Standard Deviation (Volatility)

How much the closes vary around their average, in pips.

What it measures

The population standard deviation of the last periods closes, divided by the pip size.

How traders read it

Traders read a rising value as a market getting busier and a falling one as it calming down. It underlies Bollinger Bands.

Formula

σ = √( Σ (close − mean)² / periods ), over the last periods closes
value = σ / pip size

Because it is in pips, it suits currency pairs. For an instrument whose pip size is large compared with its price moves, the values are small.

Settings and output

Call: standardDeviation(periods)

Setting	Chart default
`periods`: Periods	10

What you get: a number.

Warm-up: with standardDeviation(10), it asks for 10 bars of history and a run-up of 1, and its first value came on bar 11 of the example data.

Chart

Standard Deviation (Volatility) drawn by its own code on example prices

The prices are made up, hourly, and the same on every page, so the chart shows how the indicator behaves, not how a market behaved.

In an algorithm

function onIntervalClose() {
  if (standardDeviation(10) > 15 && OPEN_POSITIONS_COUNT === 0) {
    log("Busy market: standard deviation above 15 pips");
  }
}