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treliff,
If you want the analytic StDev() function, keep it simple
n=10; f=2;
Qn=Sum(C^2,n);
Sn=Sum(C,n);
Kn=(1/n)*sqrt(n*Qn-Sn^2);
Plot(Kn,"Analytic StDev",colorBlack,1);
Plot(StDev(C,n),"Built-in StDev",colorRed,8);
The reason to use the above analytic formula is that built-in StDev()
does not accept variable n. But, the built-in Sum() *does* !!
So, the above analytic form will accept variable n.
Example
n=10+Cum(1)%5;//n varies from 10 to 14
Qn=Sum(C^2,n);
Sn=Sum(C,n);
Kn=(1/n)*sqrt(n*Qn-Sn^2);
Plot(Kn,"Analytic StDev",colorBlack,1);
I hope it is clear.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> Graham, Dimitris, Paul, Ed and others, thanks to you experts I got
> the looping stuff under control, at least sufficiently
> for the code below of a standard deviation measurement with
variable
> periods. (Had been some previous discussion about in the forum but
I
> did not find a code.)
>
> This code works (AFL StDev is added as a visual check) but this is
> sooo-slooow, on my pc more than a few hundred bars loaded results
in
> an AB freeze. Certainly in view of my plan to combine this one with
> other loops in a more complex code, I wonder if these kind of
> executions are in fact feasible or perhaps I made a giant detour
> somewhere in this code.
>
> If you'd find the time to take a look and give some comments
> I'd appreciate it. Thanks in advance.
>
> -treliff
>
> /* code start */
>
> /*
> MEAN is mean of data from bar n-1 till current bar.
> VAR is variance of data from bar n-1 till current bar.
> VR is variance of data of last n bars.
> SD = sqrt(VR) is standard deviation of last n bars.
> */
>
> // set array and periods
> array = C ;
> per = 12 ;
>
> function MEAN(input,n)
> {
> result[n-1] = input[n-1] ;
> for (i=n;i<BarCount;i++)
> {
> result[i] = ((i-n+1)/(i-n+2))*result[i-1] + (1/(i-n+2))*input[i] ;
> }
> return result;
> }
>
> function VAR(input,n)
> {
> result[n-1] = 0 ;
> for (i=n;i<BarCount;i++)
> {
> myvar = MEAN(input,n);
> result[i] = ((i-n+1)/(i-n+2))*result[i-1] + (1/(i-n+1))*(input[i]-
> myvar[i])^2 ;
> }
> return result;
> }
>
> function VR(input,n)
> {
> for (i=n-1;i<BarCount;i++)
> {
> myvar = VAR(input,i-n+2);
> result[i] = myvar[i] ;
> }
> return result;
> }
>
> function SD(input,n)
> {
> return sqrt(VR(input,n));
> }
>
> GraphXSpace = 3;
> Plot(SD(array,per),"SD",colorBlack);
> Plot(StDev(array,per),"StDev",colorBlue);
>
> /* code end */
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