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Hi Preston,
I put in your formula as follows:
B:=C - Ref(C,-1);
Mov(B,5,S);
X:=Mov(C,10,S);
Y:=Stdev(X,10);
Z:=ROC(Y,1,%)
The only line that plots in the window is the 5 period ma. Have I got
the syntax wrong somewhere?
To make my own I created the "daily change in closing price" indicator
and plotted it in a window, then overlayed a 5 period ma on that, and
set that scale to "merge w/scale on right" and saved it as a template.
This gave me the first 2 components of the indicator. I applied it to
RMBS which is in the article and it was exactly the same. But I still
don't have the std dev.
Of course it'd be better to have it all written as one formula, so if
you could show me where I'm going wrong in my syntax, I'll plot it on
RMBS w/the third component as you've written it and let you know if it
matches the chart in the article.
Thanks much for your help,
Harold
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxxx> wrote:
>
> Harold,
>
> Not long ago I posted the DMI indicator which uses volatility to
> determine its lookback periods. That formula is :
> Vt:=(Stdev(C,5)/Mov(Stdev(C,5),10,S))*10;
> Vt:=Max(vt,.0000001);
>
> To specifically answer your questions, here are the formulas:
>
> 1) The daily change in closing price
> A:=ROC(C,1, % );
> or
> B:=C - ref(C,-1);
>
> 2) 5-day avg of the daily closing price changes
> mov(A,5,S)
> or
> mov(B,5,S)
>
> 3) the daily change in the standard deviation of the 10-day avg
> closing price.
>
> X:=mov(C,10,S);
> Y:=Stdev(X,10);
> Z:=roc(Y,1,%);
>
> The problem that I see in interpreting #3 is if we should be using 10
> or 1 for the standard deviation periods. As soon as my copy of the
> mag comes in I'll take a look at it to see which is correct.
>
> Preston
>
> Preston
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "hcour" <halcour@xxxx> wrote:
> >
> > In the Nov Futures mag there is an indicator called the Volatility
> > Oscillator which consists of three parts: 1) The daily change in
> > closing price, 2) 5-day avg of the daily closing price changes, 3)
> the
> > daily change in the standard deviation of the 10-day avg closing
> price.
> >
> > I've got the first 2 plotted, no problem. Could someone help w/the
> > code for the third part, the std dev? Here is how it's written in
> the
> > article:
> >
> > STD[mean(day^1:day^10] ~n
> > STD[mean(day^0:day^9)]
> >
> > Except the ~ symbol is actually over the letter "n".
> >
> > I never got past Algebra I, so this is beyond moi. I know MS has a
> Std
> > Dev indicator, but I don't know how to code it.
> >
> > Thanks for any help,
> > Harold
> >
>
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