YinYang Volatility Bands correct with new Paper

(Last Updated On: April 22, 2015)
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YinYang Volatility Bands working with new Paper

Yin-yang_volatility – CFRI Journal

From the author of this indicator:

thanks for your interest in my YinYang Volatility bands.
Your code looks correct.
However, in real applications, your “direct” may have wipsaws, so you could add a moving average on your “d” before calculating “direct”.
For your information, that paper of mine was formally published as
 Heping Pan (2012): Yin-Yang Volatility in Scale Space of Price-Time – A Core Structure of Financial Market Risk. China Finance Review International, CFRI 2.4, 377-405.
(this is an English journal). This paper is attached.
     Best wishes
     Pan Heping
I will post this Matlab source code to my Quant Elite members soon. I also need to thank Dr Ernie Chan for getting me to this point as well. He is an amazing resource to have around.


NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs