Standard Deviation (volatility)
get_stdev(quotes, lookback_periods, sma_periods=None)
Parameters
| name | type | notes |
|---|---|---|
quotes | Iterable[Quote] | Iterable of the Quote class or its sub-class. • See here for usage with pandas.DataFrame |
lookback_periods | int | Number of periods (N) in the lookback period. Must be greater than 1 to calculate; however we suggest a larger period for statistically appropriate sample size. |
sma_periods | int, Optional | Number of periods in the moving average of Stdev. Must be greater than 0, if specified. |
Historical quotes requirements
You must have at least N periods of quotes to cover the warmup periods.
quotes is an Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
Return
StdevResults[StdevResult]
- This method returns a time series of all available indicator values for the
quotesprovided. StdevResultsis just a list ofStdevResult.- It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first
N-1periods will haveNonevalues since there’s not enough data to calculate.
StdevResult
| name | type | notes |
|---|---|---|
date | datetime | Date |
stdev | float, Optional | Standard Deviation of Close price over N lookback periods |
mean | float, Optional | Mean value of Close price over N lookback periods |
z_score | float, Optional | Z-Score of current Close price (number of standard deviations from mean) |
stdev_sma | float, Optional | Moving average (SMA) of STDDEV based on sma_periods periods, if specified |
Utilities
See Utilities and Helpers for more information.
Example
from stock_indicators import indicators
# This method is NOT a part of the library.
quotes = get_historical_quotes("SPY")
# Calculate 10-period Standard Deviation
results = indicators.get_stdev(quotes, 10)
About Standard Deviation (volatility)
Standard Deviation of Close price over a rolling lookback window. Also known as Historical Volatility (HV). [Discuss] 💬
