V.6:8 (285-290): SIDEBAR: Holt-Winter Channel Calculation

V.6:8 (285-290): SIDEBAR: Holt-Winter Channel Calculation
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Product Description

Holt-Winter Channel Calculation

The Holt-Winter formula estimates the three quadratic coefficients recursively as follows:

Ft+1 = (l - a) (Ft + Vt + 0.5 At) + aCt+1

Vt+1 = (l - b) (Vt + At) + b(Ft+1 - Ft)

At+1 = (l - c) At + c (Vt+1 - Vt)

where Ct = Closing price on date t and a, b, and c are constants determined by the person performing the analysis.

For simplicity, I use the Holt-Winter formula to forecast the next day's closing price. To determine the upper and lower boundaries of the Holt-Winter Channel, I use a comfort factor (T) value of l.0 as follows:

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