Hi Adam, though I am not an expert in how TJ has coded the PercentRank function into AB, I believe you may not be adjusting the parameters in the way that you think you are.
If you "Apply" the code you can see a Plot which you can Right-Click on the chart and adjust the parameter for RankLB. Play with it and watch the Plot change before your eyes.
For the Explore portion, you may think you have a RankLB of 10 days but your output suggests not. If you were only looking back 10 days the PercentRank should be a multiple of 10 (10, 20, 30, 40 etc).
In the Analysis window pull down the Parameters menu. There you can adjust the RankLB period to 10 and run your Exploration. The BW Ranks should now appear as multiples of 10. If you set the RankLB to 20 you should see all rankings as multiples of 5 (5, 10, 15, 20 etc) and if you set the RankLB to 100 days…. Each rank will be somewhere between 0 and 100 (1,2,3,4,etc)
I am a big fan of PercentRank (applied on all kinds of indicators or data) as I find it is usually quite informative.
I coded the formula to help another forum member but I only spent a few minutes reading a summary of John Bollinger's thoughts on the "squeeze" http://www.bollingeronbollingerbands.com/methods/?m=1. A more thorough investigation of its intent could probably result in a more thorough code. He does not use the PercentRank, I just thought it would be a good way to standardize a quantification of the squeeze across securities with a wide range prices. A squeeze of $10 might be a lot for a $100 stock but not much for a $20 stock.
In terms of looking for a decrease in volatility or a "volatility squeeze" it would be interesting to chart a few measures of volatility and see how they compare.
Best,
Larry
Attachment(s) from portfoliobuilder99@gmail.com [amibroker] | View attachments on the web
2 of 2 Photo(s)
Posted by: portfoliobuilder99@gmail.com
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (2) |
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
EmoticonEmoticon