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Good Evening,
Can some please Post and or point me in the right direction as to where I can find a Standard Deviation Indicator that will plot the various Standard Deviation levels ( lines ) on the chart?
I'm looking for an Indicator that will Automatically calculate/plot various Standard Deviation levels ( SD 1, SD 2 and SD 3 Levels )
I attached a screenshot that I drew up, showing the kind of Indicator that I'm looking for - where it will plot various Standard Deviation lines/levels ( 3 ) as both Support and Resistance lines ( calculated similar to how Average True Range is calculated I'm thinking? )
Thank you to everyone for the help,
I really appreciate it
Can you help answer these questions from other members on NexusFi?
And are you looking for something like a moving average with sd bands, or VWAP with bands, or do you want just the static lines you have in your screen image?
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
This will definitely be a "too long, don't read" kind of post. My apologies, but if you don't clearly specify some things, you probably will not get any responses. Also, my apologies if you already know all of this. It is hard to tell from your post, so here goes:
1. Standard deviation is deviation from a mean, an average, of a certain amount of data. So if you want a standard deviation that applies to your entire chart, you will need to specify the amount of time that you are going to average the data for. If it's "everything on the chart," then it's still for an amount of time: the period from the beginning to the end of the chart. If you scroll the chart backward, the data that is on the chart will change, so your average will be different.
2. Since you need to make an average, you will need to specify how to determine it -- that's why I asked about whether you wanted to use an average of a fixed length (which would be a moving average, because it moves forward with every new bar and always has the same period), or to use the type of averaging what is used for VWAP, which always begins at a fixed anchor point in time (it's usually the beginning of the trading day, but it can be any date/time you choose in some implementations), which would increase the averaging period as time goes on (usually VWAPs reset when the trading day changes, but some have fixed anchor dates that do not change.) VWAPs take into account volume, which introduces another issue, but I'm using this more as an example of how the period could be set.
There's no way to get around the need for an average in order to calculate a standard deviation, so how you want the average to be calculated is the important question. It is always a standard deviation for a given set of data, and it always involves finding the average of the data first.
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However you decide you want the average done, the standard deviation levels for the entire set of data would simply be the the values at the last bar of the set. So when there is another bar added as time goes on, the last value obviously changes.
Typically, something involving a standard deviation would plot the standard deviation multiples as bands above and below the plot of the average, so looking back you could see what they were at a given time. It is also clearly possible from a mathematical point of view to only use the last value and then plot your horizontal lines backward, but I have never seen this done in practice. I have seen the previous day's VWAP levels being plotted forward into today's time period, to show possible support/resistance for the current timeframe.
There is a great number of standard deviation indicators in the world, and for all I know the exact backward-looking levels you are asking for may exist, but I have never seen them.
As far as standard, included indicators, I know that NinjaTrader has a standard daily VWAP. I do not think that its anchor point can be changed from the beginning of the day, nor if its period can be changed, but I doubt it. I don't use NT any more, but you can check the standard indicators and see. I also do not think that NT has, as an included indicator, a moving average type standard deviation indicator, but they do exist. If you want either of these alternatives, someone may be able to steer you to one.
But you will need to specify the way you want the average calculated, which is why I went into this long and probably too-long-for-anyone-to-ever-read post .
You also are probably not going to find the backward-pointing levels you drew on your chart. Maybe this exists, but I have not seen it (I also don't really understand why it's desirable, but if it's what you want, it's what you want.)
You can get anything done with custom programming, and perhaps someone will know of a solution or will be able to put one together. In principle it would not be hard to do.
But the averaging question has to be answered: how long do you want to have the data averaged in the first step of getting the standard deviation? If your answer is simply "I want the whole chart," well, that is a certain period of time, after all, and so this could be done too. The data being used would then change with every new bar, as well as if you scroll the chart back or change the span it covers, so that puts things back to the question of how to decide on the average period.
After all this, I'm not familiar with the NT world any more, so I don't have concrete suggestions. But these considerations will be important no matter what platform anyone uses. Maybe someone else can lend a hand, once you are more specific about what you are looking for. You may also have to settle for something that is close enough, if the exact thing you want is not available.
Good luck with this search. I hope you find something you can use.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
bobwest,
Your reply was super super helpful - Thank you so much for going in depth and explaining the way(s) to calculate Standard Deviation and the "why" behind it.
I learned a lot from reading it, and Thank you again for taking the time to go over it
.