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Strategies & Market Trends : Technical Analysis - Beginners
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To: MechanicalMethod who wrote (11472)2/8/2001 5:58:41 PM
From: TechTrader42  Read Replies (2) of 12039
 
Standard deviation?

I used to filter out whipsaws in some systems with standard deviation. When it's low, price generally isn't changing much, and you get whipsaws. Maybe dramatic changes in price are in some respects inefficiency. Maybe it's the efficiency you'd want to remove from systems, and not inefficiency. That seems to be the essence of the problem: You need inefficiency to generate good profits, but ineffieciency is unpredictable, or volatile by nature. Standard deviation is a measure of volatility. When it's high, there are opportunities for profit, or for the opposite.
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