standard error bands (native afl).afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Standard Error Bands (Native AFL)
//  Author/Uploader: William Peters 
//  E-mail:          [e-mail]
//  Date/Time Added: 2003-12-20 19:04:15
//  Origin:          Mr. Jon Andersen
//  Keywords:        Standard Error Bands
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=317
//  Details URL:     http://www.amibroker.com/library/detail.php?id=317
//
//------------------------------------------------------------------------------
//
//  Description:
//
//  Standard Error Bands are a type of envelope developed by Jon Andersen. They
//  are similar to Bollinger Bands in appearance, but they are calculated and
//  interpreted quite differently. Where Bollinger Bands are plotted at
//  standard deviation levels above and below a moving average, Standard Error
//  Bands are plotted at standard error levels above and below a linear
//  regression plot.
//
//  Interpretation:
//
//  When using Standard Error Bands, you are required to enter the number of
//  periods in the bands. Mr. Andersen recommends default values of "21" for
//  the number of periods, a 3-day simple moving average for the smoothing, and
//  "2" standard errors. He also notes that very short time frames tend to
//  produce unreliable results.
//
//  These interpretational comments refer to bands on the security's closing
//  price.
//
//  Because the spacing between Standard Error Bands is based on the standard
//  error of the security, the bands widen when the volatility around the
//  current trend increases, and contract when volatility around the current
//  trend decreases.
//
//  Since Standard Error Bands are statistically based, other statistical
//  indicators such as r-squared, Standard Error, Linear Regression, etc. work
//  well for trade confirmation.
//
//  Mr. Andersen notes the following characteristics of Standard Error Bands.
//
//  - Tight bands are an indication of a strong trend.
//
//  - Prices tend to bounce between the bands when the bands are wide.
//
//  - Tight bands followed by a widening of the bands may indicate the
//  exhaustion of a trend and a possible reversal.
//
//  - When the bands reverse direction after an exhausted trend, prices tend to
//  move in the direction of the bands.
//
//  - The r-squared indicator works well in combination with Standard Error
//  Bands. A high r-squared value combined with tight bands confirms a strong
//  trend. A low r-squared value combined with wide bands confirms that prices
//  are consolidating.
//
//------------------------------------------------------------------------------

/* Standard Error Bands */
Periods = Param("Standard Error", 18, 1, 100, 1); 

function SteBand( array, periods, upper ) 
{ 
  Lr = LinearReg( array, periods ); 
  se = StdErr( array, periods ); 
  return LR + IIf( upper, 1, -1 ) * 2 * se; 
} 

upperstderrband = SteBand( C, Periods, True ); 
lowerstderrband = SteBand( C, Periods, False ); 
midstderrband = (upperstderrband + lowerstderrband )/2; 

Plot( Close, "Close", colorBlack, styleCandle );
Plot( upperstderrband , "upperstderrband ", colorGreen, 4 );
Plot( lowerstderrband , "lowerstderrband ", colorRed, 4 ); 
Plot( midstderrband , "midstderrband ", colorBlack , styleLine); 

GraphXSpace = 3;