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quartile band thread...
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quartile band thread...

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quartile band thread...

Harry and I have been going back and forth since he made his median indicator for Ninja...
This is a place to discuss what we find..if anything..

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dutchbookmaker View Post
Harry and I have been going back and forth since he made his median indicator for Ninja...
This is a place to discuss what we find..if anything..

Did not find much so far. The median is just a replacement for a moving average and the quartile bands would by definition show an envelope around the median that includes half of all price data.

So this is an approach that can be compared to a moving average and a Bollinger Band with a multiplier of 0.67, which is the value that stands for 50% of the data points, if you assume that they are normally distributed.

The charts show a moving median and quartile bands with a period of 23. Both are calculated from TPOs. This means that the underlying data for calculating the median has been created by listing all the ticks that were touched by those 23 bars.

The bands are not wide, as they are quartiles. This is expected. One chart is without smoothing, to the second I have added a three period smoothing to make it visually pleasing.

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When a multiplier is added, the bands are more unstable compared to Bollinger Bands. They are expanding and contracting, but they still look a bit funny. Need to think about it further.

Any suggestions welcome.

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Yea, Bollinger bands on price IMO are pure nonsense because of the distribution that the moving avg is being deviated from to make the bands.
I'm trying to find the quant video that I got this from that showed quartile bands on intraday volatility...

At some point with market data, counting is better than avg because it makes no assumptions on the distribution.
If this can directly be applied to price I doubt it because of the continuous nature of information that price is being updated on...
On volume..I don't know...

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We took this from PM to thread so people can join in...please if you know anything about this stuff..


How about Mathwords: Third Quartile

you only seem to have the 1st...

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I just found this graphic from some old ES data from the fall intra day I made
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The top is box plots, not taking volume into account..just counting ticks.

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We took this from PM to thread so people can join in...please if you know anything about this stuff..


How about Mathwords: Third Quartile

you only seem to have the 1st...

One of the bands is the first, the other one is the third. Between them you will find the median.

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Any Ideas?

This is a funny thread. @dutchbookmaker asked me to add quartile bands to the median indicator.

Because it was easy to do, I added them.

Now we have them, but nobody seems to have an idea, how we can use them.


If nobody comes up with an idea, we can use them for jokes. Or I transfer them into something more impressive that can be used for embellishment of your charts.


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Fat Tails View Post
If nobody comes up with an idea, we can use them for jokes. Or I transfer them into something more impressive that can be used for embellishment of your charts.


We are wildcatters my friend.
Wildcatter - Wikipedia, the free encyclopedia

hah, I get your sense of humor but I think most Americans will see you as an "encyclopedia"...that is an English word that probably doesn't translate to other languages well the same way "lagom" does not translate from Swedish to English, maybe...

How about all the quartile bands though?1 2 3 :

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