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Dans un courrier daté du 17/02/98 04:16:55 , vous avez écrit :
<< You avoided the one day lag in Mark's approach by computing
c/c[1], where Mark's logic used the equivalent of c[1]/c[2].
>>
OK...
<<
Why the test for recvola>1? Just an input error check?
>>
Negative recvola was used later in the code, and I forgot to remove the error
check.
<<
Why did you use Close (C) above, instead of an input numeric series?
>>
You can use what you want (but the code was from an indicator that I quickly
transformed to an UF).
<<
Why do you and Mark recode StdDev(), rather than use it directly?
This looks a lot simpler to me:
Value1 = log(c/c[1]);
Srvola = 100 * stddev(Value1, recvola);
>>
There is a mistake in Stddev Omega function (in fact they use N instead of N-1
as a divisor, so this is not the commonly used StdDev that they use).
Sincerely,
Pierre Orphelin.
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