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Standard Deviation RList

Posted By johan 3 Years Ago
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Posted Saturday November 08 2014
I have a RList with daily Equity Values.  I want to calculate a standard deviation on these.  STDev uses a series as input, and not a list.  Is there any way to calculate a standard deviation for a list?
phg
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Posted Saturday November 08 2014
Try googling "c# standard deviation". If Rlist meets the criteria of a generic list this might help:
http://www.martijnkooij.nl/2013/04/csharp-math-mean-variance-and-standard-deviation/
There are others.



-Pete

See also Yahoo group about applying RE.

Posted Saturday November 08 2014
RightEdge has a class called StdDevQueue which can do this for you.  Let us know if you need any help with using it.

Thanks,
Daniel
Posted Sunday November 09 2014
Thanks Daniel.  How do I set the inputs for StdDevQueue.  I have the following code snippets relevant to this

public class MySystem : MySystemBase
public RList<double> ExcessDailyReturn;
public StdDevQueue equitySTD;

base.NewBar();
excessDailyReturn = ((EquityList.Current - EquityList.LookBack(1)) / EquityList.LookBack(1)) - riskFreeRate / 252;
ExcessDailyReturn.Add(excessDailyReturn);
equitySTD = new StdDevQueue(30);

I now want to set the input for equitySTD as RList ExcessDailyReturn.  Can you please help with this.

Thanks

Johan

Posted Sunday November 09 2014
Daniel

I got it right with AddValue.  My only problem now is that I want to get the Standard Deviation for the whole RList.  When I create the instance, I need to add the number of periods.  Is there a way to let the number of periods equal the whole queue?
Posted Monday November 10 2014
If you specify int.MaxValue for the number of periods, then the StdDev property value will be the standard deviation of all the values you've added (assuming you don't go over 2 billion of them).

Personally, I think it's probably better to calculate over a fixed period.  If you have a lot of historical data, eventually the data from the beginning of time is going to be less relevant than the more recent data.

Thanks,
Daniel


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