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ZapCLI

Standard Deviation

Syntax

(std len symbol options?)
(std len data options?)

Description

The std function calculates the standard deviation of price data over a specified period for a given symbol or array of numerical data. Standard deviation measures the dispersion or spread of a dataset relative to its mean. It provides insights into the volatility or risk associated with the price movements of an asset.

Returns

The std function returns a single value representing the standard deviation of the price data over the specified period. If the rolling option is specified, it returns an array of standard deviation values for the specified rolling period.

Parameters

  • len: The length of the period over which to calculate the standard deviation.
  • symbol or data: Either the symbol for which to calculate the standard deviation or an array of numerical data.
  • options? (optional): An object with the following optional properties:
    • rolling: The number of data points for which to return the standard deviation values. If specified, an array of standard deviation values is returned.
    • offset: The number of data points ago to start the calculation. Default is 0 (current data point).
    • prop: The property of the data to use for calculation. Default is 'close'. This option is only applicable when using with symbol.

Examples

Using with Symbol and Length

;; Calculate the 20-day Standard Deviation for AAPL using the high prices
(std 20 "AAPL" {prop: 'high'})
;;=> (example value)


;; Calculate the 20-day Standard Deviation for AAPL with rolling values for the last 5 days using the low prices
(std 20 "AAPL" {rolling: 5, prop: 'low'})
;;=> (example value)

Using with Data Array

;; Calculate the Standard Deviation for an array of bars data
(std 5 [50, 52, 48, 55, 51, 49, 53, 57, 54, 56, 55, 52, 58, 60])
;;=> (example value)

Use Cases

Assessing Volatility and Risk:

;; Calculate the 20-day Standard Deviation for AAPL using the high prices
(def stdValue (std 20 "AAPL" {prop: 'high'}))


;; Use the standard deviation value to assess volatility and risk
(if (> stdValue threshold)
    (print "High volatility, consider adjusting risk management strategies")
    (print "Volatility within acceptable range")
)

Detecting Price Extremes:

;; Calculate the 20-day Standard Deviation for AAPL using the low prices
(def stdValue (std 20 "AAPL" {prop: 'low'}))


;; Use the standard deviation value to detect price extremes
(if (> (:close {AAPL}) (+ (:close {AAPL}) (* 2 stdValue)))
    (sell {AAPL} 10)
    (print "No extreme price action detected")
)

Notes

  • Standard deviation is a widely used statistical measure in finance for assessing volatility and risk.
  • A higher standard deviation value indicates greater price volatility, while a lower value indicates lower volatility.
  • Traders often use standard deviation in conjunction with other technical indicators to make informed trading decisions, such as setting risk management strategies or identifying potential price extremes.