The standard deviation is a measure of dispersion of a data set around its mean. This indicator calculates the same standard deviation as the indicator that comes with the default installation of NinjaTrader. However, it uses a recursive algorithm which performs considerably better on large data sets.
Indicator Description
You may calculate the standard deviation from price data over the selected lookback period.
- We start with the calculation of the arithmetic mean of the input data.
- Then, find how many of the data points deviate from the arithmetic mean and calculate the squared differences.
- Next we calculate the variance, which is the arithmetic mean of the squared differences.
- Finally, obtain the standard deviation as the square root of the variance.
With this indicator, you may calculate the uncorrected sample standard deviation. It is the standard deviation typically found in most trading applications.
Other Library Indicators
Other indicators from the statistical analysis category include the Interquartile Range, Mean Absolute Deviation (Around the Median), Median Absolute Deviation (Around the Median), Moving Mean TPO, Moving MedianTPO, Moving Mode TPO, Moving Mean VWTPO, Moving MedianVWTPO, Moving Mode VWTPO, Moving Median, and the Modified Z Score. You may furthermore review the Raff Channel, Daily Regression Channel and Indicator Spotlight newsletter post on the Linear Regression Channel.
The indicator is available for NinjaTrader 8.
