Standard Deviation (STDDEV)

Summary

Rolling standard deviation of a series over a window, scaled by a deviations multiplier. Delegates to VAR, then takes the square root.

Chart

Reference data (CSV) · Chart (SVG)

Chart metadata i

Outputs

outReal: line · zero · positive · negative

Formula

$\sigma_i = \sqrt{\mathrm{VAR}_i}\cdot nbDev$ , where $\mathrm{VAR}_i = \frac{1}{N}\sum x^2 - \left(\frac{1}{N}\sum x\right)^2$ (population variance, $N=$ timePeriod)

Notes

Uses population variance (divides by the period, not period minus one), so results differ slightly from the sample standard deviation used by some tools.

Inputs

inReal — Series to measure dispersion of

Outputs

outReal — Standard deviation at each bar, scaled by optInNbDev

Parameters

Parameter	Type	Default	Accepted values	Description
`optInTimePeriod`	integer	5	2–100000	Window length
`optInNbDev`	real	1	any real	Multiplier applied to the standard deviation

Properties

Numerical Stability: Start-Independent


☐ Overlap Input
✅ Independent Y-Axis i
☐ Candlestick
☐ Display Shift


☐ Can Output NaN or ±Inf
☐ Identity at Period 1
☐ Uses Transcendental
☐ Input Must Be Positive

Example

#include <stdio.h>
#include <ta_libc.h>

int n = 252;
double series[252]; /* your data, oldest first */
double out[252];
int outBegIdx, outNBElement;

TA_Initialize();
TA_STDDEV( 0, n - 1, series, 5, 1.0, &outBegIdx, &outNBElement, out );
printf( "%d values from bar %d; last out = %f\n", outNBElement, outBegIdx, out[outNBElement - 1] );

Rust

use ta_lib::Core;

let series = vec![0.0; 252]; // your data, oldest first
let mut out = vec![0.0; 252];

let core = Core::new();
let range = core.stddev(0, series.len() - 1, &series, 5, 1.0, &mut out)?;
println!("{} values from bar {}; last out = {}", range.count, range.beg_idx, out[range.count - 1]);

Java

import io.github.talib.Core;
import io.github.talib.OutRange;

double[] series = new double[252]; // your data, oldest first
double[] out = new double[252];

Core core = Core.DEFAULT;
OutRange r = core.stddev(0, series.length - 1, series, 5, 1.0, out);
System.out.println(r.count() + " values from bar " + r.begIdx() + "; last out = " + out[r.count() - 1]);

using System;
using TALib;

var series = new double[252]; // your data, oldest first
var outReal = new double[252];

var core = Core.Default;
OutRange r = core.Stddev(0, series.Length - 1, series, 5, 1.0, outReal);
Console.WriteLine($"{r.Count} values from bar {r.BegIdx}; last outReal = {outReal[r.Count - 1]}");

TypeScript

import { stddev } from 'ta-lib';

const series = new Float64Array(252); // your data, oldest first

const { begIdx, values } = stddev(series, { timePeriod: 5, nbDev: 1 });
console.log(values.length + ' values from bar ' + begIdx + '; last values = ' + values[values.length - 1]);

Implementation

Added in 0.4.0.

TA-Lib Definition: stddev.c · stddev.yaml

Native	File
C	`ta_STDDEV.c`
Rust	`stddev.rs`
Java	`Core_STDDEV.java`
C#	`Core_STDDEV.cs`
TypeScript	`stddev.ts`

Python: talib.STDDEV, see ta-lib-python.

TA-Lib is also available for R and more using a wrapper.

Aliases

Standard Deviation, SD, sigma