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Deviation

Standard Deviation - Sum Of The Squares Minus Square Of The SumsIntroduction The standard deviation measure the dispersion of a data set, in short this metric will tell you if your data is on average closer or farther away from the mean. Its one of the most important tools in statistics and living without it is pretty much impossible, without it you can forget about Bollinger-bands, CCI, and even the LSMA (ouch this hurt) . Now i don't want to extend myself about the standard deviation since that would require a huge post but i want to show you how to calculate the standard deviation from the stdev pinescript function. Sum Of The Squares Minus Square Of The Sums Any metric calculated from a moving average can be classified as "running", this mean that the metric constantly update itself and is not constant, this is why it is better to say "running standard deviation" but its okay. If we use the standard calculation for the standard deviation which would be sqrt(sma(pow(close - sma,2))) we might get something totally different from the stdev function : In white the pine stdev function and in red the standard calculation of both period 4, its clear that both are not the same, one might try to use the Bessel's correction but that won't do either, this is because most technical analysis tools will calculate the square root of the "Sum Of The Squares Minus Square Of The Sums" method to estimate the standard deviation Another way is to use : a = sqrt(sma(pow(close,2),length) - pow(sma(close,length),2)) By returning the difference we might still see some errors : Nothing relevant of course. Conclusion Some of you might already be aware of this but a reminder is always good since it can be confusing to make what can be considered the good standard deviation formula and then have something totally different from the pine function, i hope this post will be useful and that you learned something from it. Thanks for reading :)
Pine Script™ indicator
by alexgrover
19
Volume (Incremental) Weighted VOLATILITY BANDSDISCLAIMER: The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets. The following indicator was made for NON LUCRATIVE ACTIVITIES and must remain as is following TradingView's regulations. Use of indicator and their code are published by Invitation Only for work and knowledge sharing. All access granted over it, their use, copy or re-use should mention authorship(s) and origin(s). WARNING NOTICE! THE INCLUDED FUNCTION MUST BE CONSIDERED AS TESTING. The models included in the indicator have been taken from openly sources on the web, problems could occur at diverse data sceneries. WHAT'S THIS...? Work derived by previous own research for study: The given indicator is another VWAP analysis tool that contains openly procedures for rolling out time sessions as in other TradingView scripts . Some novelties are introduced in this version: INCREMENTAL WEIGHTED STANDARD DEVIATION BANDS: The calculation on this script are strictly based in regard of University of Cambridge Computing Service, February 2009 paper by Tony Finch publicly found at people.ds.cam.ac.uk . From the Abstract, he explain how to derive formulae for numerically stable calculation of the mean and standard deviation, which are also suitable for incremental on-line calculation. Then he generalize these formulae to weighted means and standard deviations. He unpick the difficulties that arise when generalizing further to normalized weights. Finally he shown that the exponentially weighted moving average is a special case of the incremental normalized weighted mean formula, and derive a formula for the exponentially weighted moving standard deviation. VOLUME WEIGHTED VOLATILITY ADAPTIVE MOVING AVERAGE & BANDS: Taking the INCREMENTAL WEIGHTED STANDARD DEVIATION already described and taking a specified anchor or Rolling procedure for a VWAP, I derive the variance against the price to use it as VOLATILITY PROXY for a normalization lambda to plot a First Order Impulse Response Filter or Adaptive Average . This idea have it's roots derived from Chaiyuth Padungsaksawasdi & Robert T. Daigler paper entitled "Volume weighted volatility: empirical evidence for a new realised volatility measure". NOTES: This version DO NOT INCLUDE ALERTS. This version DO NOT INCLUDE STRATEGY: Feedback are welcome. DERIVED WORK: Incremental calculation of weighted mean and variance by Tony Finch (fanf2@cam.ac.uk) (dot@dotat.at), 2009. Volume weighted volatility: empirical evidence for a new realised volatility measure by Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2018. Multi-Timeframe VWAP by TradingView user @mortdiggidi CHEERS! @XeL_Arjona 2019.
