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DV Bands Follow Up

September 1, 2009

To my loyal followers–fear not, I have not disappeared, I am currently overloaded with consulting projects. The long overdue  post on the CVI will be up soon, and I think most of you will find it extremely interesting. An astute trader and friend of the blog–Ramon Cummins–has done some additional research on DV Bands across several different instruments to test for robustness. Below is an excerpt of the email Ramon sent me:

Hi David
I had some time this weekend to do some more thorough testing of your DV Bands. I coded up a system in Amibroker to test the efficacy of the DV Bands across a portfolio of four watchlists, with average results below and detailed individual ticker results in the excel file attached. Some notes;
–          I limited the test to only include tickers with 750+ bars of data
–          I’ve used the term ‘price containment’ to quantify whether the bands ‘contained’ the closing price the next day.

    Next Day Price Containment    
  # of tickers Bollinger Bands DV Bands Improvement
ETFs 304 82.1% 90.7% 8.6%
S&P500 483 81.7% 89.7% 8.0%
Nasdaq 100 98 81.8% 90.0% 8.2%
Russell 1000 914 81.7% 89.9% 8.2%

The results speak for themselves – the DV Bands ‘contain’ next day prices approximately 8% more of the time than traditional Bollinger Bands.
This is great stuff, thanks for your refreshing contributions – now I just need to develop a system to trade them.  

CSS Analytics: I will be presenting trading systems using DV Bands as well as adjustments to make even better improvements in the future. A series of customized bands and channels will be introduced to traders to assist in both breakout and countertrend strategies.

One Comment leave one →
  1. Jim Cardin permalink
    September 4, 2009 3:25 pm

    Is there any chance that Ramon would share his AB code for the DV Bands?
    thanks, Jim

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