TECHNIFILTER PLUS The set of TechniFilter Plus formulas called "OBV disparity trading system" produces a TechniFilter Plus strategy that implements the trading system presented in Phillip Holt's "Enhancing on-balance and negative volume" in this issue. In the article, Holt computes a ratio of two Bollinger %B calculations, one based on price and one based on a volume indicator (either the on-balance volume or the negative volume index). A %B calculation based on price expresses the position of the closing price within the upper and lower Bollinger bands. A value of "1" places the close at the top band, and a value of zero places the close at the bottom band. Values between zero and 1 place the close somewhere between the bands. If the close is outside the bands, the %B value will be less than zero (below the bottom band) or more than 1 (above the top band). The basic %B calculation divides the close minus the bottom band by the distance between the bands. Since the upper band is two standard deviations of price above an average and the lower band is two standard deviations of price below this average, the distance between the two bands is just four standard deviations of the price. Formula 1 gives the %B price calculation. The "33" listed is the time parameter suggested by Holt. Formula 2 is the %B calculation based on OBV, represented by the building block K . (To test NVI instead of OBV, replace "K" with the NVI building block B in this formula, and change the parameters in formulas 4 and 5 to 0.95 and 1.1, respectively.) Formula 3 is Holt's on-balance volume disparity indicator (OBVDI). He suggests buying and selling when a four-unit average of this quantity breaks through specific levels. Formulas 4 and 5 express these buy-sell conditions, returning a "1" when the condition is true and a zero otherwise. |
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