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Joined: 7/24/2008
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Is it possible in TC2000 to create a custom indicator which takes the standard deviation of 20 log price changes?
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Worden Trainer
Joined: 10/7/2004
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SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 - (LOG(C / C20) ^ 2) / 20) / 20)
Historical Volatility (HV)
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce
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Registered User
Joined: 7/24/2008
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Can I also take the standard deviation value and multiply it by the close on day 21? Then can I divide the day 22 price change by that value?
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Worden Trainer
Joined: 10/7/2004
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QUOTE (TheTechnician) Can I also take the standard deviation value and multiply it by the close on day 21?
How does the Close of day 21 relate to the 20-Period Standard Deviation. Is it the last day of the Standard Deviation being calculated, the day after or something else?
QUOTE (TheTechnician) Then can I divide the day 22 price change by that value?
Are you talking Net Change, Price Percent Change or something else?
-Bruce
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Registered User
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I mean the net change, not percentage. I multiply by the close on day 21 so I can find out the magnitude of a 1 standard deviation price change at the end of the window.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following:
(C - C22) / (C * SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 - (LOG(C / C20) ^ 2) / 20) / 20))
-Bruce
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Registered User
Joined: 7/24/2008
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I would like to dsplay the information as a bar chart underneath my price chart in real-time perhaps using the closes for 2 or 5 minute bars. The key is I want it to be a 20 period sliding window. For example closes 1 to 21, closes 2 to 22, closes 3 to 23 and so on. So after it outputs a value, the window slides forward until the close of trading. The opening bar for the morning will be based on the 19 periods the day before. So it is continuous and I do not have to wait for twenty bars in the morning for an output to be displayed.
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Worden Trainer
Joined: 10/7/2004
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You should be able to just use the formula in a Custom PCF Indicator. In TC2000 version 7, you would be limited to plotting the indicator as a line, but in TC2000 version 12, you can set the Plot Style to Histogram.
-Bruce
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Registered User
Joined: 7/24/2008
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So all I have to do is write that formula you put down and it is going to do everything I want?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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If you do it in a Custom PCF Indicator set with a Histogram Plot Style, yes, it should (unless I'm misunderstanding something about your request).
- Select Add Indicator.
- Choose Custom PCF Indicator.
- Click on the Custom PCF Indicator and select Edit.
- Change the Plot Style to Histogram.
- Copy and Paste the formula into the Formula window (use ctrl-v to paste).
- Give it a label and change the colors if you want.
- Select OK.
-Bruce
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Registered User
Joined: 7/24/2008
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could you please explain how that formula works
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Worden Trainer
Joined: 10/7/2004
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The following portion represents a 22-Period Net Change:
(C - C22)
It is in parentheses to force an order of operations before the division:
/
The next section multiplies the current Price by the Standard Devation of the logarithm of price changes:
(C * SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 - (LOG(C / C20) ^ 2) / 20) / 20))
Note that this is also in parentheses to force an order of operations before the division. The current close is:
C
While the Standard Deviation of the twenty most recent log price changes:
SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 - (LOG(C / C20) ^ 2) / 20) / 20)
Now you may be asking yourself why it is the ratio of C / C1 instead of the Net Change of C - C1. If you ale asking yourself this, it is because taking the LOG of C - C1 does not make any sense as the logarithms of zero and below are undefined (a logarithm must be of a positive number).
Taking the standard devation of the logarithms of the ratios of prices is done when calculating Historical Volatility which is why I referenced the Historical Volatility (HV) topic in my first reply. There is significant discussion of the exact form of the formula. Modelling Bollinger Bands (& Standard Deviation) in a TC PCF is a more generalized topic on calculating standard devation.
The PCF Formula Descriptions topic, which was also referenced in my first reply, contains a fairly comprehensive list of the syntax which is valid in the Personal Criteria Formula Language.
-Bruce
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Registered User
Joined: 7/24/2008
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and it is going to slide forward after each 2 or 5 minute bar?
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Worden Trainer
Joined: 10/7/2004
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Unless I am misunderstanding what you mean by that phrase, yes. Custom PCF Indicators will calculate for every bar for which enough data is available to calculate. Try it.
-Bruce
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Registered User
Joined: 7/24/2008
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And will I be able to sort based on that indicator. Like I would sorting for stocks with recent multiple high values. Like in the last 10 bars 3 or more bars with values of 3 or more, something like that.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You can sort on value of the Custom PCF Indicator by clicking on it and selecting Add Column to WatchList.
You can create Conditions based on the Custom PCF Indicator by clicking on it and selecting Create Condition.
Indicators, Sorting & Scanning
While a wide variety of Conditions could be created, three of the most recent ten bars had values above three is not amongst them.
That said, you could create a Custom PCF % Indicator checking for the value to be at least 3:
(C - C22) / (C * SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 - (LOG(C / C20) ^ 2) / 20) / 20)) >= 3
Set the Period to 10 and the Average Type to Simple. You could then click on the Custom PCF % True Indicator to see if its Value was greater than 29 (since 30% would represent 3 of 10 bars).
-Bruce
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Registered User
Joined: 7/24/2008
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Thanks a lot, Bruce. You are a very sharp man.
