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----- Original Message -----
Sent: Wednesday, February 01, 2006 4:57
PM
Subject: Re: [amibroker] Re: Simple StDev
Question
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
>> > >
>> > >
>> >
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> >
>> > > _____
>> > >
>> >
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>> > >
>> >
>
>> > >
>> > > * Visit your group
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>> > >
>> >
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>
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
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>
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