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Dimitris I'm amazed, not so much because your short code plots
identical StDev but that it actually works within my larger code.
The trick is in SUM() accepting variables indeed.
Well let's say it was a nice looping exercise for me and though
completely impracticable, my code DID work... ;-)
thanks guys, great program, great people.
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> 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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