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Standard Deviation Channels

Standard Deviation Channels are prices ranges based on an linear regression centerline and standard deviations band widths. [Discuss] 💬

// C# usage syntax
IEnumerable<StdDevChannelsResult> results =
  quotes.GetStdDevChannels(lookbackPeriods, stdDeviations);

Parameters

lookbackPeriods int - Size (N) of the evaluation window. Must be null or greater than 1 to calculate. A null value will produce a full quotes evaluation window (see below). Default is 20.

stdDeviations double - Width of bands. Standard deviations (D) from the regression line. Must be greater than 0. Default is 2.

Historical quotes requirements

You must have at least N periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<StdDevChannelsResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• Up to N-1 periods will have null values since there’s not enough data to calculate.

👉 Repaint warning: Historical results are a function of the current period window position and will fluctuate over time. Recommended for visualization; not recommended for backtesting.

StdDevChannelsResult

Date DateTime - Date from evaluated TQuote

Centerline double - Linear regression line (center line)

UpperChannel double - Upper line is D standard deviations above the center line

LowerChannel double - Lower line is D standard deviations below the center line

BreakPoint bool - Helper information. Indicates first point in new window.

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Alternative depiction for full quotes variant

If you specify null for the lookbackPeriods, you will get a regression line over the entire provided quotes.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = quotesEval
    .Use(CandlePart.HL2)
    .GetStdDevChannels(..);

Results cannot be further chained with additional transforms.