|
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.
>> > >
>> > > To get support from AmiBroker please send an e-mail directly to
>> > > SUPPORT {at} amibroker.com
>> > >
>> > > For other support material please check also:
>> > > http://www.amibroker.com/support.html
>> > >
>> > >
>> > >
>> > >
>> > >
>> > >
>> > > SPONSORED LINKS
>> > >
>> > >
>> > > Investment
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Investment+management+software&w1=I
>> > >
>> >
> nvestment+management+software&w2=Real+estate+investment+software&w3=In
>> > ve
>> > >
>> >
> stment+property+software&w4=Software+support&w5=Real+estate+investment
>> > +a
>> > >
>> >
> nalysis+software&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZN
>> > cM
>> > > u4KNQ> management software
>> > >
>> > > Real
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Real+estate+investment+software&w1=
>> > >
>> >
> Investment+management+software&w2=Real+estate+investment+software&w3=I
>> > nv
>> > >
>> >
> estment+property+software&w4=Software+support&w5=Real+estate+investmen
>> > t+
>> > >
>> >
> analysis+software&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGM
>> > tJ
>> > > 9tFSJA> estate investment software
>> > >
>> > > Investment
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Investment+property+software&w1=Inv
>> > >
>> >
> estment+management+software&w2=Real+estate+investment+software&w3=Inve
>> > st
>> > >
>> >
> ment+property+software&w4=Software+support&w5=Real+estate+investment+a
>> > na
>> > >
>> >
> lysis+software&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6o
>> > X5
>> > > WZw> property software
>> > >
>> > >
>> > > Software
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Software+support&w1=Investment+mana
>> > >
>> >
> gement+software&w2=Real+estate+investment+software&w3=Investment+prope
>> > rt
>> > >
>> >
> y+software&w4=Software+support&w5=Real+estate+investment+analysis+soft
>> > wa
>> > > re&w6=Investment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w>
>> > > support
>> > >
>> > > Real
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Real+estate+investment+analysis+sof
>> > >
>> >
> tware&w1=Investment+management+software&w2=Real+estate+investment+soft
>> > wa
>> > >
>> >
> re&w3=Investment+property+software&w4=Software+support&w5=Real+estate+
>> > in
>> > >
>> >
> vestment+analysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8P
>> > lA
>> > > JASx0wrSaX5-Zlw> estate investment analysis software
>> > >
>> > > Investment
>> > > <http://groups.yahoo.com/gads?
>> > t=ms&k=Investment+software&w1=Investment+m
>> > >
>> >
> anagement+software&w2=Real+estate+investment+software&w3=Investment+pr
>> > op
>> > >
>> >
> erty+software&w4=Software+support&w5=Real+estate+investment+analysis+s
>> > of
>> > >
> tware&w6=Investment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg>
>> > > software
>> > >
>> > >
>> > >
>> > > _____
>> > >
>> > > YAHOO! GROUPS LINKS
>> > >
>> > >
>> > >
>> > > * Visit your group "amibroker
>> > > <http://groups.yahoo.com/group/amibroker> " on the web.
>> > >
>> > >
>> > > * To unsubscribe from this group, send an email to:
>> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
>> > > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
> subject=Unsubscribe>
>> > >
>> > >
>> > > * Your use of Yahoo! Groups is subject to the Yahoo!
>> > > <http://docs.yahoo.com/info/terms/> Terms of Service.
>> > >
>> > >
>> > >
>> > > _____
>> > >
>> >
>>
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|