Standard Deviation

[Xela]

Could you expand on your preference,please.

Sorry - I wandered into the conversation, didn't I? (I realise you were asking Spectre and not me!).

It's just that whenever I've seen backtesting of different ways of doing things (not only entries and/or targets and/or stop-losses), for intraday trading purposes anyway, an ATR-multiple has always performed much better than an SD - both in my own backtesting (all the way from the days back in history when I was a retail spot forex trader) to the "institutional research" I've seen re automated futures-trading systems. So my impression - though I can't call it more than that - is that for most everyday trading purposes, ATR is probably, in principle, a more reliable approximation of "current volatility" (in its relevant sense, anyway) than SD's are. Apologies for a probably-unhelpful answer.

 

[fordewind]

Sorry - I wandered into the conversation, didn't I? (I realise you were asking Spectre and not me!).

It's just that whenever I've seen backtesting of different ways of doing things (not only entries and/or exits), for intraday trading purposes anyway, an ATR-multiple has always performed much better than an SD - both in my own backtesting (all the way from the days back in history when I was a retail spot forex trader) to the "institutional research" I've seen re automated futures-trading systems. So my impression - though I can't call it more than that - is that for most everyday trading purposes, ATR is probably, in principle, a more reliable approximation of "current volatility" (in its relevant sense, anyway) than SD's are. Apologies for a probably-unhelpful answer.

Its all good, i was asking you.

Thanks for sharing your experience!

 

[panzerman]

Calculating SD using price is like chasing a feather in the wind. Price time series are non-stationary data. A stationary time series is one whose statistical properties such as mean, variance, autocorrelation, are all constant over time. One common method to check if data is stationary is called an Augmented Dickey-Fuller test.

Returns are generally more stationary than price, which is why return space is used so often in econometrics.

 

[Steve Alexander]

Thanks, but i`d prefer opinions from the ET members and if someone has utilized any sort of SD in their automated strategies to some success.

I have written many automated strategies, with and without standard deviation. It doesn't help.

 

[fordewind]

I have written many automated strategies, with and without standard deviation. It doesn't help.

Thanks.So far nothing can beat channels in my strategies testing.

 

[bashatrader]

Standard deviation of just price itself.

Use log price. Stdev of price makes no sense.

 

[fordewind]

Use log price. Stdev of price makes no sense.

What`s log price?

 

[OddTrader]

Use log price. Stdev of price makes no sense.

I use reverse-log price.

 

[fordewind]

I use reverse-log price.

@bashatrader , @OddTrader

How`d you use log price in a strategy?