Re: [amibroker] How to code a Adaptive StDev(), AmiBroker Email List Archive

On Jun 13, 2009, at 1:26 PM, Steve Dugas wrote:

Oops! Just saw a typo, should be this insread...

function xStDev( priceArray, Periods) // Periods < 25
{
global BBTop, BBBot;
   Periods = Max( 2, Min( 25, Periods ) );
   BreakPoint = Min( 25, Highest( Periods ));
   for( i = 2; i <= BreakPoint; i++ )
   {
     VarSet( "SD" + i, StDev( PriceArray, i );
   }
   AdaptSD = 0;
   for( i = 2; i <= BreakPoint; i++ )
   {
     CurrSD = VarGet( "SD" + i );
      AdaptSD = IIF( Periods == i, CurrSD, AdaptSD );
   }
  return AdaptSD;
}

----- Original Message -----
From: Steve Dugas
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 13, 2009 1:20 PM
Subject: Re: [amibroker] How to code a Adaptive StDev()

Hi Herman - Not sure how fast it would be but possibly something along these lines?

function xStDev( priceArray, Periods) // Periods < 25
{
global BBTop, BBBot;
   Periods = Max( 2, Min( 25, Periods ) );
   BreakPoint = Min( 25, Highest( Periods ));
   for( i = 2; i <= BreakPoint; i++ )
   {
     VarSet( "SD" + i, StDev( PriceArray, i );
   }
   AdaptSD = 0;
   for( i = 2; i <= BreakPoint; i++ )
   {
     CurrSD = VarGet( "SD" + i );
      AdaptSD = IIF( Periods == i, CurrSD, AdaptStDev );
   }
  return AdaptSD;
}
Would anyone have coded an adaptive StDev? I am using the solution below but is is VERY slow and the number of max period value is limited.

My math is just not up to this and any help would be very much appreciated!

have a great day,
Herman

function xStDev( priceArray, Periods) // Periods < 25
{
global BBTop, BBBot;
Periods = Min( 25, periods );
Periods = Max( 2, Periods);
Deviation =
IIf( Periods == 2, StDev( PriceArray, 2 ),
IIf( Periods == 3, StDev( PriceArray, 3 ),
IIf( Periods == 4, StDev( PriceArray, 4 ),
IIf( Periods == 5, StDev( PriceArray, 5 ),
IIf( Periods == 6, StDev( PriceArray, 6 ),
IIf( Periods == 7, StDev( PriceArray, 7 ),
IIf( Periods == 8, StDev( PriceArray, 8 ),
IIf( Periods == 9, StDev( PriceArray, 9 ),

IIf( Periods == 10, StDev( PriceArray, 10 ),
IIf( Periods == 11, StDev( PriceArray, 11 ),
IIf( Periods == 12, StDev( PriceArray, 12 ),

IIf( Periods == 13, StDev( PriceArray, 13 ),
IIf( Periods == 14, StDev( PriceArray, 14 ),
IIf( Periods == 15, StDev( PriceArray, 15 ),

IIf( Periods == 16, StDev( PriceArray, 16 ),
IIf( Periods == 17, StDev( PriceArray, 17 ),
IIf( Periods == 18, StDev( PriceArray, 18 ),

IIf( Periods == 19, StDev( PriceArray, 19 ),
IIf( Periods == 20, StDev( PriceArray, 20 ),
IIf( Periods == 21, StDev( PriceArray, 21 ),

IIf( Periods == 22, StDev( PriceArray, 22 ),
IIf( Periods == 23, StDev( PriceArray, 23 ),
IIf( Periods == 24, StDev( PriceArray, 24 ),
StDev( PriceArray, 25 ))))))))))))))))))))))));
return Deviation;
}