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How to calculate standard deviation?

  • #1
  • First Post: Oct 9, 2008 5:51am Oct 9, 2008 5:51am
Hi, I want to calculate standard deviation in MT. I'm a beginner in programming.

I have seen reference to writing it like this:
Inserted Code
stdev(C, 10)


But what is the 10 doing there? Is it the standard deviation of last 10 Close?
How would I go about writing a standard deviation calculation for;

Inserted Code
"the standard deviation of the absolute difference between integer A and Integer B"


In pseudo code;
Inserted Code
Stdev(A-B)

Can I write it like this?
  • #2
  • Edited 4:29pm Oct 9, 2008 4:29pm | Edited 4:29pm
are you writing in MT4 or excel? i know in excel, for the formula you wrote, it would be STDEV(ABS(A-B)), as for MT4, i have no idea. i know you can do iStdDev(symbol,timeframe,ma_period,ma_shift,ma_method,applied_price,shift). i dont know the actual calculation though.
  • #3
  • Oct 9, 2008 5:10pm Oct 9, 2008 5:10pm
You mean this?

http://hubpages.com/hub/stddev
  • #4
  • Oct 11, 2008 1:23am Oct 11, 2008 1:23am
Stcktrdr,

It's a long time since I've used MetaStock, but stdev(C,10) looks like a MetaStock formula, if I recall correctly. Is it possible that you're confusing MetaStock with MetaTrader?

David
  • #5
  • Oct 11, 2008 7:38am Oct 11, 2008 7:38am
Quoting hanover
Stcktrdr,

It's a long time since I've used MetaStock, but stdev(C,10) looks like a MetaStock formula, if I recall correctly. Is it possible that you're confusing MetaStock with MetaTrader?

David
Yes, that is what I thought also.

Anyway, I found an indicator that did exactly what I ultimately wanted to achieve. The standard deviation calculation was only a small part of it. I love how talented programmers share their knowledge and indicators.

Thanks
  • #6
  • Oct 12, 2008 8:39pm Oct 12, 2008 8:39pm
Stcktrdr

I assume you've found the built-in Standard Deviation indicator. If you are describing another, could you share that indicator and knowledge? Thank you
  • #7
  • Jul 30, 2014 2:16am Jul 30, 2014 2:16am
Just typed up this thing for a stats project.
Inserted Code
//+------------------------------------------------------------------+
//|                                                 StatsProject.mq4 |
//|                                                       John Davis |
//|                                      http://512jay.blogspot.com/ |
//+------------------------------------------------------------------+
#property copyright "John Davis"
#property link      "http://512jay.blogspot.com/"
#property version   "1.00"
#property strict
//-- show the windows of input parameters when launching the script
#property script_show_inputs
//-- parameters for receiving data from the terminal
input string               InpSymbolName="EURUSD";       // Currency pair
input ENUM_TIMEFRAMES      InpSymbolPeriod=PERIOD_M15;   // Time frame
input string               InpFileName="Stata.csv";      // File name
input string               InputDirectoryName="Stats";   // Folder name
void ResetLastError();
int filehandle = FileOpen(InpFileName,FILE_WRITE|FILE_CSV);
//+------------------------------------------------------------------+
//| Script program start function                                    |
//+------------------------------------------------------------------+
void OnStart()
  {
//---
   double Magnitude = 0.0;    // Zero out the magnitude
   long vol = 0;
   int count = 0;
   double totalMag = 0.0;
   double totalVol = 0.0;
   double magMean = 0.0;
   double volMean = 0.0;
   double magSD = 0.0;
   double volSD = 0.0;
   double magDeviationSquared = 0.0;
   FileWriteString(filehandle,"Magnitude,Volume\r\n");
   for (int i = 0; i < Bars; i++)
   {
      Magnitude = (iHigh(NULL,NULL,i)-iLow(NULL,NULL,i));
      vol = iVolume(NULL,NULL,i);
      string MagString = DoubleToStr(Magnitude);
      string volString = IntegerToString(vol);
      count++;
      totalMag = totalMag + Magnitude;
      totalVol = totalVol + vol;
    
      
      
      
      
      if(filehandle != INVALID_HANDLE)
      {
         FileWriteString(filehandle,MagString+","+volString+"\r\n");
        
      }
   }
   FileClose(filehandle);
   Print("Closed file");
   Print("Total Count: ", count);
   magMean = totalMag / count;
   volMean = totalVol / count;
   Print("Mag Mean: ",DoubleToStr(magMean));
   Print("Vol Mean: ",DoubleToStr(volMean));
  
   for (int i = 0; i < Bars; i++)
   {
      Magnitude = (iHigh(NULL,NULL,i)-iLow(NULL,NULL,i));
      vol = iVolume(NULL,NULL,i);
      magDeviationSquared = (Magnitude - magMean)*(Magnitude - magMean);
      magSD = magDeviationSquared + magSD;
   }
   magSD = MathSqrt(magSD/(count-1));
   Print("Mag Standard Deviation: ",DoubleToStr(magSD));
  }
//+------------------------------------------------------------------+
Buy, Sell, plus this other thing equals Profit!
  • #8
  • Last Post: Mar 18, 2019 2:33am Mar 18, 2019 2:33am
Quoting JayDavis
Just typed up this thing for a stats project. //+------------------------------------------------------------------+ //| StatsProject.mq4 | //| John Davis | //| http://512jay.blogspot.com/ | //+------------------------------------------------------------------+ #property copyright "John Davis" #property link "http://512jay.blogspot.com/" #property version "1.00" #property strict //-- show the windows of input parameters when launching the script #property script_show_inputs //-- parameters for receiving data from the terminal input string InpSymbolName="EURUSD";...
when i load it , it gets removed can any one hel guyds
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