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StandardDeviation

Summary

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

Signature 

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public abstract interface StandardDeviation

Namespace

cAlgo.API.Indicators

Examples

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 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];
 }

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 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);
         }
     }
 }

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 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]

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 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.SourceStandardDeviation, api.PeriodsStandardDeviation, api.MaTypeStandardDeviation);
         self.simpleMovingAverage = api.Indicators.SimpleMovingAverage(api.SourceMovingAverage, api.PeriodsMovingAverage);
     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)

Properties

Result

Summary

Gets the resulting time series of the Standard Deviation indicator calculation.

Signature 

1
public abstract IndicatorDataSeries Result {get;}

Return Value

IndicatorDataSeries

Examples

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 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];
 }

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 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]