Higher time Frame Bollinger Band

• 04/15/2020 at 12:55 AM #126191
  Darcy

  I can’t find using the search

  What I would like is to add the bollinger bands to a daily chart but that it displays the weekly bollinger bands

  Any help much appreciated

   

  David

  

  Darcy

  Participant

  Topics: 5

  Replies: 9

  Been thanked: 0 times
  04/15/2020 at 8:55 AM #126209
  Vonasi

  Multi Time Frame is not currently available for indicators. It was due for release quite soon but Covid-19 has put a delay on most new releases on the platform.

  As a work around you can create a dummy MTF strategy which draws the weekly bollinger bands on the daily chart.

  Also if you are using v11 which has arrays then it should be possible to create an array of recent weekly closing prices and then calculate our own standard deviation of them to use to calculate our own bollinger bands.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/15/2020 at 9:50 AM #126216
  Vonasi

  Here is the dummy MTF strategy:

  timeframe(weekly) p = 20 upper = bollingerup[p] lower = bollingerdown[p] middle = average[p] buy at -close limit graphonprice upper graphonprice lower graphonprice middle

  1 2 3 4 5 6 7 8 9 10 11

  timeframe(weekly) p = 20 upper = bollingerup[p] lower = bollingerdown[p] middle = average[p]   buy at -close limit   graphonprice upper graphonprice lower graphonprice middle

   

  1 user thanked author for this post.

  Darcy

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/15/2020 at 12:13 PM #126260
  Vonasi

  Here is the code for an indicator on PRTv11 that draws weekly bollinger bands on the daily chart. It updates the lines on Monday.

  //Weekly Bollinger Bands On Faster Time Frame chart //PRTv11 //By Vonasi //Date: 20200415 p = 20 deviations = 2 //store each weeks close if opendayofweek < opendayofweek[1] then a = a+1 $price[a] = close[1] if a >= p then //get a mean of last p weeks close price total = 0 for b = a downto a-p+1 total = total + $price[b] next avg = total/p //calculate standard deviation total = 0 for b = a downto a-p+1 total = total + (square($price[b]-avg)) next stdev = sqrt(total/p) //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif endif return upper as "upper", lower as "lower", avg as "avg"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36

  //Weekly Bollinger Bands On Faster Time Frame chart //PRTv11 //By Vonasi //Date: 20200415   p = 20 deviations = 2   //store each weeks close if opendayofweek < opendayofweek[1] then a = a+1 $price[a] = close[1]     if a >= p then //get a mean of last p weeks close price total = 0 for b = a downto a-p+1 total = total + $price[b] next avg = total/p   //calculate standard deviation total = 0 for b = a downto a-p+1 total = total + (square($price[b]-avg)) next stdev = sqrt(total/p)   //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif endif   return upper as "upper", lower as "lower", avg as "avg"

   

  2 users thanked author for this post.

  Zinc, AlgoAlex

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/16/2020 at 2:51 AM #126344
  Darcy

  Thanks

  That works well 😉

  

  Darcy

  Participant

  Topics: 5

  Replies: 9

  Been thanked: 0 times
  04/17/2020 at 6:51 PM #126638
  Vonasi

  Here is a version of the above code that instead of updating only on the first day of the week just like TIMEFRAME(WEEKLY,UPDATEONCLOSE) behaves more like TIMEFRAME(WEEKLY,DEFAULT) and updates every candle.

  PRTv11 only due to the use of arrays.

  //Weekly Bollinger Bands on Faster Time Frame updating every candle. //By Vonasi //Date: 20200415 //p = 20 //deviations = 2 once upper = undefined once lower = undefined once avg = undefined //store each occurance if opendayofweek < opendayofweek[1] then a = a+1 $price[a] = close[1] endif if a+1 >= p then $price[a+1] = close //get a mean of last p weeks close price total = 0 for b = a+1 downto a-p+2 total = total + $price[b] next avg = total/p //calculate standard deviation total = 0 for b = a+1 downto a-p+2 total = total + (square($price[b]-avg)) next stdev = sqrt(total/p) //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif return upper as "upper", lower as "lower", avg as "avg"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40

