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Remember though that if you use log, you probably want to convert all
other prices in your formula to log prices as well: log(C) instead of
C etc.
Then again, e.g. Bollinger bands don't take the trouble of using log
but work with straightforward prices instead. The key is: use log
consistently or don't use it at all.
There's this guy called gummy who has lots of info on this in plain
English:
http://www.gummy-stuff.org/bolli-bands.htm
Check out his home page for more market related math stuff.
Hope this helps.
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "axle_d" <axle_d@xxxx> wrote:
>
> Terry and Treliff,
>
> Thanks for the help guys. It is exactly what I thought. Definitely
> have been thinking about playing with the log instead.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> >
> > StDev(C, 100) is most definitely standard deviation of the close.
> >
> > Indeed StDev(C-Ref(C,-1), 100) would be stdev of price changes.
> >
> > However you may consider the stdev of PERCENT price changes
instead,
> > because these are supposedly normally distributed (bellcurve: for
a
> > price series, if all goes well we know how much lies within 1
stdev,
> > 2 stdev's etc).
> >
> > Next step would be to use the logarithmic instead of the % price
> > changes (they closely resemble), as it is used in volatility
> > calculations:
> >
> > StDev(log(C/Ref(C,-1)),100)
> >
> > Finally, this may not fit in your framework at all :-)
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Terry" MagicTH@xxxx wrote:
> > >
> > > Not being a real math wizard, it seems like you have the Close.
> > > Substitute H-L for C for daily range, or C - Ref(C,-1) for day
to
> > day
> > > changes.
> > >
> > >
> > >
> > > --
> > >
> > > Terry
> > >
> > > -----Original Message-----
> > > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> > On
> > > Behalf Of axle_d
> > > Sent: Monday, January 30, 2006 19:42
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Simple StDev Question
> > >
> > >
> > >
> > > trying to code the following:
> > >
> > > tenforty = (MA(C, 10) -MA(C, 40))/StDev(C, 100);
> > >
> > > my question is this:
> > >
> > > I want the StDev to be the 100-day StDev of price changes, is
this
> > what
> > > I have above or is it simply the 100-day StDev of closing prices
> > >
> > >
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only.
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