[amibroker] Re: Standard deviation of Intraday average volume

["Mike" <sfclimbers@xxxxxxxxx>]

>From Tomasz's comments on the StDev function in the user guide:

"Note that if you are trying to compare results of StDev function to Excel output you should use STDEVP function in Excel (not StDev)."

http://www.amibroker.com/guide/afl/afl_view.php?id=143

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "gucytribe" <angus@xxx> wrote:
>
> Hi Bill,
> 
> Thanks for the attempt, however the results don't much Excel (the Standard dev is a little over half of what it should be). Since Etoke is working on the same thing I will add my comments into his thread.
> 
> Tip2012
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Bill S <wjs45244@> wrote:
> >
> > I haven't checked the accuracy you can try this:
> > Avgvol=0;
> > sd = 0;
> > if (Interval()<inDaily)
> > {
> >    n = round(3600*6.75/Interval()); //number of bars in the day
> >    d = Param("Lookback days",5,1,30,1); //averaging period
> >    barnum = BarsSince(Day()!=Ref(Day(),-1)); //bar number from start of the
> > day
> >    for (i=0; i<n; i++)
> >    {
> >        VarSet("vol"+i,IIf(i==barnum,V,0));
> >     }
> >      for (i=0; i<n; i++)
> >     {
> >       Avgvol=IIf(barnum==i,Sum(VarGet("vol"+i),n*d)/d,Avgvol);
> >       sd = IIf( barnum==i, StDev( VarGet( "vol"+i), n*d), sd);
> >     }
> >   Plot( Avgvol, "Average Volume:" + d + " days", colorWhite, styleLine );
> >   Plot( Avgvol+sd, "1 std dev:", colorBrown, styleLine);
> > }
> > 
> > 
> > 
> > 
> > On Fri, May 1, 2009 at 11:17 AM, gucytribe <angus@> wrote:
> > 
> > >
> > >
> > > Hi,
> > >
> > > I downloaded this code from the Amibroker AFL library which calculates the
> > > intraday average volume. I have been trying to calculate the standard
> > > deviation of volume for the same time of day, however after messing around
> > > with it for quite some time I still haven't managed to code anything that
> > > gives the correct answer.
> > >
> > > Can someone please help?
> > >
> > > Many thanks.
> > >
> > > Avgvol=0;
> > > if (Interval()<inDaily) {
> > > n = round(3600*6.75/Interval()); //number of bars in the day
> > > d = Param("Lookback days",5,1,30,1); //averaging period
> > > barnum = BarsSince(Day()!=Ref(Day(),-1)); //bar number from start of the
> > > day
> > > for (i=0; i<n; i++) {
> > > VarSet("vol"+i,IIf(i==barnum,V,0));
> > > }
> > > for (i=0; i<n; i++) {
> > > Avgvol=IIf(barnum==i,Sum(VarGet("vol"+i),n*d)/d,Avgvol);
> > > }
> > >
> > > }
> > >
> > >  
> > >
> >
>




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