StandardDevAnnual (Function)
DisclaimerThe StandardDevAnnual function calculates a standard deviation of values, and presents an annualized number.
Syntax
StandardDevAnnual(Price, Length, DataType)
Returns (Double)
A numeric value containing the annualized Standard Deviation.
Parameters
|
Name |
Type |
Description |
|
Price |
Numeric |
Specifies which bar value (price, function, or formula) to be considered. |
|
Length |
Numeric |
Sets the number of bars to be considered. |
|
DataType |
Numeric |
1 = population, 2 = sample |
Remarks
The standard deviation is derived by first finding the variance and then taking its square root:
StdDev = 
…where
N is the number of elements
D is the individual elements in the sample
M is the sample mean
This function then multiplies the standard deviation by BarAnnualization in order to generate an annualized value.
Example
Assigns to Value1 the annualized standard deviation of the Close over a sample of 21 bars.
Value1 = StandardDevAnnual(Close, 21, 2);