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| Tuesday, March 29, 2011 |
| Friday, January 20, 2012 4:53:17 PM |
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20 day that is
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Do you know the pcf for the annualized standard deviation of daily returns?Thanks, Nate
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I believe I could just subtract the weighted standard deviation.like...40*((c/c20)-1)+40*((c/c40)-1) - stdev of (last 20 closes)the higher the stdev the more it will take away from the weighted averageI believe this is logical, do yo agree?
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Bruce,A 20 period standard deviation would suffice. I think your idea for creating a mechanism that makes low vol appear high is exactly what I want.Maybe I complicated the last step more than it needs to be. I'm essentially just looking to create a weighted average of the metrics mentioned where my various return periods carry different weights and volatility carries a weight.How would you go about writing the formula if I just choose to use 20 day stdev and wish to weight it 20%?Thanks for your time
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If I wanted to add volatility as measured by either 20 day standard deviation or possibly ATR and still rank them the same way, likely just applying my scan to a column. What would be the best way to write that code? Keep in mind I would want low stdev and I would want to weight them into the equation we talked about earlier. Thanks for your help.So it would be something like40*(c/c20)+40*(c/40) 20*(the lowest standard deviation or ATR)Ideally I want to look at high relative strength low vol stocks and ETFsThanks for all your help!-Nate
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Is it possible to weight different return dates to come up with a cumulative ranking for a watch list? For instance, out of all the commodity ETF's in a watch list I wish to weight the 20 day return .5 and the 30 day .5 to come up with a cumulative statistic. Is this possible and if so how would I approach it?
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I've figured out the TD setup and Intersection but the tricky part is the count down. It presents problems because you want c-c2
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Bruce,
I'm extremely interested in this. At my firm we use Relative Rotation Graphs on Bloomberg and the calculations seem quite similar to this. Idk if you are familiar with the RRG if not check out www.relativerotationgraphs.com but I would love to create something like this on TC. I know it wont be as graphically appealing but I'd like to do something possibly four watchlist indicating what quadrant of the graph the various sectors or asset classes are in. What do you think?
-Nate
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Bruce,I know you cannot help me with the code. My firm uses the TD indicators on Bloomberg but I'd like to be able to see where things are on my personal computer. I won't ask about the specific code I should be able to handle that but is the only way to set it up by having a multi-level pcf where I flag the securities that pass the conditions?
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Has anyone tried to create any of the Demark Indicators using PCFs?
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