Standard Deviation (Variable Length) [StDevVL]

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The Standard Deviation (Variable Length) function calculates the dispersion (or volatility) between the values in a field over a variable period of time using the statistical standard deviation. Parameters ------------------ Data          The data to use in the calculation. This is typically a field in a data series or a calculated value. Period        The number of bars of data to include in the calculation, including the current value.                   For example, a period of 3 includes the current value and the two previous values. Maximum Period   The maximum value that Period can contain.                              Larger values require extra memory to be set aside for this function to be calculated. Function Value ------------------------ The standard deviation is calculated by taking the square root of the variance, which is the average of the squared deviations from the mean. The standard deviation at the beginning of a data series is not defined until there are enough values to fill the given period. The value is also not defined for a period of 1. If the period is greater than the maximum period or negative, the value is not defined. If the period contains a fractional number, only the integer portion will be used. The standard deviation is typically used more than the variance as a measure of dispersion. This is because the scale of the value is more readily conceptualized to the scale of the data. Usage ----------- Standard Deviation can be used as a measure of volatility. A high standard deviation indicates a high amount of volatility in price data. High volatility levels can sometimes be used to time trend reversals, such as market tops and bottoms. Low volatility levels can sometimes be used to time the beginning of new upward price trends following periods of consolidation. Variable length functions can be used in association with other calculations, such as "Bars Since" functions, to determine values since an event occurred. For example, the following formula would return the standard deviation of the High field since the highest high in the last ten bars: StDevVL ( High, Add ( BarsSinceHigh ( High, 10 ) , 1 ) , 10)