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StandardDeviation

Summary

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

Signature

1
public abstract interface StandardDeviation

Namespace

cAlgo.API.Indicators

Examples

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 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];
 }
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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);
         }
     }
 }

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