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Worden Discussion Forum » Customer Training & Support » Ask a Trainer - TC2000 version 12/18 » Sigma Spike - based upon return

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NattowGate
Posted : Wednesday, November 8, 2017 10:20:11 PM
Gold Customer Gold Customer

Joined: 12/16/2013
Posts: 7

Hi

I need some help, if doable, in TC2000, tryin gto calculate the ratio of today's retun/yesterday's 20 day std deviation of return?

 

  • Calculate daily returns as: return = today's close / yesterday's close - 1
  • Calculate standard deviation of daily returns over a 20 day window. In quasi-Excel langauge:: stdev = stdev(returns, 20)
  • Calculate today's sigma spike: SigmaSpike = today's return / yesterday's stdev
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Bruce_L
Posted : Thursday, November 9, 2017 8:44:15 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

Please try the following indicator formula.

(C / C1 - 1) / SQR(ABS(SUM((C1 / C2 - 1) ^ 2, 20)- 20 * AVG(C1 / C2 - 1, 20) ^ 2) / 20)


-Bruce
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