Re: [amibroker] Re: How are various statistical functions calculated?

[Tim Gadd <timgadd@xxxxxxxxx>]

Hi Fred,

Still confused (not uncommon, I'm afraid).

Which version - StDev(Close,50) or
MA(StDev(Close,1),50) is used by FastTrack to
calculate a 50-period standard deviation?

Also, assuming that the algorithm for calculating
correlation is the same between FastTrack and
Amibroker (not sure that it is), what would be the AFL
equivalent of setting the Correlation Length in Days
to 5 with 250 periods displayed between the poles in
FastTrack?

Thanks a lot.

--- Fred <ftonetti@xxxxxxxxxxxxx> wrote:

> StDev(Close,50) is the Standard Deviation of close
> of 50 bars 
> 
> MA(StDev(Close,1),50)is the 50 bar MA of the
> standard deviation of 
> the close of 1 bar.
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "timgadd"
> <timgadd@xxx> wrote:
> >
> > I need to get something straight about the way the
> some of the 
> > statistical functions are calculated. I hope the
> explanation of 
> what I 
> > am trying to understand is not confused by my lack
> of 
> understanding. :()
> > 
> > For example,
> Correlation(Close,Foreign("NDX","Close"),250) ...
> > 
> > Is each value returned from this function the
> 250-bar average of a 
> > correlation value that is calculated between each
> bar of the two 
> input 
> > arrays? Or does each value of the resulting array
> represent how 
> two 250-
> > period regression lines (or some other smoothing)
> are correlated?
> > 
> > Likewise, is StDev(Close,50) a 50-bar average of
> the dispersion of 
> each 
> > value in the array? Put differently, what is the
> difference 
> between ...
> > 
> > StDev(Close,50) and MA(StDev(Close,1),50)?
> > 
> > Thanks
> >
> 
> 
> 
> 
> 
> 


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