Re: [amibroker] Interesting Math Problem wih StDev

["Tomasz Janeczko \(groups\)" <groups@xxxxxxxxxxxxx>]

Nulls can only appear at the BEGINNING of array. Using Nulls in the middle of non-null series

is NOT supported. If your data series includes Nulls in the middle, you must convert Nulls to non-null values

using NZ function.

 

To answer your question: use loop and calculate StDev yourself in a loop 

- easy one is sqrt(  (EX2 - (EX)*(EX)) )

 

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Ken Close

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, July 19, 2008 6:20 PM

Subject: [amibroker] Interesting Math Problem wih StDev

I want to calculate the SD of monthly returns, as well as the SD of only the positive monthly returns and negative monthly returns.

 

The SD of the monthly returns is easy, but the SD of the positive or negative returns is in error because I do not know how to calculate them, at least in AFL.

 

If MnGain is the monthly return

 

Then SDMonthly = StDev(MnGain, LastValue(Period));

 

However, to determine positive monthly gains I use

 

MnGainUp = IIF(MnGain>0, MnGain, 0);

MnGainDn = IIF(MnGain<=0,MnGain,0);

 

Then SDUpMonthly = StDev(MnGainUp,Period);

 

is overstated because of the zeros which are within the range of gains on which the SD function operates.

Take out the zeros in a column of MnUpGains within Excel and then take the SD of the resulting series, and you get lower SDs compared to those with the zeros in the series.

 

But, using

 

MnGainUp = IIF(MnGain>0, MnGain, Null);

MnGainDn = IIF(MnGain<=0,MnGain,Null);

 

(which is the same as taking out the zeros manually in Excel) blows up the StDev calculation in AB (values in the millions).

The internal AB calculation of StDev apparently does not like Nulls within the series---or else I am doing it wrong.

 

Anyone have a suggestion on getting the correctly calculated standard deviations of just the up gains and down gains??

 

Ken

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