2006 Nov 04 - Sat

Bollinger on Bollinger Bands

From a technical analysis perspective, I think the best book I've ever purchased is Bollinger on Bollinger Bands by John Bollinger. It's 228 pages covers a number of interesting concepts. It does indeed cover the concept for which Bollinger is famous: the volatility indicating Bollinger Bands. Since signals typically require corroborating evidence, he makes use of Arthur A. Merrill's Five Point Patterns as well as a number of different volume indicators.
Bollinger Bands can be used in Contrarian Trading as well as in Trading with the Trends. The hard part of found is figuring out when to transition from one to the other. Contrarian Trading means taking an opposing position when one of the band limits has been reached. It is at this critical decision point when you have to decide to keep the position and see if the trade is going to 'walk the band' (Trade the Trend), or if indeed, it will reverse direction. This is where various other indicators such as MACD, Candles, and Volume can help trip the appropriate trigger. Having introduced his various indicators, Bollinger then proceeds to describe some trading strategies such as The Squeeze, Trend Following, and Reversals.
I've found that Bollinger bands help delineate any type price data, whether it be daily bars, 1 minute bars, trades, or even quotes. I've used quite a number of different indicators, but the ones that frequent my charts the most are Bollinger Bands.

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IQFeed Provider for SmartQuant

When I first started looking into developing an Automated Trading Strategy, I started by building some historical data acquisition routines in Perl. The routines were designed to communicate with DTN/IQFeed's servers. I then started gaining access to their real time data. At that point, I started to realize how daunting was the project I started on. More realizations were yet to come.

In the mean time, some mild clarification for those referring to the two sites just mentioned. IQFeed does 500 symbols, with opportunity for more in 500 chunks. DTN starts off with 1300 symbols, with room for more. Both are effectively the same company, so besides symbol counts, there really isn't all that much difference.

Anyway, as I thought may way through how I was going to store data, play it back, graph it, and analyse it, I was realizing that there was much to do. Being a software developer, I wanted something with a decent API, a lot of flexibility, and a lot of functionality. I figured there wasn't enough time in the world to do it mysefl. I looked at some of the Perl libraries, but they weren't quite 'there'. I looked at the mainstream trading platforms, but they relied on limited and proprietary languages. Then, by stumbling through a series of links relating Quant and Libraries, I ended up at SmartQuant. Their QuantDeveloper product fits the bill exactly. It has a straight forward user interfaces for manipulating and charting symbols. It has an analysis and simulation engine built around components. The components are developed using native C# code, and are supported by an array of extensive Quant/Trader/Data libraries. I have barely scratched the surface of utilizing the functionality.

More on this in a later entry.

I took my old perl code, rewrote it in C# and made it conform to the IProvider interfaces as supplied in the API. With another rewrite a month ago, it has progressed to something reasonably reliable.

If you are using SmartQuant's QuantDeveloper, and have a subscription to IQFeed, give the library a try, and let me know about any issues. You'll need the latest IQFeed Files as well as the C# Library. The library provides realtime access to IQFeed. I havn't implemented the IHistory interface yet.

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