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 [email protected], Keith McCombs <kmcco...@...> 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 <ramoncumm...@... > > <mailto:ramoncumm...@...>> 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 > > > > > > >
