Standard Deviation

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.

Standard Deviation

Indicator Description

You may calculate the standard deviation from price data over the selected lookback period.

  1. We start with the calculation of the arithmetic mean of the input data.
  2. Then, find how many of the data points deviate from the arithmetic mean and calculate the squared differences.
  3. Next we calculate the variance, which is the arithmetic mean of the squared differences.
  4. 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.

Standard Deviation

Disclaimer

Futures, stocks, and spot currency trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

 

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