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We can do that in AB.
I ran out of time to do anymore.
As you play with it you will find ways to improve it and get what you
want e.g. try changing SD and MA periods.
Also, if you want to beautify it with scales and headings etc you can
also do that.
Plotting it on the same chart is nice for publishing but you can see
the same thing in a separate pane (probably better as I think the
competition between plots distracs the eye, rather than helps it).
I quite like that approach - I have done similar, at times, for
myself, so I could see where they were coming from.
Glad it helps you.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> 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@> 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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