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That's damn close - they seem to do some sort of normalization of the
numbers. Their numbers are range bound with 1.0 being the mean, and
then standard deviations being .02 on either side - probably
percentages is my guess.
http://www.indexindicators.com/charts/sp500-vs-sp500-20d-rsma-params-x-x-x/
So, one standard dev is 0.98, two is 0.96, etc.
Brian - thank you so much for the help - this is great.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> This is the more useful version.
> Not an emulation of theirs - that is too difficult without detailed
> info.
>
> //P_FixedStDev
>
> Periods = 50;
> difference = C - MA(C,Periods);
> mean = MA(difference,Periods);
> lvmean = LastValue(mean);
> //sdmean = StDev(mean, Periods);
> sddiff = StDev(difference,Periods);
> top = LastValue(mean + sddiff);
> bottom = LastValue(mean - sddiff);
>
> Plot(lvmean, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> Plot(top, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> Plot(bottom, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> Plot(difference, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
>
> I am sure it can be improved on with a better application of
> detrending etc.
>
> brian_z
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > I meant to say "you could have given us a better brief etc"
> >
> > They have a left scale and also the StDev is in standard units.
> >
> > You only see one line if you use montly charts (as they do).
> > If you change to daily charts you will see 3 lines.
> >
> > Try this for leftscale:
> >
> > //P_FixedStDev
> >
> > Periods = 50;
> > difference = C - MA(C,Periods);
> > mean = MA(difference,Periods);
> > lvmean = LastValue(mean);
> > sdmean = StDev(mean, Periods);
> > top = LastValue(mean + sdmean);
> > bottom = LastValue(mean - sdmean);
> >
> > Plot(lvmean, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> > Plot(top, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> > Plot(bottom, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> > Plot(difference, _DEFAULT_NAME(),colorGreen,styleLeftAxisScale);
> >
> >
> > If you changeup the code to convert StDev to standard units you
> will
> > be there.
> >
> > brian_z
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > It's plotting the grey SD +_ lines as per your example.
> > >
> > > (You give us a better brief - just as well we are mind readers?)
> > >
> > > It looks like you want to subtract close from MA(C,50) and then
> put
> > > the SD over the top of that (substitute the difference for MA
> (C,50)
> > > in Bills (adapted) code.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> > > >
> > > > Hmmm...once again, I'm not getting anything from this code. I
> > just
> > > > get a straight line going across.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
> > wrote:
> > > > >
> > > > > //P_FixedStDev
> > > > >
> > > > > mean = MA(C,50);
> > > > > lvmean = LastValue(mean);
> > > > > sdmean = StDev(mean, 50);
> > > > > top = LastValue(mean + sdmean);
> > > > > bottom = LastValue(mean - sdmean);
> > > > >
> > > > > Plot(lvmean, _DEFAULT_NAME(),1,1);
> > > > > Plot(top, _DEFAULT_NAME(),1,1);
> > > > > Plot(bottom, _DEFAULT_NAME(),1,1);
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@>
> wrote:
> > > > > >
> > > > > > That solves some of it - so that gives me the upper and
> lower
> > > lines
> > > > > > (over the entire range of the stock - not sure about
> that).
> > > But I
> > > > > > need the line that represents the current standard
> deviation
> > > from a
> > > > > > 50d moving average.
> > > > > >
> > > > > > Appreciate the help though - it's a good start for me.
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic"
> > <timesarrow@>
> > > > > wrote:
> > > > > > >
> > > > > > > Something along these lines should work:
> > > > > > >
> > > > > > > mean = cum(c) / (barcount -1);
> > > > > > > lvmean = lastvalue(mean);
> > > > > > > sdmean = stdev(mean, barcount -1);
> > > > > > > top = lastvalue(mean + sdmean);
> > > > > > > bottom = lastvalue(mean - sdmean);
> > > > > > >
> > > > > > > plot(lvmean, ...
> > > > > > > plot(top, ...
> > > > > > > plot(bottom, ...
> > > > > > >
> > > > > > > Bill
> > > > > > >
> > > > > > > ----- Original Message -----
> > > > > > > From: "droskill" <droskill@>
> > > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > > > Sent: Thursday, March 20, 2008 12:14 PM
> > > > > > > Subject: [amibroker] Standard Deviation as an indicator
> > > > > > >
> > > > > > >
> > > > > > > > Hey all - I'm trying to put together an indicator based
> > on
> > > > > Standard
> > > > > > > > Deviation. The difference, from, say Bollinger Bands
> in
> > > this
> > > > > case is
> > > > > > > > that I want to show the Std Dev from a moving average
> in
> > > terms
> > > > > of 1,2
> > > > > > > > and 3 standard deviations from mean, where mean is an N
> > day
> > > > > moving
> > > > > > > > average. So, the mean would be represented by a
> constant
> > > > > straight
> > > > > > > > line on a chart, and then a line would go up/down
> around
> > it.
> > > > > > > >
> > > > > > > > For an example, check this out:
> > > > > > > >
> > > > > > http://www.indexindicators.com/charts/sp500-vs-sp500-50d-
> rsma-
> > > > > params-3y-x-x/
> > > > > > > >
> > > > > > > > I really don't know how to approach this - anybody have
> > any
> > > > > > > > thoughts/ideas? Or maybe someone has done it before
> (or
> > > it's
> > > > > in AB
> > > > > > > > already) and I just haven't found it.
> > > > > > > >
> > > > > > > > Thanks!
> > > > > > > >
> > > > > > > >
> > > > > > > > ------------------------------------
> > > > > > > >
> > > > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always
> check
> > > > > DEVLOG:
> > > > > > > > http://www.amibroker.com/devlog/
> > > > > > > >
> > > > > > > > For other support material please check also:
> > > > > > > > http://www.amibroker.com/support.html
> > > > > > > > Yahoo! Groups Links
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > --
> > > > > > > > No virus found in this incoming message.
> > > > > > > > Checked by AVG.
> > > > > > > > Version: 7.5.519 / Virus Database: 269.21.7/1335 -
> > Release
> > > Date:
> > > > > > 3/19/2008 9:54 AM
> > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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