wehub-resource-sync
65 lines
2.9 KiB
C#
65 lines
2.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the n-period population standard deviation of its input.
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/// When the input is a price series, the result is the dispersion of price levels, not
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/// the asset's volatility. To compute volatility, chain this indicator onto a
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/// <see cref="LogReturn"/> or <see cref="RateOfChange"/> indicator using
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/// <see cref="IndicatorExtensions.Of"/>.
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/// </summary>
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public class StandardDeviation : Variance
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{
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/// <summary>
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/// Initializes a new instance of the StandardDeviation class with the specified period.
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///
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/// Evaluates the standard deviation of samples in the look-back period.
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/// On a data set of size N will use an N normalizer and would thus be biased if applied to a subset.
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/// </summary>
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/// <param name="period">The sample size of the standard deviation</param>
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public StandardDeviation(int period)
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: this($"STD({period})", period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the StandardDeviation class with the specified name and period.
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///
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/// Evaluates the standard deviation of samples in the look-back period.
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/// On a data set of size N will use an N normalizer and would thus be biased if applied to a subset.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The sample size of the standard deviation</param>
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public StandardDeviation(string name, int period)
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: base(name, period)
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{
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <param name="window">The window for the input history</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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return (decimal) Math.Sqrt((double) base.ComputeNextValue(window, input));
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}
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}
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} |