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Hi
Im trying to calculate the standard deviation of the close price in the last 30 days. And then i want to compare it to the standard deviation of the close price from yesterday and then 30 days back again. But im mostly having trouble recalling the history in just close prices.
Im cooding in C# btw.
Thanks in advance:)
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Derek Melchin
Hi Bertram,
We can accomplish this by using `STD`, `IndicatorExtensions`, and `Delay`.
sd1 = STD(symbol, 30); sd2 = IndicatorExtensions.Of(new Delay(1), sd1);See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Bertram Petersen
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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