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Calculate Standard Deviation of an Indicator

If I wanted to calculate the rollng standard deviation of an indicator, how would I go about that? I'm having trouble using the IndicatorExtensions. 


For example, if I had and AccumulationDistribution indicator:

self.AD = self.AD("SPY", Resolution.Daily)
self.ADstd = ?

From the documentation, it doesn't look like I can use the Standard Deviation class for anything else besides price.
 

Update Backtest







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Hi John,

One way to do this is to use a StandardDeviation object, which can be updated by the latest values of another indicator (AD in this case). You can use the Updated event handler (register functions using += MyFunction) to ensure for every update on the indicator, the StandardDeviation object will be updated. To see this in action, check out the attached backtest.

Best,
Shile Wen

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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.


Update Backtest





0

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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