Standard Deviation, StdDev

0
(0)
Name:
Standard Deviation, StdDev
Author: MetaQuotes (2005.12.20 16:38)
Downloaded: 6505
Download:
Standard Deviation, StdDev 1
 StdDev.mq4 (3.5 Kb) View
Standard Deviation, StdDev 2 standard_deviation.gif (8.4 Kb)
Standard Deviation, StdDev 3
The Standard Deviation Indicator (StdDev) measures the market volatility. This indicator describes the price standard deviation value relative to the moving average.

The higher the Standard Deviation is, the more instable (volatile) the market is, i.e., bars prices are rather dispersed relative to the moving average. Opposite, the lower the deviations is, the more immovable the market is, i.e., the bars prices are approaching to the moving average very much. It is known, however, that the market dynamics consists in interchange of quiet periods and activity spikes.

So, the approach to this indicator is simple:

  • if the indicator value is too low (i.e., if the market is completely calm), it would be reasonable to expect the activity spike soon;
  • on the contrary, if the indicator is extremely high, this means that the activity will slow down soon.

    Calculation
    StdDev (i) = SQRT (AMOUNT (j = i - N, i) / N)

    AMOUNT (j = i - N, i) = SUM ((ApPRICE (j) - MA (ApPRICE (i), N, i)) ^ 2)

where:
StdDev (i) — Standard Deviation of the current bar;
SQRT — square root;
AMOUNT(j = i - N, i) — sum of squares from j = i - N till i;
N — smoothing period;
ApPRICE (j) — the applied price of the j-th bar;
MA (ApPRICE (i), N, i) — any moving average of the current bar for N periods;
ApPRICE (i) — the applied price of the current bar.

Technical Indicator Description

Full description of StdDev is available in the Technical analysis: Standard Deviation

How useful was this post?

Click on a star to rate it!

Average rating 0 / 5. Vote count: 0

No votes so far! Be the first to rate this post.

We are sorry that this post was not useful for you!

Let us improve this post!

Tell us how we can improve this post?



Author: Forex Wiki Team
We are a team of highly experienced Forex Traders [2000-2023] who are dedicated to living life on our own terms. Our primary objective is to attain financial independence and freedom, and we have pursued self-education and gained extensive experience in the Forex market as our means to achieve a self-sustainable lifestyle.