Standard Variance (SMV)

For a list of all members of this type, see SMV Members.

System.Object
   RQuant.Indicator.TTimeArray
      RQuant.Indicator.TDoubleArray
         RQuant.Indicator.TIndicator
            RQuant.Indicator.SMV

Thread Safety

Public static (Shared in Visual Basic) members of this type are safe for multithreaded operations. Instance members are not guaranteed to be thread-safe.

Remarks

The Standard Variance does not generate trading signals in the traditional sense, since it is blind to market direction. However, it may be used as part of a trading strategy that depends on market volatility. Examining the daily Sugar chart below shows that periods of low volatility tend to precede strong market moves. Hence, you may want to use low readings in this tool as signals to initiate breakout strategies. Note how often declining volatility readings during trends indicate stalls or trend reversals. Therefore, you may want to consider using such declining readings as part of an exit or reversal strategy.

Standard Deviation is a statistical measurement of volatility. It is derived by calculating an n-time period Simple Moving Average of the data item; summing the squares of the difference between the data item and its Moving Average over each of the preceding n-time periods; dividing this sum by n.

Formula:

Example

TDataManager.cd("Demo");

TDailyArray Daily1 = TDataManager.GetStock("YHOO").DailyArray;

DateTime Date1 = DateTime.Parse("1999/02/08"); 
DateTime Date2 = DateTime.Parse("2000/12/29"); 

TDailyArray Daily = Daily1.Clone(Date1, Date2);

TCanvas Canvas = new TCanvas("Canvas","SMV DEMO",600,400);
    
Canvas.Divide(1,2);

SMV SMV = new SMV(Daily, 14);

Canvas.cd(1);
Daily.Draw("c");

Canvas.cd(2);
SMV.Draw(Color.Red);

Requirements

Namespace: RQuant.Indicator

Assembly: RQuant.Indicator (in RQuant.Indicator.dll)

See Also

SMV Members | RQuant.Indicator Namespace

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