Standard Deviation Over Period

Technical Analysis Indicator: stddev

Fork me on GitHub

Function Prototype

/* Standard Deviation Over Period */
/* Type: math */
/* Input arrays: 1    Options: 1    Output arrays: 1 */
/* Inputs: real */
/* Options: period */
/* Outputs: stddev */
int ti_stddev_start(TI_REAL const *options);
int ti_stddev(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

The Standard Deviation Over Period indicator calculates the standard deviation of the input over a moving window.

It takes one parameters: the period n.

$$ma_{t} = \frac{1}{n} \sum_{i=0}^{n-1} in_{t-i}$$
$$stddev_{t} = \sqrt {\frac{1}{n} \sum_{i=0}^{n-1} (in_{t-i}-ma_{t})^{2}}$$

See Also

References

Example Usage

Calling From C

/* Example usage of Standard Deviation Over Period */
/* Assuming that 'input' is a pre-loaded array of size 'in_size'. */
TI_REAL *inputs[] = {input};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* stddev */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_stddev_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* stddev */

/* Run the actual calculation. */
const int ret = ti_stddev(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Standard Deviation Over Period
stddev = ti.stddev(input, 5)

Example Calculation

period = 5

dateinputstddev
2005-11-0181.59
2005-11-0281.06
2005-11-0382.87
2005-11-0483.00
2005-11-0783.610.95
2005-11-0883.150.88
2005-11-0982.840.28
2005-11-1083.990.42
2005-11-1184.550.61
2005-11-1484.360.67
2005-11-1585.530.87
2005-11-1686.540.93
2005-11-1786.891.02
2005-11-1887.771.17
2005-11-2187.290.76

Chart

 

Other Indicators

Previous indicator: Vector Square Root

Next indicator: Standard Error Over Period

Random indicator: Vector Tangent