Re: [amibroker] Standard Error Band

[Wayne Skerritt <ecodesign@xxxxxxxxxxx>]

Doug wrote:

> Does anyone have the formula for the standard error bands?
> 
> Thanks
> 
here is a version I found in my files. Hope it's of use to you.

Wayne

**************************

EnableScript("vbscript");

<%

function STEBandTop(V,n,d)
dim result()
redim result(UBound(V))
q=EP(V,n)
r=DV(V,n,d)

for i=0 to UBound(V)
result(i)=q(i)+r(i)
next
STEBandTop=result
end function

function STEBandBot(V,n,d)
dim result()
redim result(UBound(V))
q=EP(V,n)
r=DV(V,n,d)

for i=0 to UBound(V)
result(i)=q(i)-r(i)
next
STEBandBot=result
end function

function EP(V,n)
Dim endpoint()
redim endpoint(UBound(V))
for i=0 to n-1
x=x+(i+1)
y=y+V(i)
x2=x2+(i+1)^2
xy=xy+(i+1)*V(i)
endpoint(i)=V(i)
next

ya=y/n
xa=x/n

for i=n to UBound(V)
x=x+n
y=y+V(i)-V(i-n)
x2=x2+(i+1)^2-(i-n+1)^2
xy=xy+(i+1)*V(i)-(i-n+1)*V(i-n)
ya=(ya*n+V(i)-V(i-n))/n
xa=x/n
t=(n*xy-x*y)/(n*x2-x^2)
endpoint(i)=ya+t*(i-xa)
next
EP=endpoint
end function

function DV(V,n,d)
Dim dev()
redim dev(UBound(V))
for i=0 to n-1
x=x+(i+1)
y=y+V(i)
y2=y2+V(i)^2
x2=x2+(i+1)^2
xy=xy+(i+1)*V(i)
dev(i)=0
next

for i=n to UBound(V)
x=x+n
y=y+V(i)-V(i-n)
y2=y2+V(i)^2-V(i-n)^2
x2=x2+(i+1)^2-(i-n+1)^2
xy=xy+(i+1)*V(i)-(i-n+1)*V(i-n)
t=xy-x*y/n
dev(i)=d*sqr(((y2-y^2/n)-t^2/(x2-x^2/n))/(n-2))
next
DV=dev
end function

%>
price= (H+L+2*C)/4;
script=GetScriptObject();
Graph0=script.STEBandTop(price,30,2);
Graph1=C;
Graph2=script.STEBandBot(price,30,2);
Graph0Style = 1;
Graph1Style = 64;
Graph2Style = 1;


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