YinYang Volatility Bands correct with new Paper

(Last Updated On: April 22, 2015)

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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