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The
example was for 250 days, Steve.
<SPAN
class=619405021-11022004>-----
Note: You have probably noticed that
the charts for sigma bands and signal bands are very similar. This is because
signal bands are actually sigma bands of shorter duration. They are based on a
preset control parameter. For signal bands the control parameter is 21 periods,
for sigma bands the parameter is set to 250 periods. So for daily data signal
bands are based on 21 days, or one trading month, and sigma bands are based on
250 days, or one trading year.
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size=2>----
Based
on a quick look at chart 9, I'd agree that the sigma bands must be based on the
last value of stddev from a extended centered 250SMA. [Note that the use
Hurst CSMAs in much of their work.
Maybe
we can get Dimitri to extrapolate the SMA 8>)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Bob
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Almond
[mailto:steve2@xxxxxxxxxxxxxxxxxxxx]Sent: Wednesday, February 11,
2004 1:35 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Sigma Bands
sjaak,
This is close, but not the same. I read (somewhere, whilst searching
Sigma bands) that the 'trend' may be a centred moving average. That would seem
to make more sense, but I don't know what happens at the end when the centred
MA finishes.
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