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MT4 stdev question

  • #1
  • First Post: Sep 7, 2011 8:14am Sep 7, 2011 8:14am
Hi

I am trying to understand stdev. I run a script consisting of

int start()
{
Alert(iStdDev(NULL,0,10,1,MODE_SMA,PRICE_CLOSE,1));
return;
}

If I manually draw an stdev channel with 1 deviations, 10 bars long finishing at bar1, the channel half-width rarely matches the alert.

What don't I understand (apart from the meaning of life)?
  • #2
  • Sep 7, 2011 8:43am Sep 7, 2011 8:43am
I think your problem may lie in your ma_shift value of 1, try 0
20 pips a day isn't too much to ask . . .
  • #3
  • Sep 7, 2011 3:21pm Sep 7, 2011 3:21pm
Quoting onedognight
Hi

I am trying to understand stdev. I run a script consisting of

int start()
{
Alert(iStdDev(NULL,0,10,1,MODE_SMA,PRICE_CLOSE,1));
return;
}

If I manually draw an stdev channel with 1 deviations, 10 bars long finishing at bar1, the channel half-width rarely matches the alert.

What don't I understand (apart from the meaning of life)?
Might help if you describe what you are trying to do, but for an alert on an indicator you might want to compair it to 1 bar ago if your trying to see if the indicator is heading up or down.
  • #4
  • Sep 7, 2011 6:09pm Sep 7, 2011 6:09pm
Quoting RaptorUK
I think your problem may lie in your ma_shift value of 1, try 0
Thanks . Now I have to get my head around ma_shift and shift, but I've always had to stop and think about that.
  • #5
  • Edited Sep 8, 2011 12:11am Sep 7, 2011 11:50pm | Edited Sep 8, 2011 12:11am
Quoting onedognight
Thanks . Now I have to get my head around ma_shift and shift, but I've always had to stop and think about that.
Shift is just how many candles/bars you want to look back 1=1 bar ago etc....

If you are trying to see if the indicator is going up in value you need to use somthing like this:

Inserted Code
int start()
{
double StdDevCurrent = iStdDev(NULL,0,10,1,MODE_SMA, PRICE_CLOSE,0);
double StdDevPrior = iStdDev(NULL,0,10,1,MODE_SMA, PRICE_CLOSE,1);
 
   if(AlertOn) {
       if(StdDevCurrent > StdDevPrior) {
         Alert("StdDev Alert (", Symbol(), ", ", Period(), ")--Volatility Increasing");
       }
       else if( StdDevCurrent < StdDevPrior) {
         Alert("StdDev Alert (", Symbol(), ", ", Period(), ")--Volatility Decreasing");
       }       
     }
   }
   return(0);
  }

Not saying it will work but that is kind of what you want if your making or adding an alert to an indicator and then you could always add email or other things like custom .wav files ...etc. Plus with where you see the (AlertOn) that is for when you put a extern bool at the top of the code which you can pick true or false...then if you dont want alerts on it is easy to turn off.
Inserted Code
extern bool AlertOn=True;
  • #6
  • Sep 8, 2011 9:10am Sep 8, 2011 9:10am
ATM, I'm just exploring an idea and to do that, I need eg the SD value at (say) bar i for it and the previous 5 closing prices. So, I guess I would use

double SD=iStdDev(NULL,0,6,0,MODE_SMA,PRICE_CLOSE,i);

Within this function, I struggle to imagine any situation where one would want the ma_shift parameter (the fourth parameter) to be other than zero.
  • #7
  • Edited 9:40am Sep 8, 2011 9:13am | Edited 9:40am
Quoting onedognight
ATM, I'm just exploring an idea and to do that, I need eg the SD value at (say) bar i for it and the previous 5 closing prices. So, I guess I would use

double SD=iStdDev(NULL,0,6,0,MODE_SMA,PRICE_CLOSE,i);

Within this function, I struggle to imagine any situation where one would want the ma_shift parameter (the fourth parameter) to be other than zero.
Re read my post, you have to compare the current candle to something..it could be a past candle or it could be another indicator but you have to compare it to something in the past which would be 1,2,3,4,5....etc. or the current value of another indicator but with using the current values with each tick you could get more false readings which is why most like to use 1 so it is a closed candle and the value can not change after the close.
Lets just say you were looking at the current value of the Stoch indicator and wanted to know when it crossed one another, if you were using the current(each tick) value every time the main line crossed the signal line the indicator would alert. Now its X mins later already placed your buy order because your alert(each tick) told you that stoch main > stoch signal. Now the candle closed and stoch man < stoch signal. So in waiting for the close of the candle you get a "true" value for the last bar.
  • #8
  • Last Post: Sep 8, 2011 9:05pm Sep 8, 2011 9:05pm
Quoting Dredding82
Re read my post, you have to compare the current candle to something..it could be a past candle or it could be another indicator but you have to compare it to something in the past which would be 1,2,3,4,5....etc. or the current value of another indicator but with using the current values with each tick you could get more false readings which is why most like to use 1 so it is a closed candle and the value can not change after the close.
Lets just say you were looking at the current value of the Stoch indicator and wanted to know when it crossed...
OK, I get that. In my case I want to flag all the candles (other than candle zero) where the n-candle stdev of closing prices is below a chosen fraction of a prior atr. (FTM, I don't care whether I use the population or sample stdev.)

Now, within the stdev calculation, one needs the difference of each of the n closing prices from the mean of the same n closing prices. But, if an ma_shift other than zero is used, the mean would be calculated on a different n closing prices (and why would anyone want that - which is my point of confusion).

Anyway, thanks for your assistance so far. From my past (vast) experience, there is a eureka moment awaiting when all becomes clear. It happened in so many of my other fields of endeavour.
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