Moving
Standard Deviation (MSTD)
The moving standard deviation is a measure of
market volatility. It makes no predictions of market direction, but it may
serve as a confirming indicator. You specify the number of periods to use, and
the study computes the standard deviation of prices from the moving average of
the prices.
Parameters:
- Period (20) - the number of bars,
or interval, used to calculate the study.
Computation
- Calculate the moving average. The formula
is:
- Pn the price you pay for the nth
interval
- n the number of periods you select
- Subtract the moving average from each of
the individual data points used in the moving average calculation. This
gives you a list of deviations from the average. Square each deviation and
add them all together. Divide this sum by the number of periods you
selected.
- Take the square root of d. This gives you
the standard deviation.
There is risk of loss in futures
trading. Past results are not indicative of future results.
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