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Brian -
Tomasz put it well. If curiosity gets to you here's a reference. Look for the section titled Simplification of the Formula -
http://en.wikipedia.org/wiki/Standard_deviation
-- BruceR
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> This formulation is in every algebra book and used in school often
> because it is quicker even for human to calculate that way.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "brian_z111" <brian_z111@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, June 15, 2009 12:06 AM
> Subject: [amibroker] Re: How to code a Adaptive StDev()
>
>
> > Nice work Bruce.
> >
> > I was trying to make up my own algebraic equivalent in lieu of a reference source, or sources.
> >
> >
> > Did you get 'your' version of StDev from a reference of is it your own work?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@> wrote:
> >>
> >> Herman, Mike, all - just checking in and think I can offer a quick
> >> suggestion and some code that I have handy.
> >>
> >> 1. StDev() is a function that is not implemented as a variable period
> >> function, but can be with a slight caveat. Because this uses an
> >> alternative, but algebraically equivalent formulation, that employs a
> >> "data^2" term, it loses precision at about the 5th significant digit.
> >> That is close enough for most work, though. So, anyway, this one liner
> >> function will give a fast, variable period StDev ( IOW, vper can be a
> >> varying array) -
> >>
> >> function StDevVarPer( data, Vper )
> >> {
> >> return sqrt( MA( data ^ 2, vper ) - MA( data, vper ) ^ 2 );
> >> }
> >>
> >> 2. This is fast even with large numbers of 1 minute bars, but it is
> >> usually best to control QuickAFL with a statement like the following as
> >> the LAST STATEMENT in the program to yield maximum performance -
> >>
> >> SetBarsRequired( 500, 0 );
> >>
> >> Remember that with QuickAFL in an indicator, the first execution after
> >> an edit or insert passes the entire array to set the bar requirement,
> >> then QuickAFL is in force on a subset.
> >>
> >> -- BruceR
> >>
> >
> >
> >
> >
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>
------------------------------------
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