Standard deviation from moving average

[3acor]

Hey guys,

How can I calculate a standard deviation from the moving average(origin point).

I don't want to enter a trade where the stock is too far from my MA as I know the move is already extended and I am chasing it.

 

[Metamega]

Google bollinger bands. Should throw a formula at you. Could also check out keltner channels, somewhat similar but uses Average True Range to form bands.

 

[drm7]

You've just described Bollinger Bands, one of the most-used technical indicators. They should be pre-loaded on your charting platform. Just throw them on there and adjust the settings (i.e. 20 bar MA with 2 standard dev bands, or 50 bar MA with 2.5 standard dev, etc. etc.)

If you want the gory details, this link should give you a good overview.

https://school.stockcharts.com/doku.php?id=technical_indicators:bollinger_bands

 

[3acor]

oh ok I see, thank you!

 

[panzerman]

I also recommend you look into the Fisher Transform by John Ehlers. The transform will "Gaussianize" your data over a given lookback window.

 

[Turveyd]

BBs are really smart, just moved to from many years Envelopes.

 

[Real Money]

If you apply a linear regression channel to the data it will estimate the standard deviation for the entire data in the channel. This can be compared to the bollinger or keltner style estimates.

 

[TommyR]

you should take log process, then combine the process and take standard deviation about zero for the combination. if you don't take logs it's not ideal (near the origin)

 

[Peter8519]

I have compiled the daily % change for about 4000 US stocks and AAPL.
This is the histogram plot. P(0) = 0% to <1%, P(-1) = -1% to < 0% and so forth.

https://imgur.com/a/JyA3W6b