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Note on DV Bands

August 5, 2009

Just to clarify , the mean referenced for average daily returns represents the new rescaled mean based on the percentrank funtion which has a mathematical value of .5, using the new oscillator. The upper and lower bands are derived using the .975 and .025 levels…..which are the same as the +/-2 z-scores in the normal distribution. The actual creation of the price mean and upper and lower price  band values is a bit more complicated.  It involves re-scaling the current upper/lower and mean values. More on this to come.

One Comment leave one →
  1. Tomasz permalink
    September 10, 2013 5:15 pm

    Hi David,
    Could you elaborate on this issue a bit more ?

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