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I couldn't help myself... might as well take the natural log of the
price series you're dealing with-- price data follows more of a log
distribtion than a normal distribution (log(c)). This become more
apparent in parabolic moving stocks and longer time frames for
calculating std. dev. There are other ways to deal with the
asymetric price distributions, but that is entirely too much
explanation for this dialogue.
good luck
> 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!
>
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