Smoothed %B - Wealth Lab Forum

Smoothed %B

Author: SlickChick

Creation Date: 5/2/2018 4:08 PM

Wealth Lab » Technical Indicators » Smoothed %B

SlickChick

5/2/2018 4:08 PM

Looking for help in creating a double-smoothed %b, the derivative indicator taken from Bollinger bands..
A %b of the %b indicator.... pctbpctb(20,20,2);

Thanks in advance

Eugene

5/2/2018 4:43 PM

Applying a MA on %b is trivial but %b per se is not an automatic smoother of another DataSeries like %b. It's not a moving average. Here's an example from %B thread:

CODE:
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Another example is Bollinger Band System 1 (Altucher):

CODE:
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So how exactly do you define your own formula that does %b of %b? I cannot find any reference on the web.

A moving average of the the %b calculation is taken.
Bollinger Bands are place around the %b calculation and a %b is derived from those values.

Specifically what I'm trying to do is to take the system that you coded back in 2009 and make it more responsive with this adaptation of the %b indicator.

CODE:
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Size:

Color:

A moving average of the the %b calculation is taken.
Bollinger Bands are place around the %b calculation and a %b is derived from those values.

Specifically what I'm trying to do is to take the system that you coded back in 2009 and make it more responsive with this adaptation of the %b indicator.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
   public class test : WealthScript
   {
      protected override void Execute()
      {
         int bbPer = 20; double bbSD = 2.0;
         BBandLower bbL = BBandLower.Series( Close, bbPer, bbSD );
         BBandUpper bbU = BBandUpper.Series( Close, bbPer, bbSD );
         PlotSeriesFillBand( PricePane, bbU, bbL, Color.Silver, Color.Empty, LineStyle.Solid, 2);
                  
         DataSeries PctBBW = ( ( bbU - bbL ) / SMA.Series( Close, bbPer ) );// * 100;
         PctBBW.Description = "% BB Width";
         ChartPane PctBBWPane = CreatePane( 30, true, true );
         PlotSeries( PctBBWPane, PctBBW, Color.Silver, LineStyle.Solid, 2 );
         DrawHorzLine( PctBBWPane, 0.20, Color.Red, LineStyle.Dashed, 2 );
         
         DataSeries consec = new DataSeries(Bars, "Consecutive Days of %B Lower than 0.2");
         for(int i = Bars.Count - 1; i >= 0; i--)
         {
            int cd = 0;
            int b = i;
            while(b >= 0 && PctBBW[b] < 0.2)
            {
               cd++;
               b--;
            }
            consec[i] = cd;
         }
         
         ChartPane cdPane = CreatePane(35, true, true);
         PlotSeries(cdPane, consec, Color.Maroon, WealthLab.LineStyle.Histogram, 3);
         SetBarColors( Color.Silver, Color.Silver );
         SMA sma200 = SMA.Series( Close, 200 );
         
         for(int bar = sma200.FirstValidValue; bar < Bars.Count; bar++)
         {
            if (IsLastPositionActive)
            {
               if( PctBBW[bar] > 0.8 )
               {
                  SetBackgroundColor( bar, Color.FromArgb( 50, Color.Blue ) );
                  SellAtMarket( bar+1, LastPosition );
               }
            }
            else
            {
               if( ( consec[bar] >= 3 ) && ( Close[bar] > sma200[bar] ) )
               {
                  SetBackgroundColor( bar, Color.FromArgb( 50, Color.Red ) );
                  BuyAtClose( bar );
               }
            }            
         }
      }
   }
}[/code]

Eugene

5/2/2018 5:36 PM

QUOTE:
A moving average of the the %b calculation is taken.

A moving average of %b (or any other indicator for that purpose) consists of passing the indicator's DataSeries to the MA. It's nothing different from applying SMA to Close as you can find in the online guide.