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Custom sorting tool to find True : candidates @ lower 2nd Stand deviation Rate this Topic:
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docmba
Posted : Saturday, April 24, 2010 4:35:05 PM
Gold Customer Gold Customer

Joined: 10/7/2004
Posts: 17
Hello ,                                                                                                                           4/23/2010
I am revisiting the notion of using  the lower 2nd stand dev  to find stock or etfs  indicating a  True  when sorting thru the universe of ETFS or Stocks . From a risk- reward point of view the security found at the lower 2nd stand dev  should eventually regress 95% of time( in a normal distribution ) to the mean using  the 20 day moving average as the sample mean .
Conceptually ,would it go something like this?

Sort indicates True  when C =  AVGC20 -lower 2nd stand
further described ... True when C=  (AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 19)))

IN additon , because the likelyhood of a security closing on its exact lower 2nd stand dev. ,I would like to incorporate the notion using  20% < or > than lower 2nd stand dev  as follows :
True when C <  .20 *(AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 19))))  OR  C> .8* (AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 19))))


Could you please help me refine the PCF formula so the that I could sort thru Etfs and find any ETF marked  TRUE  if it closed > .80  or < .20 of the  lower 2nd stand dev that day.As you can tell Im not  a math guy ,I apologize if I am loosely using terminology that I am not familair with.

THankyou,
Steve
(email removed by moderator)
Bruce_L
Posted : Monday, April 26, 2010 11:40:41 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
If I'm understanding correctly:

ABS((C - AVGC20) / (2 * SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 + C5 ^ 2 + C6 ^ 2 + C7 ^ 2 + C8 ^ 2 + C9 ^ 2 + C10 ^ 2 + C11 ^ 2 + C12 ^ 2 + C13 ^ 2 + C14 ^ 2 + C15 ^ 2 + C16 ^ 2 + C17 ^ 2 + C18 ^ 2 + C19 ^ 2 - 20 * AVGC20 ^ 2) / 19)) + 1) <= .2

You may wish to review the following:

Modelling Bollinger Bands (& Standard Deviation) in a TC PCF
How to create a Personal Criteria Forumula (PCF)
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!

-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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