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Re: [amibroker] Re: Simple StDev Question



PureBytes Links

Trading Reference Links

Wow, that is quite a link, and now my newest bookmark.   8 - )
This guy knows all about everything!

Since he has a bit about statistics, it reminded me that I was searching the 
web a couple of weeks ago for something along the lines of "Statistics for 
Traders". Hopefully something that covers the statistics used by traders - 
things like alpha, beta, correlation, LinReg, StdDev, etc and leaves out the 
rest, and also explains them all in easy-to-understand terms and in logical 
progression. Anyone know of anything good along these lines? Thanks very 
much!

Steve

----- Original Message ----- 
From: "treliff" <treliff@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 01, 2006 2:00 PM
Subject: [amibroker] Re: Simple StDev Question


> 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
>> > >
>> > >
>> > > Please note that this group is for discussion between users
> only.
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