Standard Deviation Bands

[agassi]

Hello,

On Bloomberg Terminal, there is a standard indicator called "Range Average SD Bands"...SD stands for Standard Deviation Bands.

Basically the idea is that for any price chart, there will be a horizontal line for "Average" and 2 horizontal lines above the average for Average + 1 Standard Deviation and Average + 2 Standard Deviation. Likewise there will be 2 horizontal lines below for the average for Average - 1 Standard Deviation and Average - 2 Standard Deviation.

Also, all these lines are color coded differently. In addition, these lines are constantly calculated and displayed on the screen. User also has the following options:

1) To determine how many bars to look back to calculate this Standard Deviations
2) By default, if the user were to scroll back on the chart, these lines would change according to the displayed data. User also has the option to lock this in which case if the user scrolls back, then these SD lines will not change.

Question: Is this possible to develop this on Ninjatrader? Would this require custom development?

[agassi]

It kind of looks like this one. But I doubt that the SD bands change as the user scrolls back in Amibroker:

http://www.wisestocktrader.com/indicators/198-trading-the-volatility-bands

[NinjaTrader_ChelseaB]

Hi agassi,

While this indicator would be possible to create, I am not aware of any indicators on our forum that do this.

You likely will need to create this indicator with custom code.

Or you can have a professional consultant create the indicator for you.
http://www.ninjatrader.com/Ecosystem/NonBroker.php#81

[Harry]

Hello,

On Bloomberg Terminal, there is a standard indicator called "Range Average SD Bands"...SD stands for Standard Deviation Bands.

Basically the idea is that for any price chart, there will be a horizontal line for "Average" and 2 horizontal lines above the average for Average + 1 Standard Deviation and Average + 2 Standard Deviation. Likewise there will be 2 horizontal lines below for the average for Average - 1 Standard Deviation and Average - 2 Standard Deviation.

Also, all these lines are color coded differently. In addition, these lines are constantly calculated and displayed on the screen. User also has the following options:

1) To determine how many bars to look back to calculate this Standard Deviations
2) By default, if the user were to scroll back on the chart, these lines would change according to the displayed data. User also has the option to lock this in which case if the user scrolls back, then these SD lines will not change.

Question: Is this possible to develop this on Ninjatrader? Would this require custom development?

Could you be more specific how this indicator works, for example add a screenshot? If you talk about an average and SD bands, then you would

- calculate the current value of the average (any average)
- add and subtract multiples of the standard deviation

Below is an indicator which does what is my understanding. I have used a 20-period 3-pole Butterworth filter as the average, but it is also possible to use any other of 30 moving averages to get this result.

The only problem of this type of moving average is that the horizontal lines are calculated from the last candle of the chart. This means that they are retrofitted to price action, which always leads to an impressive result. So you should not look back 50 bars and pretend that price action was reacting to a line, which is only plotted with hindsight knowledge.

Is that what you look for?

[agassi]

Hi Harry,

Thanks for taking interest in this topic and responding. Unfortunately I don't have access to Bloomberg terminal from home so I cannot post it right now. However, I will try to post a screen shot when I have access to it. The SD bands on Bloomberg looks very similar to the screen shot that you have posted. But on Bloomberg as I scroll the screen back, those SD bands keeps changing to reflect the screen / date that I am looking. For example, if I scroll to last wednesday, the average and Standard Deviation bands would be from that Wednesday. Also, user would have the choice to choose the inputs i.e. 10 bars, 100 bars etc..

May I ask how did you get your indicator? Is that available on NT? or do I need to hire a programmer for this. I agree with you that in hindsight every thing is 20 / 20. But it is good to know those important price levels on the chart itself. Any thoughts on how I can go about getting this indicator on NT? else, is there any other platform that has this indicator? This is a very simple indicator and I don't know why no one makes this as a default indicator. I will post screen shots from Bloomberg when i get a chance...

[agassi]

Hi Harry,

But your SD does not adjust and recalculate as you scroll back on your chart right?

[Harry]

Hi Harry,

But your SD does not adjust and recalculate as you scroll back on your chart right?

The SD bands do adjust. Basically what I have done is this:

-> I have coded a universal version of Bollinger Bands that can add/subtract standard deviation bands to any of 29 different moving averages
-> I have then overlaid two of those indicators in order to plot both SD envelopes at a distance of 1 and 2 standard deviations
-> I have changed the plotstyle from "Line" to "HLine".

In order to avoid overlaying two indicators the Bollinger Bands can be modified by adding to additional bands. Of course you can set the period in a similar way as for the Bloomberg indicator. The universal version of the Bollinger Bands allows to select different lookback periods for the moving average and the standard deviation.

