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Upside-Downside and Custom Standard Deviation

by QuantShare, 1779 days ago
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This function can be used to calculate Upside/Downside standard deviation or any other custom standard deviation.

As an example, let us say you want to calculate standard deviation of returns but just returns that occurred while a particular stock was trading below its long-term or 250-bar moving average. That particular standard deviation is very easy to calculate using this custom standard deviation function. You just have to type this:

a = StddevC(perf(close, 1), 200, close > open);
plot(a, "", colorRed);


Note that the function name is similar to the built-in standard deviation function. You just need to add "C" at the end of the function.
Also don't forget that you need to download the indicator first in order to use it. Just click on the "Download" link/button below.

Here is another quick example.
Calculate the difference between upside and downside standard deviation for the past 200 trading bars:

r = perf(close, 1);
up = StddevC(r, 200, r > 0);
dw = StddevC(r, 200, r < 0);
dif = up - dw;
plot(dif, "Difference between Upside and Downside standard deviation", colorBlue);


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Type: Trading Indicator

Object ID: 1533


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Style:
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.