Hello,
I've been working through a Bollinger project. Most of the documentation asserts that a 2 standard deviation offset defines the upper and lower Bollinger range.
With my project I am using a close / close volatility (deviation seed is log(close/yesterday's close) and in order to get a sensible band with I am dividing the the high and low quotes in the historical window by 10 to define the upper and lower bollinger (Log 10?) limits (the number of standard deviations). When I use 2 standard deviations the bands converge and appear more as an SMA. In the image below, the middle pane, the 2 standard deviation example is shown (note the "pink" Bollinger bands appear as one).
Note: the gray line is the close / close volatility.
I have it set up to automatically calculate the number of (Log 10) standard deviations as the initial defaults - and they can be changed to recompute the bands. It looks like an okay approach but I would appreciate any opinions offered.
Thanks
I've been working through a Bollinger project. Most of the documentation asserts that a 2 standard deviation offset defines the upper and lower Bollinger range.
With my project I am using a close / close volatility (deviation seed is log(close/yesterday's close) and in order to get a sensible band with I am dividing the the high and low quotes in the historical window by 10 to define the upper and lower bollinger (Log 10?) limits (the number of standard deviations). When I use 2 standard deviations the bands converge and appear more as an SMA. In the image below, the middle pane, the 2 standard deviation example is shown (note the "pink" Bollinger bands appear as one).
Note: the gray line is the close / close volatility.
I have it set up to automatically calculate the number of (Log 10) standard deviations as the initial defaults - and they can be changed to recompute the bands. It looks like an okay approach but I would appreciate any opinions offered.
Thanks
