Bollinger Bands discrepancy - Wealth Lab Forum

Bollinger Bands discrepancy

Author: JohnColes666

Creation Date: 4/22/2012 10:23 AM

Wealth Lab » WealthScript (.NET) » Bollinger Bands discrepancy

JohnColes666

4/22/2012 10:23 AM

I am not sure what I have done wrong. I have been modifying it significantly to try to get it to work properly. It my just be my understanding of bollinger bands.

CODE:
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When I run this on AAP I get exactly what I expect. When I run it on AAT I get unexpected results, bollinger band are outside of the 3% channel, but they should be inside the channel.

SMA 20 BB Width 3% Width BB upper BB lower 3% Upper 3% Lower
AAP 20-APR-12 89.708 1.6866 2.6912 91.3946 88.0214 92.3992 87.0168 -- Calculated/Chart
AAT 20-APR-12 22.802 .6084 .6841 23.4104 22.1936 23.4861 22.1179 -- Calculated
AAT 20-APR-12 22.802 .7681 .684 23.5701 22.1200 33.4861 22.1200 -- Chart

Price Close for AAT
22.88
22.5
22.57
23.1
22.73
22.45
22.77
22.74
22.18
22.56
23.19
23
23.05
23.54
22.8
22.61
22.59
22.83
22.99
22.96

Size:

Color:

I am not sure what I have done wrong. I have been modifying it significantly to try to get it to work properly. It my just be my understanding of bollinger bands.

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			int BBperiod = 20;
			DataSeries BBHigh      = BBandUpper.Series(High,  BBperiod, 2 );
			DataSeries BBLow       = BBandLower.Series(Low,   BBperiod, 2 );
			DataSeries BBSma       = SMA.Series(Close,BBperiod);
			DataSeries EnvSMAHigh  = SMA.Series(Close,BBperiod)+(SMA.Series(Close,BBperiod)*.03);
			DataSeries EnvSMALow   = SMA.Series(Close,BBperiod)-(SMA.Series(Close,BBperiod)*.03);
			DataSeries SMA50       = SMA.Series(Close,50);
			DataSeries SMA200      = SMA.Series(Close,100);
			
			PlotSeries(PricePane, BBHigh, Color.Blue,  LineStyle.Solid, 1);
			PlotSeries(PricePane, BBLow,  Color.Blue,  LineStyle.Solid, 1);
			PlotSeries(PricePane, BBSma,  Color.Blue,  LineStyle.Solid, 1);
			PlotSeries(PricePane, SMA50,  Color.Red,   LineStyle.Solid, 1);
			PlotSeries(PricePane, SMA200, Color.Black, LineStyle.Solid, 1);
			PlotSeries(PricePane, EnvSMAHigh, Color.CornflowerBlue, LineStyle.Solid, 1);
			PlotSeries(PricePane, EnvSMALow, Color.CornflowerBlue, LineStyle.Solid, 1);
			SolidBrush shadowBrush = new SolidBrush(Color.FromArgb(50, Color.Aquamarine));
			PlotSeriesFillBand(PricePane, EnvSMAHigh, EnvSMALow, Color.Silver, shadowBrush, LineStyle.Solid, 2);
			
			
			
			{
			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
			}
			}
			
			
	}
}
[/CODE]
When I run this on AAP I get exactly what I expect.  When I run it on AAT I get unexpected results, bollinger band are outside of the 3% channel, but they should be inside the channel.

SMA 20 BB Width 3% Width    BB upper    BB lower   3% Upper    3% Lower
AAP 20-APR-12  89.708  1.6866   2.6912     91.3946     88.0214    92.3992     87.0168  -- Calculated/Chart
AAT 20-APR-12  22.802   .6084    .6841     23.4104     22.1936    23.4861     22.1179  -- Calculated
AAT 20-APR-12  22.802   .7681    .684      23.5701     22.1200    33.4861     22.1200  -- Chart

Price Close for AAT
      22.88
       22.5
      22.57
       23.1
      22.73
      22.45
      22.77
      22.74
      22.18
      22.56
      23.19
         23
      23.05
      23.54
       22.8
      22.61
      22.59
      22.83
      22.99
      22.96