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Nottom
10-28-2003, 12:51 PM
What is the formula for indentifiing the probability of seeing a certain swing based on the Std Deviation.

Hmmm that doesn't make much sence, so lets put it this way. How to I calculate that 1SD is 68% likely or that 2SDs are 95% likely or 1.7SD are 90% or whatever. Lets say I experience a 2.4SD downswing, how can I calculate the liklyhood of that happening?

Homer
10-28-2003, 03:21 PM
Lets say I experience a 2.4SD downswing, how can I calculate the liklyhood of that happening?

I'm not sure exactly what you're asking, so I'll provide the answer to a couple different questions (with the assistance of Excel).

1) What is the probability of experiencing a 2.4 SD loss or worse?

<font color="blue">=normsdist(-2.4)</font>

2) What is the probability of experiencing a 2.4 SD swing or worse (&lt;=-2.4 SD or &gt;=2.4 SD)?

<font color="blue">=2*normsdist(-2.4)</font>

3) What is the probability of experiencing a swing of 2.4 SD of less (-2.4 SD to 2.4 SD)?

<font color="blue">=1-2*normsdist(-2.4)</font>

-- Homer

Nottom
10-28-2003, 03:35 PM
[ QUOTE ]
=normsdist(-2.4)

[/ QUOTE ]

This magic function is basically what I was looking for.