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Standard deviation (σ, volatility) ​

Standard deviation of price over a rolling lookback window. Also known as Historical Volatility (HV), includes Z-score. [Discuss] 💬

csharp
// C# usage syntax (series)
IReadOnlyList<StdDevResult> results =
  bars.ToStdDev(lookbackPeriods);

// usage with streaming bars
BarHub barHub = new();
StdDevHub observer = barHub.ToStdDevHub(lookbackPeriods);

Parameters ​

paramtypedescription
lookbackPeriodsintNumber of periods (N) in the lookback period. Must be greater than 1 to calculate; however we suggest a larger period for statistically appropriate sample size.

Historical price bars requirements ​

You must have at least N periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response ​

csharp
IReadOnlyList<StdDevResult>
  • This method returns a time series of all available indicator values for the bars provided.
  • It always returns the same number of elements as there are in the historical price bars.
  • It does not return a single incremental indicator value.
  • The first N-1 periods will have null values since there's not enough data to calculate.

StdDevResult ​

propertytypedescription
TimestampDateTimeDate from evaluated TBar
StdDevdoubleStandard deviation of price
MeandoubleMean value of price
ZScoredoubleZ-score of current price (number of standard deviations from mean)

Utilities ​

See Utilities and helpers for more information.

Chaining ​

This indicator may be generated from any chain-enabled indicator or method.

csharp
// example
var results = bars
    .Use(CandlePart.HL2)
    .ToStdDev(..);

Results can be further processed on StdDev with additional chain-enabled indicators.

csharp
// example
var results = bars
    .ToStdDev(..)
    .ToSlope(..);

See Chaining indicators for more.

Streaming ​

Use the buffer-style List<T> when you need incremental calculations without a hub:

csharp
StdDevList stdDevList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  stdDevList.Add(bar);
}

// based on `ICollection<StdDevResult>`
IReadOnlyList<StdDevResult> results = stdDevList;

Subscribe to a BarHub for advanced streaming scenarios:

csharp
BarHub barHub = new();
StdDevHub observer = barHub.ToStdDevHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<StdDevResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.