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Paul,
Amibroker StDev() is MSEXCEL STDEVP.
See above message #60760
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Chivers" <pchivers@xxxx>
wrote:
> Firstly, stats is not my strong point, so there's probably an
obvious error
> in my calculations.
>
> Assuming SD = root(mean(squares(diffs)));
>
> Avoiding the loops - and calculating each step separately for
clarity - I
> get :
>
>
> // set array and periods
> array = C ;
> per = 12 ;
>
> mean = MA(array,12);
> diff = (array-mean);
> diffsq = diff*diff;
> Varsq = Sum(diffsq,per)/(per-1); // or "/per" as per your
preference
> sd = sqrt(Varsq);
>
> GraphXSpace = 3;
> Plot(sd, "sd", colorLightBlue);
> Plot(StDev(array,per),"StDev",colorBlue);
>
>
> Unfortunately the two plots are different, although roughly the
same shape.
> (But at least it doesn't "result in an AB freeze").
>
> Where to now? Perhaps treliff can spot my obvious mistake?
>
> Paul
>
>
> ----- Original Message -----
> From: "treliff" <treliff@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, 23 March 2004 12:45 PM
> Subject: [amibroker] code for standard deviation with variable
periods
>
>
> 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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