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2020issue C0918-23

Constructing selectable volatility and moving-average bands

A combined overlay is built so one true or false input draws either a volatility channel or a standard-deviation envelope around price, while a separate middle-line can be omitted or computed on its own settings. The same construction is described as supporting later comparison of entry and exit procedures as one testable sequence.

  • One true or false input draws either a volatility-band channel or a standard-deviation envelope around price.
  • In envelope mode, the upper and lower lines are a chosen deviation multiple of the standard deviation of closes around a simple moving average of closes.
  • The middle-line can be omitted with a zero period or computed separately by average method and price input.
  • The same overlay is described as supporting later comparison of basic then faster entry and exit procedures as one testable sequence.
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Current trackBollinger Bands84 readingsTrend following89 readingsMoving average449 readings

A selectable band overlay

The combined overlay, scvolatilityband, is built so one true or false input draws either a volatility channel or a standard-deviation envelope around price. In the standard-deviation form, the overlay is an envelope of upper and lower lines placed a chosen number of standard deviations away from a simple moving average of closing prices. The other choice is a volatility-band, a selectable alternative envelope whose width tracks a volatility range rather than a fixed-time standard-deviation multiple.

Envelope mode

When the envelope mode is selected, upper and lower lines are a chosen deviation multiple of the standard deviation of closes around a simple moving average of closes. An illustrative envelope construction uses a 20-bar simple moving average of closes and a 2.4 standard-deviation multiple, without applying a low-band adjustment used in the other mode.

An independent middle-line

The middle-line can be omitted with a zero period or computed separately with simple, exponential, smoothed, or linear-weighted averaging on close, open, high, low, median, typical, or weighted price. That moving-average is a smoothed midline computed from a chosen lookback, average method, and price input, used as the band center or as a separate support or trend line.

A band-squeeze illustration

On a daily Nasdaq illustration, a 20-day average and 2-deviation envelope narrows when volatility falls and widens when volatility rises, with three squeezes marked in an uptrend. A band-squeeze is that narrowing of the envelope when measured volatility falls, later widening when volatility rises.

A volatility-channel illustration

A volatility-channel illustration uses a 30-day band average, a 2.4 volatility range, a 0.9 low-band adjustment, a 15-day linear-weighted midline on weighted close, and a 55-day linear-weighted line on lows.

A later testable sequence

The same overlay is described as supporting later comparison of basic then faster entry and exit procedures on matching daily Nasdaq charts and periods. A stated long-side procedure treats a break of the 15-day linear-weighted midline from the lower envelope, continued support above that line or the 55-day low average, and a close back through that average after a double top as one testable sequence. That procedure is trend-following: a rule set that opens, holds, or closes positions when price and selected averages confirm continuation rather than a standalone forecast.

Nasdaq CFD with a 20-day Bollinger middle line, 2017 uptrend

Daily Nasdaq CFD price climbs through 2017, pauses twice mid-trend, then squeezes into a January 2018 spike that fails. Closes and the 20-day middle line were read from the printed Figure 2 candlestick chart; the article does not tabulate this series, so the levels are approximate.
Daily Nasdaq CFD price climbs through 2017, pauses twice mid-trend, then squeezes into a January 2018 spike that fails. Closes and the 20-day middle line were read from the printed Figure 2 candlestick chart; the article does not tabulate this series, so the levels are approximate.Nasdaq CFD · daily · 2017-01-26T00:00:00.000Z to 2018-01-18T00:00:00.000Z

Article states Bollinger settings of a 20-day average and 2 standard deviations. Upper and lower bands are too faint on the raster to digitize, so only close and the visible middle line are returned. Prices rounded to 10 points.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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All readings on this track · 45 readings
  1. 1992Constructing volatility-scaled bands with relative strength index confirmation
  2. 1994Implied volatility as a band-defined regime filter for index options
  3. 1995Constructing projection bands from least-squares slopes
  4. 1995Constructing regression projection bands and range oscillators
  5. 1996Constructing Bollinger bands, percent-b, and stochastics
  6. 1996Constructing mechanical rules from Bollinger Bands and stochastics
  7. 1996Constructing a standard-error envelope around a linear regression
  8. 1996Dual-horizon ratio envelopes and regression error channels
  9. 1997Rational group structure with a trend screen, RSI, and bands
  10. 1997Asymmetric volatility band construction
  11. 1998Constructing three-state filters from Bollinger band envelopes
  12. 1999Combination filters with Bollinger Bands and the relative strength index
  13. 1999Constructing stochastic timed exits and band-RSI reversals
  14. 1999Evaluating Bollinger Bands against fixed-width and range-based envelopes
  15. 2000Constructing a Bollinger Band target as a forward price
  16. 2001Numeric candlestick encoding with local size bands
  17. 2001Ranked candlestick sentiment to band-cross entries
  18. 2002Combining Bollinger Bands, RSI, and a stop-loss
  19. 2002Bollinger Bands remain filters, not forecasts
  20. 2002Constructing a stochastic RSI with Bollinger bands
  21. 2002Constructing a StochRSI and Bollinger mechanical system
  22. 2003Constructing volatility-scaled Bollinger envelopes
  23. 2003Why tick breadth fails as a market personality
  24. 2005Constructing Bollinger bands versus fixed trading bands
  25. 2006Squared versus absolute deviation in envelope construction
  26. 2006Confirming yen crossovers with implied volatility and bands
  27. 2006A daily candle reversal is a hypothesis until shorter sessions fail at the same zone
  28. 2008Rebuild the Relative Strength Index as price-scale bands
  29. 2008Reading Relative Strength Index extremes on one price axis with Bollinger Bands and moving averages
  30. 2011Three-filter confirmation for short-swing futures
  31. 2011Constructing an inverse Fisher stochastic with bands and averages
  32. 2012Constructing a Bollinger Band indicator suite
  33. 2012Stacking price extremes, crossovers, bands, and MACD
  34. 2012Adaptive Bollinger band impulse, trend, and momentum filters
  35. 2013Rescaling stochastic, percent-B, and wave-count parameters
  36. 2014Industry-group quartile pivots as a Bollinger Bands case study
  37. 2014Bollinger Bands as adaptive price envelopes: a 2014 classroom case
  38. 2016Trend-channel entry rules from stacked moving averages
  39. 2016A permission stack for Bollinger, RSI, and the 50-period average
  40. 2017Constructing weighted Bollinger bands and volume averages
  41. 2017Four swing-entry rules that share a timed exit
  42. 2017Two-wave monthly cycles as a regime filter
  43. 2019Constructing exponential-deviation-bands from a midline-average
  44. 2020Critiquing exponential variants of Bollinger Bands
  45. 2020Constructing selectable volatility and moving-average bands
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