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Registered User
Joined: 7/24/2008
Posts: 55
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Does TC2000 have an rsquared function or Pearson product-moment correlation coefficient function. If not, can I create it in the PCF?
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Registered User
Joined: 1/28/2005
Posts: 6,049
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QUOTE (TheTechnician) Does TC2000 have an rsquared function or Pearson product-moment correlation coefficient function. If not, can I create it in the PCF?
See this:
http://forums.worden.com/default.aspx?g=posts&t=40969
Thanks
diceman
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Registered User
Joined: 7/24/2008
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Bruce, is there a formula I can create like R-squared or Pearson's product-moment correlation coefficient that determines the strength of trends in real-time which I can use to sort stocks by?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You were referred to the correct topic by diceman (or at least to a topic which would have referred you to the correct topic). You can give it a read through to see how such formulas would be constructed, and it includes example formulas as well:
Need help writing a PCF for r-squared
-Bruce
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Registered User
Joined: 7/24/2008
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How many stock price quotes can you input into Excel? How much price data from TC2000 can you put into an Excel spreadsheet? Thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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In TC2000 version 12, you can select the Export Chart Data icon (it looks like two barrels or two stacks of coins) to export the data for the Active Symbol for that chart to a text file. You could then use Excel's Import Wizard to bring the data into Excel. This is limited to a single symbol at a time and the 500-bars of data which are on the chart.
In TC2000 version 7, you can export data for either symbols or WatchLists by selecting Databank | Export to Text. Symbols can have up to 25 years of data available. You could again use Excel's Import Wizard to bring the data into Excel.
Exporting data to text format - comma, space or tab delimited
I am not aware of any limits on how much data Excel could handle, but we do not support third party products.
-Bruce
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Registered User
Joined: 7/24/2008
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can i import data from stockfinder intraday data for 25 years
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Worden Trainer
Joined: 10/7/2004
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No. StockFinder starts with several months of intraday data and builds up its database as you continue to download.
-Bruce
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Registered User
Joined: 7/24/2008
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The data is version seven, the price quotes that go back 25 years, is that intraday or end of day?
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Worden Trainer
Joined: 10/7/2004
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It is end of day data.
-Bruce
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Registered User
Joined: 7/24/2008
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Bruce, I tried that indicator you wrote and it doesn't look right.
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Worden Trainer
Joined: 10/7/2004
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What makes you think it is incorrect? To what are you comparing it?
-Bruce
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Registered User
Joined: 7/24/2008
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I got it from a book and when I look at the charts in the book they do not match. The frequency of the up and down moves does not look right. In the book there are red and green bars up and down books. The indicator you wrote just has a lot of green bars followed by a lot of red bars.
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Worden Trainer
Joined: 10/7/2004
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What is the indicator called?
-Bruce
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Registered User
Joined: 7/24/2008
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It is from Jeff Augen's "The Volatility Edge in Options Trading". Taking exactly from the book the three steps to calculate:
1. Calculate the standard deviation of the 20 price changes immediately preceding the spike(days 1 to 21). The vaue obtained is the one day volatility at the end of the 20 price change window.
2. Multiply this number by the value of the close on day 21 to determine the magnitude of a 1 standard deviation price change at the end of the window.
3. Divide the day 22 price change by this value to recast the change in standard deviations.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following:
(C - C1) / (SQR(ABS((C1 - C2) ^ 2 + (C2 - C3) ^ 2 + (C3 - C4) ^ 2 + (C4 - C5) ^ 2 + (C5 - C6) ^ 2 + (C6 - C7) ^ 2 + (C7 - C8) ^ 2 + (C8 - C9) ^ 2 + (C9 - C10) ^ 2 + (C10 - C11) ^ 2 + (C11 - C12) ^ 2 + (C12 - C13) ^ 2 + (C13 - C14) ^ 2 + (C14 - C15) ^ 2 + (C15 - C16) ^ 2 + (C16 - C17) ^ 2 + (C17 - C18) ^ 2 + (C18 - C19) ^ 2 + (C19 - C20) ^ 2 + (C20 - C21) ^ 2 - 20 * AVGC20.1 ^ 2) / 20) * C1)
-Bruce
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Registered User
Joined: 7/24/2008
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What do I put down for period, Bruce?
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Worden Trainer
Joined: 10/7/2004
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The Period setting of a Custom Indicator is the period of an optional Moving Average being applied to the indicator. Since you want to return the actual value of the formula and not the value of a Moving Average of the formula, you would want to set the period to 1 (and when the Period setting is 1, the Average Type does not matter).
-Bruce
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Registered User
Joined: 7/24/2008
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Looks great. How do I set up the scale? How do I label the graph?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The graph should already be labeled with values (relatively small values I'm sure). You can click on the indicator and choose Scaling to adjust the scale if desired. You probably want the Scale Method set to either Auto or Center on 0, but the rest of the options would be entirely up to you.
-Bruce
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Registered User
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OK, one last thing. In an earlier post you wrote how to sort based on that indicator. How would I adjust that for this new one?
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Registered User
Joined: 7/24/2008
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how do i label the grid 1 2 3 and -1 -2 -3
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Registered User
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on the scaling it has 0 for all values. I have it on auto arithmetic and centered on zero but i have no values on the scale
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