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Daniel Posmik wrote:
> IŽd like to calculate the StDev of the Profits directly in the
> systemcode and export it to excel. Does anyone know how to
> calculate it?
In pseudocode:
Xmean = mean value, via your favorite method
for n = 0 to N-1
Sumsq = Sumsq + (X[n] - Xmean) * (X[n] - Xmean)
Var = Sumsq / (N-1)
Standard Deviation = squareroot(Var)
That is, sum the squares of the differences of your samples from
the mean of the series, divide by N-1, and take the square root.
As I recall, Omega's function uses (N) in the divisor, not (N-1).
Press et al in Numerical Recipes in C say: "There is a long story
about why the denominator is N-1 instead of N. If you have never heard
that story, you may consult any good statistics text. Here we will
be content to note that the N-1 *should* be changed to N if you are
ever in the situation of measuring the variance of a distribution
whose mean is known a priori rather than being estimated from the
data. (We might also comment that if the difference between N and
N-1 ever matters to you, then you are probably up to no good anyway...)"
Cheers,
Jim
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