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Registered User
Joined: 8/10/2014
Posts: 10
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Hi I would like to calculate, the standard deviation of the thru range of the last 30 days.
STDDEV(H-L,30) doesn't seem to give the right number, any suggestions?
Thx in advance
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following if you want a 30 period standard deviation of range.
SQR(ABS(SUM((H - L) ^ 2, 30) - 30 * AVG(H - L, 30) ^ 2) / 30)
And the following if you want a 30 period standard deviation of true range.
SQR(ABS(SUM(ATR ^ 2, 30) - 30 * AVG(ATR, 30) ^ 2) / 30)
Standard Deviation
-Bruce
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Registered User
Joined: 8/10/2014
Posts: 10
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Thats it! Thanks a lot!
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Registered User
Joined: 3/3/2013
Posts: 57
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What is the difference betw/ Standard Deviation & Average True Range?
Is one more reliable than the other? Is the correlation strong (very strong)?
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Administration
Joined: 9/30/2004
Posts: 9,187
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This is from an article in Stocks & Commodities magazine:
"These indicators are constructed very differently and aren't really interchangeable. The common perception is that the ATR is a better measure of volatility because it captures more information, while the STDEV only measures the volatility of the closes (in its most common usage). STDEV can be applied to the highs, lows, or any series that the trader likes. In this sense, STDEV is the more flexible of the two."
http://traders.com/documentation/feedbk_docs/2001/06/Abstracts_new/gustafson/gustafson.html
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