StandardDeviation


Summary

Standard Deviation measures the market volatility with a commonly used statisctical function.

Syntax

public interface StandardDeviation

Members

NameTypeSummary
Result PropertyGets the resulting time series of the Standard Deviation indicator calculation.

Example 1

private StandardDeviation _standardDeviation;
protected override void Initialize()
{
    _standardDeviation = Indicators.StandardDeviation(MarketSeries.Close, 14, MovingAverageType.Simple);
}
public override void Calculate(int index)
{
    double result = _standardDeviation.Result[index];
}

Example 2

using cAlgo.API;
using cAlgo.API.Indicators;
using System;
namespace cAlgo.Robots
{
    // This sample cBot shows how to use the Standard Deviation indicator
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class StandardDeviationSample : Robot
    {
        private double _volumeInUnits;
        private StandardDeviation _standardDeviation;
        private SimpleMovingAverage _simpleMovingAverage;
        [Parameter("Volume (Lots)", DefaultValue = 0.01)]
        public double VolumeInLots { get; set; }
        [Parameter("Label", DefaultValue = "Sample")]
        public string Label { get; set; }
        public Position[] BotPositions
        {
            get
            {
                return Positions.FindAll(Label);
            }
        }
        protected override void OnStart()
        {
            _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
            _standardDeviation = Indicators.StandardDeviation(Bars.ClosePrices, 20, MovingAverageType.Simple);
            _simpleMovingAverage = Indicators.SimpleMovingAverage(Bars.ClosePrices, 14);
        }
        protected override void OnBar()
        {
            if (Bars.ClosePrices.HasCrossedAbove(_simpleMovingAverage.Result, 0))
            {
                ClosePositions(TradeType.Sell);
                ExecuteOrder(TradeType.Buy);
            }
            else if (Bars.ClosePrices.HasCrossedBelow(_simpleMovingAverage.Result, 0))
            {
                ClosePositions(TradeType.Buy);
                ExecuteOrder(TradeType.Sell);
            }
        }
        private void ClosePositions(TradeType tradeType)
        {
            foreach (var position in BotPositions)
            {
                if (position.TradeType != tradeType) continue;
                ClosePosition(position);
            }
        }
        private void ExecuteOrder(TradeType tradeType)
        {
            var standardDeviationInPips = _standardDeviation.Result.Last(1) * (Symbol.TickSize / Symbol.PipSize * Math.Pow(10, Symbol.Digits));
            var stopLossInPips = standardDeviationInPips * 2;
            var takeProfitInPips = stopLossInPips * 2;
            ExecuteMarketOrder(tradeType, SymbolName, _volumeInUnits, Label, stopLossInPips, takeProfitInPips);
        }
    }
}
Reference