When calculating a price level that is one standard deviation from a 100-day-moving average, is the standard deviation calculated using the values of the moving average itself over the last 100 days, or the price values over the last 100 days? In either case, why?
2006-10-06 10:27:08 · 2 answers · asked by Anonymous in Science & Mathematics ➔ Mathematics
I'm thinking you would use the moving average values because your looking for an SD that takes into account the smoothing effect of a moving average. If you were to use the actual daily values, you would have a more raw answer. I think it really boils down to whether you want to look at long term trends (use the moving average) or short term trends (use the actual value).
2006-10-06 10:43:29 · answer #1 · answered by Chris J 6 · 2⤊ 0⤋
Calculated using the price values over 100 days. If you took the values of the 100 day moving average, you would only have 1 mean value for every 100 days. You can't calculate a standard deviation on one mean value.
2006-10-06 10:33:29 · answer #2 · answered by Anonymous · 1⤊ 0⤋