[agassi]

The SD bands do adjust. Basically what I have done is this:

-> I have coded a universal version of Bollinger Bands that can add/subtract standard deviation bands to any of 29 different moving averages
-> I have then overlaid two of those indicators in order to plot both SD envelopes at a distance of 1 and 2 standard deviations
-> I have changed the plotstyle from "Line" to "HLine".

In order to avoid overlaying two indicators the Bollinger Bands can be modified by adding to additional bands. Of course you can set the period in a similar way as for the Bloomberg indicator. The universal version of the Bollinger Bands allows to select different lookback periods for the moving average and the standard deviation.

Harry:

Is this a custom indicator that you have developed? Or is this available for free here? Would you be kind enough to provide more information regarding the indicator which you are talking about? Is there any user manual etc.?

How do I get this indicator? Thank you very much.

Questions:

1) So this is a Bollinger Bands of 29 different moving averages correct? Why only 29?

2) What is "Line" and HLine"??

[Harry]

Questions:
1) So this is a Bollinger Bands of 29 different moving averages correct? Why only 29?

LOL, because I have only implemented 29.

Questions:

1) So this is a Bollinger Bands of 29 different moving averages correct? Why only 29?

2) What is "Line" and HLine"??

You can use HLine with every indicator by changing the PlotStyle. Just try and you will find out.

The BollingerUniversal is a free open source indicator available here:

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/626-download.html?view

In case you are not an elite member, you can also send me a private message with your e-mail.

By the way you can also take the default Bollinger indicator that comes with NinjaTrader, apply it twice with different multipliers and then set all plots to HLine. This would also give you something similar.

[agassi]

Hi Harry,

This is how the SD Bands i.e. Standard Deviation Bands looks like on the Bloomberg Terminal: Is your Universal Bollinger some thing similar??

[Harry]

Hi Harry,

This is how the SD Bands i.e. Standard Deviation Bands looks like on the Bloomberg Terminal: Is your Universal Bollinger some thing similar??

It looks like a moving average and SD bands plotted as horizontal lines. I do not know what moving average has been used, but it could be a 50-period SMA. Attached is a chart that shows a 50-period SMA with 50-period SD bands.

You can also use a standard Bollinger indicator to produce that result.

[agassi]

It looks like a moving average and SD bands plotted as horizontal lines. I do not know what moving average has been used, but it could be a 50-period SMA. Attached is a chart that shows a 50-period SMA with 50-period SD bands.

You can also use a standard Bollinger indicator to produce that result.

Based on Bloomberg's user manual it is strictly a standard deviation based on whatever the user can see on the screen. I literally counted the number of bars on the screen. There are approximately 120 bars. So the screen i have posted has the following calculated and plotted as a horizontal lines for 120 bars look back period:

1) Average or Mean
2) Average + 1 SD
3) Average = 2 SD
4) Average - (Minus) 1 SD
5) Average -(Minus) 2 SD

Question: What would be the closest recreation to this requirement based on your indicator? Can i tweak your Bollinger Universal to meet this requirement?

Thank you very much Harry !

[agassi]

This is what I see on Bloomberg Terminal for "Range Average with SD Bands:

"The Range Average with SD Bands Study places a horizontal line at the Average spanning the viewable Price Source values, e.g. Close, Open, High, Low, etc. (defaulted to Close). This average line can be locked to the original viewable range, or set to recalculate as the chart is panned to expose more history. The study also allows for lines to be shown at 3 different standard deviations values away from the average. Additionally, the study can be set to only calculate on the most recent "n" bars if desired, with the standard deviations calculated for the same range."

Thanks again

[agassi]

Hi Harry,

Thanks for sending me the BollingerUniversalV4. I tried to import it into NT and I got a message stating that I already have the indicator...would you like to replace it?

I don't remember having this. Is this some thing that comes as default with NT? I was a bit confused and so still haven't installed it. Please advise. I don't want to replace my default Bollinger with this one

[Harry]

Hi Harry,

Thanks for sending me the BollingerUniversalV4. I tried to import it into NT and I got a message stating that I already have the indicator...would you like to replace it?

I don't remember having this. Is this some thing that comes as default with NT? I was a bit confused and so still haven't installed it. Please advise. I don't want to replace my default Bollinger with this one

You did not carefully read the message. The indicator does not replace your default Bollinger indicator. However, as the Universal Bollinger indicator uses 29 moving averages, the import file comes with all those averages as needed by NinjaTrader. Some of those moving averages are already in your indicator folder. When importing the file, NinjaTrader asks you whether you wish to replace the existing files. Just answer with "no", if you want to keep them and you will only have the supplementary moving averages installed.