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docmba
Posted : Thursday, April 29, 2010 5:49:28 PM
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Joined: 10/7/2004
Posts: 17
Topic: Custom sorting tool to find True : candidates @ lower 2nd Stand deviation
Posted 2ND REQUEST  (PLEASE !!)
Hello ,                                                                                                                           4/29/2010
I am revisiting the notion of using  the lower 2nd stand dev  to find stock or etfs  indicating a  True  when sorting thru the universe of ETFS or Stocks . From a risk- reward point of view the security found at the lower 2nd stand dev  should eventually regress 95% of time( in a normal distribution ) to the mean . iI will be using  the 20 day moving average as the average Price (C) .
Conceptually ,would it go something like this?

Sort indicates True  when C =  AVGC20 -lower 2nd stand
further described as ...True when C=  (AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 19)))

IN additon , because  it is unlikely  a security will close  on its exact lower 2nd stand dev. ,I would like to incorporate the notion using  20% < or > than lower 2nd stand dev  as follows :
True when C <  1.20 *(AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 19))))  OR  C> .8* (AVGC20 - (2 * SQR(((C - AVGC20) ^ 2 + (C1 - AVGC20) ^ 2 + (C2 - AVGC20) ^ 2 + (C3 - AVGC20) ^ 2 + (C4 - AVGC20) ^ 2 + (C5 - AVGC20) ^ 2 + (C6 - AVGC20) ^ 2 + (C7 - AVGC20) ^ 2 + (C8 - AVGC20) ^ 2 + (C9 - AVGC20) ^ 2 + (C10 - AVGC20) ^ 2 + (C11 - AVGC20) ^ 2 + (C12 - AVGC20) ^ 2 + (C13 - AVGC20) ^ 2 + (C14 - AVGC20) ^ 2 + (C15 - AVGC20) ^ 2 + (C16 - AVGC20) ^ 2 + (C17 - AVGC20) ^ 2 + (C18 - AVGC20) ^ 2 + (C19 - AVGC20) ^ 2) / 20))))



THankyou
docmba
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StockGuy
Posted : Thursday, April 29, 2010 5:53:36 PM

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Joined: 9/30/2004
Posts: 9,187
 Bruce replied to your previous post here:

Custom sorting tool to find True : candidates @ lower 2nd Stand deviation
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