StockFetcher Forums · Filter Exchange · Yesterday's data changing - is this supposed to happen?<< >>Post Follow-up
3,847 posts
msg #107724
Ignore Kevin_in_GA
8/20/2012 10:59:29 AM

Hey guys -

I have been looking at some data on standard error channels and noticed that the prior day values keep changing throughout the day. This makes no sense to me at all, since yesterday's standard error channel values should be fixed. If they are in fact fluid and somehow affected by today's data, then how can any backtesting be done (or stock selction today based on yesterday's values)?

Here is the filter I am using to track this:


set{sebl10_3, lower standard error channel(10,3) 1 day ago}
set{sebl25_5, lower standard error channel(25,5) 1 day ago}

add column sebl10_3
add column sebl25_5


at 10:10 AM the values were 630.47 and 572.80
at 10:16 AM the values were 630.53 and 572.83
at 10:44 AM the vlaues were 630.14 and 572.60
at present (11:00 AM) they are now at 629.25 and 572.11 respectively.

If I am using this data in a filter to select stocks today, I see that at different times of the day stocks appear and disappear, when they should not. Once selected from yesterday's data, they should stay on the list.

Update: at 11:45 AM the values are now 628.44 and 571.66. Why are they changing?

963 posts
msg #107731
8/20/2012 1:49:22 PM

Yes, by design, the "1 day ago" value for the standard error channels will change during the day. This is a combined effect of how the "standard error channels" are computed and how "days ago" works.

As you are aware, the standard error channel is computed by offsetting the center band (N-day linear regression trend-line) by the standard error computed from the last N data points. Because they are channels, the same standard error is used when displaying the channels (represented as 3 fixed-slope lines.)

"days ago" allows you to refer to past values of the current computed channels. For example, "days ago" would allow you to see if the "high from yesterday" was above the current representation of the channels.

It is more likely you are looking for the functionality of "date offset" as this will compute your standard error channels "as if" it were yesterday. These will not change during the day or day-to-day, barring corrections or updated data.

Alternatively, you may want to reference the "standard error band" from 1 day ago.

Hopefully the above makes sense, if not please let us know.

StockFetcher Support

3,847 posts
msg #107749
Ignore Kevin_in_GA
8/22/2012 7:58:25 AM

Thanks. The standard error band is what I was looking for.

StockFetcher Forums · Filter Exchange · Yesterday's data changing - is this supposed to happen?<< >>Post Follow-up

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