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The point of the original indicator was to compare the actual SD of a
timeframe to it's estimated SD, based on the expected SD of a random walk
in that time frame. The benchmark from which the other time frame's SD
were extrapolated, was a presumably neutral random walk occurring in the
actual marketplace in a 1-bar timeframe. This logic suffers from circular
reasoning: a 1-bar SD in the marketplace is very likely not a true random
walk, so why use that as a random walk proxy?
This objection would hold true regardless of how you scaled your time
frames. If you chose a weekly bar as the benchmark standard for this
indicator, the SD of that actual weekly market data would suffer from the
same flaw....there's not the slightest reason to think it's a good proxy
for a truly random walk weekly bar.
The indicator's output could change radically depending on the timeframe of
the benchmark you choose. You are proposing that one simply change the
scale. But viewing the indicator from different scales (i.e., changing the
definition of the benchmark 1-unit SD) will change the output of the indicator.
Paul
> > If you chose an arbitrary 1-day (or 1-bar, if you're not using daily
> > data) move as your standard, I agree that would be very arbitrary and
> > would make the whole measurement questionable.
>
>I think we are creating a problem where none exists. Don't think in
>terms of bars or time but rather samples. The smallest unit of measure
>is one sample so that's the base for any calculation such as standard
>deviation which is based on multiple samples. If you want to look at
>time periods other than daily, just change the bar interval.... weekly,
>5 minutes, 10 ticks, whatever. The base unit for any calcs is still one
>sample.
>
> Dennis
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