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PureBytes Links
Trading Reference Links
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Steve, you perhaps found these yourself already:
http://gummy-stuff.org/
http://gummy-stuff.org/copulas.htm
http://gummy-stuff.org/beta.htm
http://gummy-stuff.org/mean-regression.htm
http://gummy-stuff.org/index.shtml#SEARCH
Yeah the guy is great, unbelievable how he writes all this after
retiring. Recommended!
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> 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@xxx>
> 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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> >> > > To get support from AmiBroker please send an e-mail directly
to
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> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
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> >
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> >
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