Home > Articles > Volume 24 (2006) > Chapter 11 (November 2006) > Stocks & Commodities V. 24:11 (56-61): SB: Calculating the probability of an up/down move in a time series by Ron McEwan

Stocks & Commodities V. 24:11 (56-61): SB: Calculating the probability of an up/down move in a time series by Ron McEwan

Stocks & Commodities V. 24:11 (56-61): SB: Calculating the probability of an up/down move in a time series by Ron McEwan
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Stocks & Commodities V. 24:11 (56-61): SB: Calculating the probability of an up/down move in a time series by Ron McEwan

The simple form of the probability equation for the spreadsheet model is:

P = ((AVG / RMS) +1)/2

P = Probability

AVG = Average of the log changes in the data series (LN (T/T1) function in Excel)

RMS = Root mean square equation (SUMSQ (Period)/ COUNT (Period)) ^0.5...




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