Pine Script™ indicator
by xel_arjona
1
Commodity Channel IndexI was checking the formula of built-in " cci " function and decided to publish a more customizable version of the Commodity Channel Index, so you can play with levels and a bunch of different sources. If someone doesn't know what is this: This indicator was originally developed by Donald R. Lambert ( "Commodities" magazine, 1980) to identify cyclical or seasonal price patterns in commodities. Now it is applied not only to commodities but to market indices, stocks and Forex. Good luck!
Pine Script™ indicator
by everget
7
[RESEARCH] Mean Absolute DeviationHello traders and developers! I was wondering how built-in "dev" function in Pine is calculated so I made a little research. I examined 7 samples: 0) "dev" function itself 1) "dev" according to its description: series - sma(series) 2) Mean Absolute Deviation 3) ratio of the absolute difference from 1) divided by period 4) ratio of the difference from 1) divided by period 5) Median Absolute Deviation 6) tricky for-loop to calculate Mean Absolute Deviation The results of the null and sixth samples are identical. So, TV built-in "dev" function represents Mean Absolute Deviation and it's description is incorrect. Where it is used? For example: Commodity Channel Index. You can check its original formula and if you used simple standard deviation instead of MAD in your CCIs - well guys, you were wrong. Good luck!
Pine Script™ indicator
by everget
10
NMA indicatorIndicator “NMA” Class : oscillator/trend deviations Trading type : intraday Time frame : 5 min – 60 min Purpose : search for divergences Level of aggressiveness : standard Indicator «NMA» is used to determine the divergence points between current prices and their fair (theoretical, calculated) values. Presence of strong divergence is a signal that prices have entered overbought/oversold zone. This, in turn, is a basis for position opening opposite to the current price dynamics. Structure of the indicator Indicator consists of colored lines and signal triangles, displayed on the chart. - green line – shows current fair price. When current price is close to this line it means that there are no any significant divergences in the price dynamics. The green line is also a take-profit line – at this price positions should be closed; - blue line – shows synthetic support level (analogue of the oversold zone), which is changing dynamically. From blue line “buy” trades are recommended; - red line – shows synthetic resistance level (analogue of the overbought zone), which is changing dynamically. From red line “sell” trades are recommended; To ease the trading process indicator displays on the chart “buy” and “sell” signals in form of blue/red triangles. Input parameters of the indicator To set up the indicator a number of input parameters are used: - AR period (period of indicator, by default = 21) – is used to calculate fair (theoretical) prices based on linier auto regression model. - Number of deviations (the number of standard deviations, by default = 1.5) – this parameter regulates the level of aggressiveness of the indicator. The bigger the parameter is the less signals are generated, but higher the quality if these signals is. Rules of trading Indicator can be used on the any time frame. For the intraday purposes periods from 5 min to 1 hour are recommended. The general rules are as follows: - if price crosses the blue line up-down – this is a signal that current price has fallen too much relatively its theoretical value (analogue of the oversold zone); - if price crosses the red line down-up – this is a signal that current price has risen too much relatively its theoretical value (analogue of the overbought zone); - “buy” from the blue line. For additional indication blue triangle is displayed on the chart; - “sell” from the red line. For additional indication red triangle is displayed on the chart; - take-profits are set near the green line - stop-losses are not provided. Positions are closed after the opposite signal appears.
Pine Script™ indicator
by Trade24Fx
Relative Volatility IndexCorrected Relative Volatility Index. This indicator was originally developed by Donald Dorsey (Stocks & Commodities V.11:6 (253-256): The Relative Volatility Index). The indicator was revised by Dorsey in 1995 (Stocks & Commodities V.13:09 (388-391): Refining the Relative Volatility Index). I suggest the refined RVI with optional settings. If you disabled Wilder's Smoothing and Refined RVI you will get the original version of RVI (1993, as built-in). Also, you can choose an algorithm for calculating Standard Deviation.
Pine Script™ indicator
by everget
10