band. The Linear regression reconstruction can also require a positive 21-period slope and a correlation-change threshold of at least 0.2.
- An alternative long-entry path adds a close more than 1.4 times the lookback low, a three-period volume average above a stated threshold, a three-period high average above the upper band, and a three-period range average above the longer-period range average. Exits, a one-bar fill delay, next-open evaluation, and a long-only 10 percent maximum-loss stop sit beside the bands.
- Editorial: treating lookback, deviation width, slope and correlation filters, and multi-bar confirmation as separate knobs makes band construction testable instead of leaving a single plotted envelope unexplained.
Two envelopes with unequal widths
One reconstruction plots an 11-period moving-average envelope with a 1.7-deviation upper band and a 2-deviation lower band.
A second reconstruction plots a 21-period regression envelope with one standard-error unit above the fit and 1.5 units below it. That second center line is a Linear regression fit, not a Moving average.
Confirmation and regression filters
A long entry can require three consecutive closes above the upper moving-average band.
The regression reconstruction can require a positive 21-period slope and a correlation-change threshold of at least 0.2 before a long entry is valid.
An alternative long-entry path
An alternative long-entry path combines a close above the upper moving-average band with a close more than 1.4 times the lookback low, a three-period volume average above a stated threshold, a three-period high average above the upper band, and a three-period range average above the longer-period range average.
Exits, fills, and the stop
A long exit can require three consecutive closes below the lower band, or a close more than 18 percent under the lookback high together with further lower-band weakness.
Both reconstructions delay fills by one bar and evaluate trades at the open after a signal. Both reconstructions attach a long-only maximum-loss stop of 10 percent.
All readings on this track · 45 readings
- 1992Constructing volatility-scaled bands with relative strength index confirmation
- 1994Implied volatility as a band-defined regime filter for index options
- 1995Constructing projection bands from least-squares slopes
- 1995Constructing regression projection bands and range oscillators
- 1996Constructing Bollinger bands, percent-b, and stochastics
- 1996Constructing mechanical rules from Bollinger Bands and stochastics
- 1996Constructing a standard-error envelope around a linear regression
- 1996Dual-horizon ratio envelopes and regression error channels
- 1997Rational group structure with a trend screen, RSI, and bands
- 1997Asymmetric volatility band construction
- 1998Constructing three-state filters from Bollinger band envelopes
- 1999Combination filters with Bollinger Bands and the relative strength index
- 1999Constructing stochastic timed exits and band-RSI reversals
- 1999Evaluating Bollinger Bands against fixed-width and range-based envelopes
- 2000Constructing a Bollinger Band target as a forward price
- 2001Numeric candlestick encoding with local size bands
- 2001Ranked candlestick sentiment to band-cross entries
- 2002Combining Bollinger Bands, RSI, and a stop-loss
- 2002Bollinger Bands remain filters, not forecasts
- 2002Constructing a stochastic RSI with Bollinger bands
- 2002Constructing a StochRSI and Bollinger mechanical system
- 2003Constructing volatility-scaled Bollinger envelopes
- 2003Why tick breadth fails as a market personality
- 2005Constructing Bollinger bands versus fixed trading bands
- 2006Squared versus absolute deviation in envelope construction
- 2006Confirming yen crossovers with implied volatility and bands
- 2006A daily candle reversal is a hypothesis until shorter sessions fail at the same zone
- 2008Rebuild the Relative Strength Index as price-scale bands
- 2008Reading Relative Strength Index extremes on one price axis with Bollinger Bands and moving averages
- 2011Three-filter confirmation for short-swing futures
- 2011Constructing an inverse Fisher stochastic with bands and averages
- 2012Constructing a Bollinger Band indicator suite
- 2012Stacking price extremes, crossovers, bands, and MACD
- 2012Adaptive Bollinger band impulse, trend, and momentum filters
- 2013Rescaling stochastic, percent-B, and wave-count parameters
- 2014Industry-group quartile pivots as a Bollinger Bands case study
- 2014Bollinger Bands as adaptive price envelopes: a 2014 classroom case
- 2016Trend-channel entry rules from stacked moving averages
- 2016A permission stack for Bollinger, RSI, and the 50-period average
- 2017Constructing weighted Bollinger bands and volume averages
- 2017Four swing-entry rules that share a timed exit
- 2017Two-wave monthly cycles as a regime filter
- 2019Constructing exponential-deviation-bands from a midline-average
- 2020Critiquing exponential variants of Bollinger Bands
- 2020Constructing selectable volatility and moving-average bands