  //Weekly Bollinger Bands on Faster Time Frame updating every candle. //By Vonasi //Date: 20200415   //p = 20 //deviations = 2   once upper = undefined once lower = undefined once avg = undefined   //store each occurance if opendayofweek < opendayofweek[1] then a = a+1 $price[a] = close[1] endif   if a+1 >= p then $price[a+1] = close //get a mean of last p weeks close price total = 0 for b = a+1 downto a-p+2 total = total + $price[b] next avg = total/p   //calculate standard deviation total = 0 for b = a+1 downto a-p+2 total = total + (square($price[b]-avg)) next   stdev = sqrt(total/p)   //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif   return upper as "upper", lower as "lower", avg as "avg"

   

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/19/2020 at 10:55 PM #126966
  Darcy

   

  Thank you for that, however when I attempt to create the indicator I get the following message:

  The following variable is undefined;deviations, P

  

  Darcy

  Participant

  Topics: 5

  Replies: 9

  Been thanked: 0 times
  04/19/2020 at 11:18 PM #126967
  Vonasi

  Yes you need to add them as external variables that you can then change the value of in the indicator configure window or remove the // before them on lines 5 and 6.

  I plan to submit to the library two indicators that can display MTF standard deviation bands and MTF simple moving averages to any chart just as if we had MTF indicators – plus some other Bollinger band array based indicators that are quite interesting. PRT were doing maintenance today so I could not submit them but hopefully I will find time tomorrow but we will also have to wait for Nicolas to give them a five star review and make sure that they are colourful enough before they are released! (private joke)

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/20/2020 at 11:33 AM #127039
  stefou102

  the question is:

  is there a way to calculate MTF moving average/bollinger via probacktest, but by choosing the close observations. Exemple: close of the day, or the week, at a specific time (to replicate cash markets on indexes), instead of the last candle of the chart for that day/week.

  

  stefou102

  Participant

  Topics: 22

  Replies: 171

  Been thanked: 71 times
  04/20/2020 at 11:47 AM #127044
  Vonasi

  Yes that should be possible. With arrays you can fill the array with whatever values you want so if you fill it with the closing price at 1630 every day then you can calculate an average of the last p values in the array and then calculate standard deviation bands off this average.

  I’ve just published an MTF simulating indicator to the library that might be of interest to you:

  Multi Time Frame Simple Moving Averages and Standard Deviation Bands

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  04/20/2020 at 11:54 AM #127045
  Vonasi

  This code should do it. Not tested as I don’t have faster than daily charts on my v11 at the moment). It updates on every new candle just like TIMEFRAME(x,DEFAULT) would do.

  //Time of day Bollinger Bands //By Vonasi //Date: 20200420 p = 20 deviations = 2 mytime = 163000 once upper = undefined once lower = undefined once avg = undefined //store each occurance if opentime = mytime then a = a+1 $price[a] = close[1] endif if a+1 >= p then $price[a+1] = close //get a mean of last p weeks close price total = 0 for b = a+1 downto a-p+2 total = total + $price[b] next avg = total/p //calculate standard deviation total = 0 for b = a+1 downto a-p+2 total = total + (square($price[b]-avg)) next stdev = sqrt(total/p) //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif return upper as "upper", lower as "lower", avg as "avg"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41

  //Time of day Bollinger Bands //By Vonasi //Date: 20200420   p = 20 deviations = 2 mytime = 163000   once upper = undefined once lower = undefined once avg = undefined   //store each occurance if opentime = mytime then a = a+1 $price[a] = close[1] endif   if a+1 >= p then $price[a+1] = close //get a mean of last p weeks close price total = 0 for b = a+1 downto a-p+2 total = total + $price[b] next avg = total/p   //calculate standard deviation total = 0 for b = a+1 downto a-p+2 total = total + (square($price[b]-avg)) next   stdev = sqrt(total/p)   //calculate bands upper = avg + (stdev*deviations) lower = avg - (stdev*deviations) endif   return upper as "upper", lower as "lower", avg as "avg"

   

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
• Author
  Posts