Sliding on an inclined

Bollindzhera stripes, envelopes, channels, regardless of what you would prefer to try to catch the traffic from one border to another, can be very profitable. However, how to deal with those periods when prices slip on the strip or envelope, rather than cannon to the opposite side? Nobody wants to stay on the wrong side of trade, as prices slide downhill. 30-minute schedule OEX 1.35% from th envelope around 21MA

Are there ways to identify periods when the price is likely to slip than a cannon?
What affects the level of prices rebound? One possibility seems obvious - the tilt of the envelope, or the channel strip at a time when the price reaches him.

Study 1: Effects of tilt of the envelope, or the channel strip on the price slippage. To verify this assertion, I used 1.35% st envelope around the 21-periodnoy moving average for a 30-minute schedule OEX. I collected data for each of the first touches the outside envelope in the year starting in October 2002. and before the end of September 2003. I calculated the inclination of changing the channel (y) divided by the change in time (x).

Y-part slope was affected by the difference between the value of the envelope at a bar before and during the tangency tangency. I divided this result to the amount of time. It is found in the slope of the unit "price for a moment."

Study 2: Determination of force rebound
Definition of force rebound has been more difficult, but for this study, I used the number of 30-minute bars from the first touch the outside envelope and the subsequent central 21MA touch as the most objective and easily calculated measure. Interestingly, the annual figures have the same number of points for the upper and lower limits of the envelope - 48 for each. Average 30-minute bars from the first touch the outside envelope and the subsequent touching the central moving average was 11.83 bar, ie almost six hours. Separation of touching the upper envelope of the lower limit showed some differences.

Touching the lower limit of the envelope in rebound average led to a period of 10.79 bars. Touching the upper envelope in rebound average led to a period of 12.88 bars. While it might be useful to know how many 30-minute bars are usually required to OEX, to return to the central moving average, this is not the subject of the study. This study was conducted in order to accurately determine the effect of tilting the envelope on speed rebound. If I had any expectations prior to the study, I would expect that prices otskochat most dramatically when the slope close to zero (the band envelope is horizontal) and the price could slip if the channel is inclined at the time of touching. I would expect that the data show a critical point at which the slope is too steep, and still rebound will occur. Using the dispersion diagram to show all 96 data points showed different from the expected concentration. If my initial assumptions were correct, the diagram of dispersion would be formed like a long in the area of the eye mask, with the points of data, compressed as they are concentrated at the bottom of the axis of the bars rebound (fastest rebound) for the slope near zero, expanding on both sides of zero, and then compressing again, as the slope moved further away from zero in any direction. Instead, the form was ambiguous, concentrating in an area 10 where the slope was the most negative and expanded as the slope becomes more positive.

Analysis of this diagram shows that when the envelope leaned down (negative slope), rebound were adequately collected in the vicinity of 10. When the envelope leaned up (positive slope), rebound were scattered more widely. I could not find any correlation between the inclination and force rebound, at least, when the slope was positive. No concentration data points compressed together around zero, reflecting the rapid rebound, did not happen. Since the rebound focused on another, when the slope showed negative values than when it shows positive values, the following questions arise - focused on whether the rebound differently after reaching the upper and lower limits of the envelope. The diagram of dispersion of data points collected over 48 touches the lower envelope has demonstrated some of the same characteristics observed in the diagram for all data points. When the slope showed a negative value, the point of data have tended to gather around the calculated average value of 10.79 touching the lower limit of the envelope. When the slope showed a positive value, the data points scattered more widely. The diagram of dispersion for the lower envelope of tangency

In contrast to the model, we can see the previous chart, scatter diagram, representing the 48 touching the upper envelope is not shown any visible patterns. These data points are widely scattered without any particular concentration.

After the study of diagrams showing touching the upper and lower envelopes, I found that when the envelope tilted down (negative slope) and the price touched the lower border, rebound tended to be faster.

Test 3: Effect of bovine trend in the rate of rebound
Thinking about this trend in the ratio with bovine trend, which was typical for several periods of the year, I asked whether the rapid rebound from the lower limit of the envelope great relationship with bovine trend than to bend the envelope. To verify this hypothesis, I divided the annual data points for four quarters: 4 th quarter of 2002., 1 st quarter of 2003., 2 nd quarter of 2003. and 3rd quarter of 2003.

4 th quarter of 2002. showed a strong concentration of data points near or below the value 10, showing relatively rapid rebound from the top and bottom borders. The diagram of dispersion for the 4 th quarter of 2002. Mutable 4 th quarter of 2002. produced many touches as the top and bottom borders of the envelope, when prices are rapidly declining at the beginning of the quarter and then rose steeply after the reduction. Because the values in the diagram of dispersion for the 4 th quarter of 2002. were the same as the slope ranged from -2 to +2, a quick rebound, it seemed, not dependent on the slope or from the place touching the upper or lower envelope, but rather the result of market volatility.

Performance during the other quarters confirmed this observation. For example, many traders commented on range trading in the 3 rd quarter of 2003. This quarter showed less touching the envelope, so it was less than the data points. This quarter also showed the widest dispersion of data points.

Although the diagram of dispersion of data points for the entire year have shown some correlation between a rapid rebound, and it touches the lower limit of the envelope when the envelope tilted downwards, the result seemed to have arisen because of the results of the 4 th quarter of 2002., Fluctuating widely from quarter to quarter .

Conclusion
The inevitable conclusion was obvious - when the markets volatile, the price bounce off the outer limits of the envelope more quickly. Unfortunately, instead of according to the results of the slope, studies have shown the dependence of the results from the variability of the market. Therefore, it might be rash to make certain conclusions about the likely price effects, based on what side of the envelope occurs slope, or a channel strip Bollindzhera - the conclusion that many of us were inclined to do earlier. This, perhaps, for someone to be bad news.

The good news is that we should not spend much time carefully calculating inclinations during fast moving markets.

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