### Signal Noise Ratio

Posted:

**Mon Jun 01, 2015 9:40 pm**I'm attempting to code up a Signal Noise Ratio as seen in Trend Following with Managed Futures by Greyserman and Kaminski

The formula is essentially:

Abs((Price(t) - Price(n)) / Sum of Abs(Price(t-k) - Price (t-k-1)

An example if N = 100 I'm looking at the $ price change from today vs 100 days ago divided by the sum of all the absolute price changes for the same period.

I made an indicator with a parameter of lookbackdays for N then have two indicators

AbsPriceChange:

AbsoluteValue(instrument.close-instrument.close[1])

SNR

AbsoluteValue(instrument.close-instrument.close[lookbackdays])/sum(AbsPriceChanges,lookbackdays)

However, if I added to graph and ran a system with it in there I get the following error:

I'm not really sure what that means. Any thoughts/help? Thanks.

The formula is essentially:

Abs((Price(t) - Price(n)) / Sum of Abs(Price(t-k) - Price (t-k-1)

An example if N = 100 I'm looking at the $ price change from today vs 100 days ago divided by the sum of all the absolute price changes for the same period.

I made an indicator with a parameter of lookbackdays for N then have two indicators

AbsPriceChange:

AbsoluteValue(instrument.close-instrument.close[1])

SNR

AbsoluteValue(instrument.close-instrument.close[lookbackdays])/sum(AbsPriceChanges,lookbackdays)

However, if I added to graph and ran a system with it in there I get the following error:

*While evaluating the calculated indicator SNRindicator, there was a problem: element count for array is greater than the starting offset.*I'm not really sure what that means. Any thoughts/help? Thanks.