Hello. 

I'm looking for a variation of an idea I have worked with in the past. 

Let's say I am evaluating price over an aribitrary period of 100 bars. Over those 100 bars, I would like to get an average interval (in bars) of the price's fluctuation at a standard deviation of 1.25. That is, I would like to output the average number of bars over the sample period that it took to fluctuate up or down the 1.25 SD.

Is an additional period needed for calcuating the SD, similar to how BB uses a 20-period default? I assume so, but am not certain. In my mind, it looks like we're headed toward dividing the base period by a BB touch/cross count, but I'd like to clarify first.

Thank you very much.

By fluctuation, do you mean the MAXHx - MINLx range, the MAXCx - MINCx range, or the ABS(C - Cx) absolute net change (those last two are probably the same thing now that I think about it)?

Hi, Bruce. Thanks very much. For now, I think finding the far ends (MaxH, MinL) seems to address price fluctuation for how I would like to measure it. 

I have been playing with this and I don't think I can do it. About the best I can do is get how many bars back it would take for the range to cover 1.5 times the current 100 period standard deviation.

IIF(H - L >= 1.5 * STDDEV100, 1, IIF(MAXH2 - MINL2 >= 1.5 * STDDEV100, 2, IIF(MAXH3 - MINL3 >= 1.5 * STDDEV100, 3, IIF(MAXH4 - MINL4 >= 1.5 * STDDEV100, 4, IIF(MAXH5 - MINL5 >= 1.5 * STDDEV100, 5, IIF(MAXH6 - MINL6 >= 1.5 * STDDEV100, 6, IIF(MAXH7 - MINL7 >= 1.5 * STDDEV100, 7, IIF(MAXH8 - MINL8 >= 1.5 * STDDEV100, 8, IIF(MAXH9 - MINL9 >= 1.5 * STDDEV100, 9, IIF(MAXH10 - MINL10 >= 1.5 * STDDEV100, 10, IIF(MAXH11 - MINL11 >= 1.5 * STDDEV100, 11, IIF(MAXH12 - MINL12 >= 1.5 * STDDEV100, 12, IIF(MAXH13 - MINL13 >= 1.5 * STDDEV100, 13, IIF(MAXH14 - MINL14 >= 1.5 * STDDEV100, 14, IIF(MAXH15 - MINL15 >= 1.5 * STDDEV100, 15, IIF(MAXH16 - MINL16 >= 1.5 * STDDEV100, 16, IIF(MAXH17 - MINL17 >= 1.5 * STDDEV100, 17, IIF(MAXH18 - MINL18 >= 1.5 * STDDEV100, 18, IIF(MAXH19 - MINL19 >= 1.5 * STDDEV100, 19, IIF(MAXH20 - MINL20 >= 1.5 * STDDEV100, 20, IIF(MAXH21 - MINL21 >= 1.5 * STDDEV100, 21, IIF(MAXH22 - MINL22 >= 1.5 * STDDEV100, 22, IIF(MAXH23 - MINL23 >= 1.5 * STDDEV100, 23, IIF(MAXH24 - MINL24 >= 1.5 * STDDEV100, 24, IIF(MAXH25 - MINL25 >= 1.5 * STDDEV100, 25, IIF(MAXH26 - MINL26 >= 1.5 * STDDEV100, 26, IIF(MAXH27 - MINL27 >= 1.5 * STDDEV100, 27, IIF(MAXH28 - MINL28 >= 1.5 * STDDEV100, 28, IIF(MAXH29 - MINL29 >= 1.5 * STDDEV100, 29, IIF(MAXH30 - MINL30 >= 1.5 * STDDEV100, 30, IIF(MAXH31 - MINL31 >= 1.5 * STDDEV100, 31, IIF(MAXH32 - MINL32 >= 1.5 * STDDEV100, 32, IIF(MAXH33 - MINL33 >= 1.5 * STDDEV100, 33, IIF(MAXH34 - MINL34 >= 1.5 * STDDEV100, 34, IIF(MAXH35 - MINL35 >= 1.5 * STDDEV100, 35, IIF(MAXH36 - MINL36 >= 1.5 * STDDEV100, 36, IIF(MAXH37 - MINL37 >= 1.5 * STDDEV100, 37, IIF(MAXH38 - MINL38 >= 1.5 * STDDEV100, 38, IIF(MAXH39 - MINL39 >= 1.5 * STDDEV100, 39, IIF(MAXH40 - MINL40 >= 1.5 * STDDEV100, 40, IIF(MAXH41 - MINL41 >= 1.5 * STDDEV100, 41, IIF(MAXH42 - MINL42 >= 1.5 * STDDEV100, 42, IIF(MAXH43 - MINL43 >= 1.5 * STDDEV100, 43, IIF(MAXH44 - MINL44 >= 1.5 * STDDEV100, 44, IIF(MAXH45 - MINL45 >= 1.5 * STDDEV100, 45, IIF(MAXH46 - MINL46 >= 1.5 * STDDEV100, 46, IIF(MAXH47 - MINL47 >= 1.5 * STDDEV100, 47, IIF(MAXH48 - MINL48 >= 1.5 * STDDEV100, 48, IIF(MAXH49 - MINL49 >= 1.5 * STDDEV100, 49, IIF(MAXH50 - MINL50 >= 1.5 * STDDEV100, 