| BillyD |
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Gold User, Member, TeleChart
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| Thursday, October 7, 2004 |
| Monday, June 25, 2007 12:55:59 PM |
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I am a new user to Blocks. Attended Michaels training last week in Orlando. Page 7 of handout notes on testing out of strategy:
Select Watch List: Nasdaq 100 component stocks
Strategy: Scan Only; Stochastics crossing up over 20
Whirlwind - shows scan progressing
Results - Blank
Why?
Please call at (phone number removed by moderator) or email - Thanks
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Thanks, I have tried the pcf for a stock against an excel model. The resulting values of voltality are close. Volatility by Excel .774970
Volatility by PCF using /20 is .745
I do not yet know if this difference is of significance. However looking at the PCF some anamolies might be causing the difference:
1. PCF uses the LOG function Vs the volatility model called for the LN or natural Log function.
2. Std deviation = Sqroot (sigma (xi-xm)squared/N)
where xi are the data values and xm is the mean not the average.
Any thoughts ??
BillyD
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Thanks Bruce; I could not understand the posting enough to apply it to the problem I am trying to resolve. I am trying to build a PCF that does the following:
1. Calculate the Std deviation of a series of LN of (Closing price/previous days price)of an optionable stock for the last 20 days.
2. This standard deviation of logarithms is then annualized by multiplying the standard deviation by the square root of 365.
This gives us the volatility of the stock which can then be used to calculate probability
Hope you can help me construct this pcf
Thanks
BillyD
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How do I create a formula to calculate Std Deviation of a series? In Excel
this is done through the command STDEV. Please help as I am trying to
calculate the volatility of particular stocks over a certain time period.
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