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Hi Bill,
Thanks for the link, but it seems what they offer
is basically definitions ( unless I missed something? ). I was looking for
something a little more in-depth. Actually, I do have a basic understanding of
these things but I hoping to find one site that would fill in the
gaps and tie it all together. I will keep looking in my spare time - if I
find anything good I will post the link. Thanks again!
Steve
----- Original Message -----
Sent: Wednesday, February 01, 2006 8:04
PM
Subject: Re: [amibroker] Re: Simple StDev
Question
----- 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
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>> > >
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material please check also:
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>>
> >
>> > >
>> > >
>> >
>
>> > >
>> > >
>> > >
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>> > >
>> >
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