50, IIF(MAXH51 - MINL51 >= 1.5 * STDDEV100, 51, IIF(MAXH52 - MINL52 >= 1.5 * STDDEV100, 52, IIF(MAXH53 - MINL53 >= 1.5 * STDDEV100, 53, IIF(MAXH54 - MINL54 >= 1.5 * STDDEV100, 54, IIF(MAXH55 - MINL55 >= 1.5 * STDDEV100, 55, IIF(MAXH56 - MINL56 >= 1.5 * STDDEV100, 56, IIF(MAXH57 - MINL57 >= 1.5 * STDDEV100, 57, IIF(MAXH58 - MINL58 >= 1.5 * STDDEV100, 58, IIF(MAXH59 - MINL59 >= 1.5 * STDDEV100, 59, IIF(MAXH60 - MINL60 >= 1.5 * STDDEV100, 60, IIF(MAXH61 - MINL61 >= 1.5 * STDDEV100, 61, IIF(MAXH62 - MINL62 >= 1.5 * STDDEV100, 62, IIF(MAXH63 - MINL63 >= 1.5 * STDDEV100, 63, IIF(MAXH64 - MINL64 >= 1.5 * STDDEV100, 64, IIF(MAXH65 - MINL65 >= 1.5 * STDDEV100, 65, IIF(MAXH66 - MINL66 >= 1.5 * STDDEV100, 66, IIF(MAXH67 - MINL67 >= 1.5 * STDDEV100, 67, IIF(MAXH68 - MINL68 >= 1.5 * STDDEV100, 68, IIF(MAXH69 - MINL69 >= 1.5 * STDDEV100, 69, IIF(MAXH70 - MINL70 >= 1.5 * STDDEV100, 70, IIF(MAXH71 - MINL71 >= 1.5 * STDDEV100, 71, IIF(MAXH72 - MINL72 >= 1.5 * STDDEV100, 72, IIF(MAXH73 - MINL73 >= 1.5 * STDDEV100, 73, IIF(MAXH74 - MINL74 >= 1.5 * STDDEV100, 74, IIF(MAXH75 - MINL75 >= 1.5 * STDDEV100, 75, IIF(MAXH76 - MINL76 >= 1.5 * STDDEV100, 76, IIF(MAXH77 - MINL77 >= 1.5 * STDDEV100, 77, IIF(MAXH78 - MINL78 >= 1.5 * STDDEV100, 78, IIF(MAXH79 - MINL79 >= 1.5 * STDDEV100, 79, IIF(MAXH80 - MINL80 >= 1.5 * STDDEV100, 80, IIF(MAXH81 - MINL81 >= 1.5 * STDDEV100, 81, IIF(MAXH82 - MINL82 >= 1.5 * STDDEV100, 82, IIF(MAXH83 - MINL83 >= 1.5 * STDDEV100, 83, IIF(MAXH84 - MINL84 >= 1.5 * STDDEV100, 84, IIF(MAXH85 - MINL85 >= 1.5 * STDDEV100, 85, IIF(MAXH86 - MINL86 >= 1.5 * STDDEV100, 86, IIF(MAXH87 - MINL87 >= 1.5 * STDDEV100, 87, IIF(MAXH88 - MINL88 >= 1.5 * STDDEV100, 88, IIF(MAXH89 - MINL89 >= 1.5 * STDDEV100, 89, IIF(MAXH90 - MINL90 >= 1.5 * STDDEV100, 90, IIF(MAXH91 - MINL91 >= 1.5 * STDDEV100, 91, IIF(MAXH92 - MINL92 >= 1.5 * STDDEV100, 92, IIF(MAXH93 - MINL93 >= 1.5 * STDDEV100, 93, IIF(MAXH94 - MINL94 >= 1.5 * STDDEV100, 94, IIF(MAXH95 - MINL95 >= 1.5 * STDDEV100, 95, IIF(MAXH96 - MINL96 >= 1.5 * STDDEV100, 96, IIF(MAXH97 - MINL97 >= 1.5 * STDDEV100, 97, IIF(MAXH98 - MINL98 >= 1.5 * STDDEV100, 98, IIF(MAXH99 - MINL99 >= 1.5 * STDDEV100, 99, 100)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))

While you could take a 100 period simple moving average of this, each of those bars would be looking at the standard devation at the time instead of the current standard devation. I do not see a reasonable workaround.

Oh, that's an interesting way to think about it. I'm interested in making use of this. Help me understand the output as added to a colum. Is the output an average still?

That's an impressive attempt, btw.

That formula in and of itself is not an average.

Starting with the current bar and going back up to 100 bars, it cheks for how many bars it takes until the total range ends up being equal to or greater than 1.5 times the current 100 period standard deviation.

You could put the entire formula in an AVG() function if you really want to get an average using just PCFs, but I think it would probably be more efficient to just add a 100 period moving average to this instead (by say plotting it on the chart as a Custom PCF Indicator and adding the moving average or setting the Average Period).

Thank you, Bruce. I'm going to test this in a variety of ways. It definitely produces a transformed view of tendency. Thanks again for attacking the problem.

You're welcome.