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THanks very much both Howard and Keith.
Keith your code based off Howards 'first principles' suggestion worked perfectly - I crossed checked it within Excel.
I really like this forum - so many helpful people!
cheers
Ramon
--- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>
> Sorry, I don't believe that Howard's first solution below is correct.
> Consider a very simple example. Stock has a high of $3, a low of $1,
> and a close of $2, every one of the 20 days. The arrays of H, L, and C,
> have means of $3, $1, and $2 respectively. And all three arrays have
> STDevs (about their own means) of $0. However, all highs, lows, and
> closes taken as a single set have a mean of $2 and a STDev of $0.8165.
>
> Howard's second solution is correct.
> However, a simpler AmiBroker form of it, without looping, is:
> N=20;
> STDev = ((MA(H*H,N)+MA(L*L,N)+MA(O*O,N))/3
> - ((MA(H,N)+MA(L,N)+MA(O,N))/3)^2)^0.5;
>
> An interesting (though probably not approved by those who approve proper
> mathematical thingys) experiment, might be to replace MA() with EMA()
> above, just to see what it looks like.
> I happen to be partial to EMA()s.
> -- Keith
>
> Howard B wrote:
> >
> >
> > Hi Ramon --
> >
> > Try computing the standard deviation of each series separately,
> > squaring each (those squared values are the variances), adding the
> > variances, and taking the square root of the sum of the variances. Is
> > that the number that agrees with what you are looking for?
> >
> > If not, look up the formula for computing the standard deviation of a
> > series of number. The program a for loop 20 days long. Within the
> > loop you will be processing three days points (HLC) every day instead
> > of just one (C).
> >
> > Thanks,
> > Howard
> >
> >
> > On Tue, Sep 8, 2009 at 7:01 AM, ramoncummins <ramoncummins@xxx
> > <mailto:ramoncummins@...>> wrote:
> >
> >
> >
> > Hi There
> >
> > I am trying to calculate the standard deviation of the high,low
> > and close prices for the last twenty days. In effect I wait the
> > stdev of 60 pieces of data (20days * 3 data points). For
> > reference, I am trying to replicate highlighting 60 cells in excel
> > and calculating stdev on them.
> >
> > I've thought about combing the h,l,c arrays but don't know how to
> > do this.
> >
> > Please note that neither of the following are correct:
> >
> > stdev(H+L+C, 20);
> > (stdev(h,20)+stdev(l,20)+stdev(c,20) / 3); //this produces similar
> > result but not *exactly* the correct result
> >
> > Any help much appreciated.
> >
> > Cheers
> >
> > Ramon
> >
> >
> >
>
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