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Profile: kram
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User Name: kram
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Joined: Thursday, October 07, 2004
Last Visit: Thursday, September 20, 2018 6:44:34 PM
Number of Posts: 75
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Last 10 Posts
Topic: Standard Dev etc
Posted: Thursday, September 20, 2018 5:41:50 PM

Bruce, is it possible to replicate this approach?

The model is built using the “Microsoft Excel” spread sheet application.  Based on this data the model calculates the 10 day moving average of the PRICE. As the actual PRICE should closely resemble the value of the moving average the difference between the actual PRICE and the moving average is calculated to arrive at the ‘Difference’. Also moving 10 day standard deviation is calculated for the PRICE This standard deviation is multiplied with the ‘K-Value’ to obtain the ‘K times standard deviation’. Thus the aberration in the  price indicated by the difference between actual data and moving average is divided by the volatility of the PRICE represented by the standard deviation multiplied by optimal K-Value to obtain the ‘Price Difference by K times standard deviation’. By using these data the signals signifying the market movements are derived. If the ‘Price Difference by K times standard deviation’ is greater than ‘1’ then prices are expected to increase and the signal is ‘+’ indicating an upward trend. If the ‘Price Difference by K times standard deviation’ is lesser than ‘-1’ then the prices are expected to fall and hence the signal is ‘-‘. If the ‘Price Difference by K times standard deviation’ is not very significant, the price movement cannot be predicted with certainty and hence the signal is ‘0’.

 

K values can be  .25   .50  .75   1.0  1.25   1.50 for example

 

thank you for the consideration. 

Topic: stochastic ?
Posted: Wednesday, August 15, 2018 5:32:42 PM

thank for the info and links

Topic: stochastic ?
Posted: Wednesday, August 15, 2018 5:17:35 PM

hopefully one last question?

 

how do I get tjem on the same pane?

Topic: stochastic ?
Posted: Wednesday, August 15, 2018 5:13:48 PM

thanks !

Topic: stochastic ?
Posted: Wednesday, August 15, 2018 4:53:00 PM

Hi Bruce,

I am doing something incorrectly.  I inputted the following for this exercise:

STOC7
STOC7.3
AVG(STOC7.3, 5)
AVG(AVG(STOC7.3, 5), 2)
 
I used the WRITE INDICATOR FORMULA    Edit PCF  field
 
it calculated zero.  thoughts please
 
thank you
Topic: stochastic ?
Posted: Friday, July 13, 2018 8:59:04 AM

as always, thank you !

Topic: stochastic ?
Posted: Thursday, July 12, 2018 3:40:55 PM

one more question please:

 

is it possible to replicate the bloomberg structure (formula) for TC platform ?

thanks

Topic: stochastic ?
Posted: Thursday, July 12, 2018 10:05:32 AM

Thanks much !

Topic: stochastic ?
Posted: Wednesday, July 11, 2018 5:39:24 PM

Bruce,

These formulas are used in a bloomberg stochastic:

Stochastics measures the velocity of a security's price movement to identify overbought and oversold conditions. The indicator measures current price relative to highs and lows over a time period. In an up-trend, markets tend to close near the high and  while in a down-trend they to close nearer to the lows. This indicator is calculated with the following formula:
 
%K = 100*Closing Range/Total Range
 
where:
 
 Closing Range = Close - Range Minimum
 
 Total Range = Range Maximum - Range Minimum
 
The extent of the Range is determined by the %K period parameter.
 
%D = N-period moving average of %K where N is the %D period parameter.
 
%K with %D is sometimes referred to as the Fast Stochastics. %DS and %DSS, sometimes referred to as the Slow Stochastics, have additional smoothing as determined by their respective period parameters. Stochastics can be used to recognize potential turning points to help make entry/exit decisions.
If %K , %D,    and  %DS , %DSS are 7,3,5,2  how do the relate to TC's version ? with only 3 inputs ?
 
thank you
 
TC2000 has 3 inputs and an OFFSET field.
Topic: VBE
Posted: Wednesday, March 14, 2018 3:03:32 PM

thank you