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Registered User
Joined: 12/3/2004
Posts: 7
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Good morning.  If I wanted to chart the standard deviation of a stock price using a 1 day moving average and a 5 day moving average, how would I do that?
Thanks,
Robert
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I might be misunderstanding the question, but I don't think it would make much sense to plot a 1-Period Standard Deviation. A 1-Period Moving Average is the same as the underlying indicator.
5-Period Standard Deviation Custom Indicator:
Select Chart Template | Add Indicator | Indicator.
- Visible: Checked
- Center Zero Line: Unchecked
- Plot using price scale: Unchecked
- Smoothing Average: 1
- Average Type: Doesn't matter (because the Smoothing Average is 1)
- Indicator Formula: SQR(ABS(C ^ 2 + C1 ^ 2 + C2 ^ 2 + C3 ^ 2 + C4 ^ 2 - 5 * AVGC5 ^ 2) / 5)
You may wish to review the following:
Plotting Custom Indicators with Examples
Modelling Bollinger Bands (& Standard Deviation) in a TC PCF
-Bruce
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TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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The Standard Deviation of Period 1 of any data sequence is 0 (zero).
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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bustermu,
Which is why I think I might be misunderstanding the question. Maybe there is an unspecified underlying Standard Deviation to which the Moving Averages are being applied (in other words, rpowell2u might want both the Standard Deviation itself and the 5-Period Moving Average of the Standard Deviation).
-Bruce
Personal Criteria Formulas
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Bruce,
I also do not understand the request.
My post was in response to your statement:
"... I don't think it would make much sense to plot a 1-Period Standard Deviation."
Some may not know that it is identically zero.
Thanks,
Jim Murphy
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Registered User
Joined: 12/3/2004
Posts: 7
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I was using 1MA and 5MA as examples and you guys are right, the std dev of a single data point will be zero.
What I was thinking of with a one day std dev, would be to look at something like this:
9am stock trades at 5 on 4,000 sh
9:01am stock trades at 6 on 7,000 sh
9:02am stock trades at 4 on 2,000 sh
In the above example I would weight the stock trades with volume in 1000sh increments so that I would be taking a standard deviation of the following:
5,5,5,5,6,6,6,6,6,6,6,4,4
The result would be a mean of 5.38 with a std dev of .77
Is that possible to do within TC2000 if you have the streaming version?
Thanks again and sorry for the original confusion.
Robert
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I really can't think of an automated way to do base this on the start of the trading day using TeleChart.
-Bruce
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 Gold Customer
Joined: 10/7/2004
Posts: 17
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Hi Bruce ,
Tryng to use 2 standard dev to signal 5 % probability on the upper price limit as a signal to buy puts , bear call spreads . The formula below was harnessed from previous requests. Tell if I am wrong on how to sort for these upper 2 stand dev sorts.
Here is what i did:
1.created custom indicator as follows -
BB(20,2) = set period = 20 & width =20 . I using a 20 day smooth moving ave.
2.created a pcf for 2 standard dev as demonstrated below:
AvgC20 - 2 * SQR((( C*C +C1*C1
+C2*C2 +C3*C3 +C4*C4 +C5*C5 +C6*C6
+C7*C7 +C8*C8 +C9*C9 +C10*C10
+C11*C11 +C12*C12 +C13*C13 +C14*C14
+C15*C15 +C16*C16 +C17*C17 +C18*C18
+C19*C19 ) - ( 20 * AvgC20*AvgC20 ) ) / 19 )
Below is what I observed:
1.the upper bolinger band does not intersect the "sorted" 2 stand price.
2.The sorted 2 stand dev price lagged the close for that day.The "sorted" number i.e 34 (I presume thia is price at 2nd stand) while the closing was 29.THe market close always lagged resulting in missed opportunity.
What I am not understanding as I want to find stocks at their upper 2nd stand dev ,which is demonstrated by a sort number and 2nd stand dev baND .The 2nd stand dev sorted price COINCIDES WITH THE CLOSE .In other words, using the templates written out above: PCF 2 stand dev & BB formual custom indicator I want to find where the market close coincides with upper 2nd stand. ?
Thankyou,
Dr Silverhardt
docmba (user)
(email removed by Moderator)
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Gold Customer
Joined: 10/7/2004
Posts: 17
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Hello,
I requested your feedback/help on stand dev 11/28/06 tues.I haven't seen any response?
Thankyou,
Dr Silverhardt
docmba
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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QUOTE (docmba) Here is what i did:
1.created custom indicator as follows -
BB(20,2) = set period = 20 & width =20 . I using a 20 day smooth moving ave.
Bollinger Bands can be created without the use of a Custom Indicator. Just add the built in Bollinger Bands indicator to Price. Is the 20-Period Smoothing Average added to the Bollinger Bands? If so, is it Simple or Exponential?
QUOTE (docmba) AvgC20 - 2 * SQR((( C*C +C1*C1 +C2*C2 +C3*C3 +C4*C4 +C5*C5 +C6*C6 +C7*C7 +C8*C8 +C9*C9 +C10*C10 +C11*C11 +C12*C12 +C13*C13 +C14*C14 +C15*C15 +C16*C16 +C17*C17 +C18*C18 +C19*C19 ) - ( 20 * AvgC20*AvgC20 ) ) / 19 )
Below is what I observed:
1.the upper bolinger band does not intersect the "sorted" 2 stand price.
Your formula is for the Lower Bollinger Band. You would need to change the first "-" to a "+" to get the formula for the Upper Bollinger Band:
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)
QUOTE (docmba) What I am not understanding as I want to find stocks at their upper 2nd stand dev ,which is demonstrated by a sort number and 2nd stand dev baND .The 2nd stand dev sorted price COINCIDES WITH THE CLOSE .In other words, using the templates written out above: PCF 2 stand dev & BB formual custom indicator I want to find where the market close coincides with upper 2nd stand. ?
You might want to try sorting by a 20-Period %b:
50 * (C - AVGC20) / 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) + 50
You are looking for values near 150. You could use this as an EasyScan Condition and adjust the Rangefinder appropriately. You may wish to review the following:
Using EasyScan to find stocks that meet your own criteria
-Bruce
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