StandardDeviation
interface cAlgo.API.Indicators
DesktopCLICloud
Standard Deviation measures the market volatility with a commonly used statisctical function.
Definition
public interface StandardDeviation
Namespace: cAlgo.API.Indicators · Group: Indicators · Implements: StandardIndicator
Examples
Example 1
private StandardDeviation _standardDeviation;
protected override void Initialize()
{
_standardDeviation = Indicators.StandardDeviation(Bars.ClosePrices, 14, MovingAverageType.Simple);
}
public override void Calculate(int index)
{
double result = _standardDeviation.Result[index];
}
import clr
clr.AddReference("cAlgo.API")
from cAlgo.API import *
import math
class Test():
def initialize(self):
self.standardDeviation = api.Indicators.StandardDeviation(api.Bars.ClosePrices, 14, MovingAverageType.Simple)
def calculate(self, index):
result = self.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
public partial class StandardDeviationSample : Robot
{
private double _volumeInUnits;
private StandardDeviation _standardDeviation;
private SimpleMovingAverage _simpleMovingAverage;
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);
}
}
}
import clr
clr.AddReference("cAlgo.API")
# Import cAlgo API types
from cAlgo.API import *
# Import trading wrapper functions
from robot_wrapper import *
class StandardDeviationSample():
def on_start(self):
self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
self.standardDeviation = api.Indicators.StandardDeviation(api.Bars.ClosePrices, 20, MovingAverageType.Simple)
self.simpleMovingAverage = api.Indicators.SimpleMovingAverage(api.Bars.ClosePrices, 14)
def on_bar_closed(self):
if Functions.HasCrossedAbove(api.Bars.ClosePrices, self.simpleMovingAverage.Result, 0):
self.close_positions(TradeType.Sell)
self.execute_order(TradeType.Buy)
elif Functions.HasCrossedBelow(api.Bars.ClosePrices, self.simpleMovingAverage.Result, 0):
self.close_positions(TradeType.Buy)
self.execute_order(TradeType.Sell)
def get_bot_positions(self):
return api.Positions.FindAll(api.Label)
def close_positions(self, tradeType):
for position in self.get_bot_positions():
if position.TradeType != tradeType:
continue
api.ClosePosition(position)
def execute_order(self, tradeType):
standardDeviationInPips = self.standardDeviation.Result.Last(1) * (api.Symbol.TickSize / api.Symbol.PipSize * pow(10, api.Symbol.Digits))
stopLossInPips = standardDeviationInPips * 2
takeProfitInPips = stopLossInPips * 2
api.ExecuteMarketOrder(tradeType, api.SymbolName, self.volumeInUnits, api.Label, stopLossInPips, takeProfitInPips)
{
"AccessRights": "None",
"TimeZone": "UTC",
"Parameters": [
{
"Name": "VolumeInLots",
"DisplayName": "Volume (Lots)",
"Type": "Double",
"DefaultValue": 0.01
},
{
"Name": "Label",
"Type": "String",
"DefaultValue": "Sample"
}
]
}
Properties
| Name | Description |
|---|---|
ResultDesktopCLICloudIndicatorDataSeries | Gets the resulting time series of the Standard Deviation indicator calculation. |
Inherited members
From StandardIndicator: AddToChart, Symbol, TimeFrame, Bars