roll-up standard deviations

[saminny]

Hi,

I have a set of daily standard deviations each computed from a daily data set. I need to approximate the net volatility / standard deviation.

I think computing a simple average of the standard deviations is over simplified and may be flawed. Could you please suggest an alternative approach to rolling up (aggregating) my daily standard deviations into one number, that is a better approximation than individual standard deviations.

thanks a lot,

Sam

 

[tommymoose]

I'm not sure of your intentions, but I'm guessing you would want to use your aggregate standard deviation from the past X days to trade the current day? Maybe you could mess around with weighting certain days more than others.

Depending on how you plan to use it, you could make the more recent days weighted heavier and possibly recognize when consolidation turns into a breakout of a new trend. Sorry I can't be of more help, I don't really do things like this.