FW: [amibroker] Help with Kirshenbaum indicator

[Arie Ellerbrak]

Thomas,   Thanx for your quick response. A friend of mine owns a copy of OmniTrader. I don't like the product, but that's not the point. The Kirshenbaum indicator featured in their systems looks nevertheless very promissing.   I've found an description and a screenprint of this indicator on the web. You can find it below. Because I don't have OmniTrader I have no experience with it but according to this friend it gives nice signals. He uses it primarily for entry with a trailing stop and a stop loss. The stops he uses are mental stops. Here's the description.   Regards,   Arie   KBA-C Kirshenbaum Bands Paul Kirshenbaum, a money manager and mathematician with a Ph.D. in economics from NYU, submitted this rather unique trading band which is “de-trended.” Kirshenbaum Bands are similar to Bollinger Bands (see BOL-C) in that they measure market volatility. However, rather than use standard deviation of a moving average for band width, they use the standard error of linear regression lines of the close. This has the effect of measuring volatility around the current trend, instead of measuring volatility for changes in trend. Construction: Kirshenbaum Bands are constructed as follows: Calculate a P-Period Exponential Moving Average of the data based on the close. Then, for each bar, calculate the L-Period linear regression line, using today’s close as the endpoint of the line. (Note: The term “linear regression” is the same as a “least squares” or “best fit” line in some textbooks.) Calculate d1, d2, d3, .. dL as the distance from the line to the close on each bar which was used to derive the line. That is, di = Distance from Regression Line to each bar’s close. Calculate the average of the squared errors: AE = (d12 + d22 + d32 + .. + dN2) / L Standard Error (Se) is the square root of this value: Se = square root of AE Then, if N = Number of Standard Errors, band width is: BW = N * SE Add and subtract the band width from the Exponential Moving Average to arrive at today’s value for the upper and lower bands. Parameters: Periods (P): The period used in the Exponential Moving Average calculation. Linear Regression Periods (L): The period used in constructing the lines for Linear Regression. Deviations (N): Number of deviations used. That is, the Standard Error value can be multiplied by a factor to expand the bands. Mr. Kirshenbaum recommends a value of 1.75. Trading System: This system trades when the price moves outside the K-Bands with the close inside the band. KBA-C: Kirshenbaum Bands Kirshenbaum Bands yield excellent volatility bands. Compare this systems with the Bollinger Bands. Use Kirshenbaum bands to measure volatility around a trend, and Bollinger Bands to measure changes in trend.     -----Oorspronkelijk bericht----- Van: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] Namens Thomas Z. Verzonden: Saturday, March 04, 2006 1:26 PM Aan: amibroker@yahoogroups.com Onderwerp: RE: [amibroker] Help with Kirshenbaum indicator   Hello Arie,   interesting, i remember the request the years ago. Can you send snapshots or any website with informations how it looks like ? Do you have experience with it ?   Regards   - - - - - - - - - - - - - - - - - - - - Thomas www.tradingbasis.com [EMAIL PROTECTED] - - - - - - - - - - - - - - - - - - - -       -----Original Message----- From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Arie Ellerbrak Sent: Saturday, March 04, 2006 1:21 PM To: amibroker@yahoogroups.com Subject: [amibroker] Help with Kirshenbaum indicator     Hello,   Has anyone tried to code the Kirshenbaum bands? It has been asked before, years ago, but I haven't found any answers. I can provide the description. Coding it myself has led me to a cul-de-sac. Can anyone be of any help?     Kind regards,   Arie Ellerbrak         Please note that this group is for discussion between users only.   To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com   For other support material please check also: http://www.amibroker.com/support.html     Yahoo! Groups Links                   ------------------------ Yahoo! Groups Sponsor --------------------~--> Try Online Currency Trading with GFT. Free 50K Demo. Trade 24 Hours. 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