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2019-10-02: The community is currently in read-only mode

Standard deviation calculation is wrong?



  • Thank you for providing this great framework! I have used it for one year now.

    I think the standard deviation code(bt.indicators.StandardDeviation) is incorrect.
    For example, we give the function an input array and a mean array:
    Case A: [1,2,3] with mean [3,2,1]
    Case B: [3,2,1] with mean [3,2,1].

    Both case A and B would have the same result, but clearly case B should be zero. I cannot create issues on github so I have to put it here. I guess it might has huge impact on people's backtests.

    class StandardDeviation(Indicator):
        '''
        Calculates the standard deviation of the passed data for a given period
        Note:
          - If 2 datas are provided as parameters, the 2nd is considered to be the
            mean of the first
          - ``safepow`` (default: False) If this parameter is True, the standard
            deviation will be calculated as pow(abs(meansq - sqmean), 0.5) to safe
            guard for possible negative results of ``meansq - sqmean`` caused by
            the floating point representation.
        Formula:
          - meansquared = SimpleMovingAverage(pow(data, 2), period)
          - squaredmean = pow(SimpleMovingAverage(data, period), 2)
          - stddev = pow(meansquared - squaredmean, 0.5)  # square root
        See:
          - http://en.wikipedia.org/wiki/Standard_deviation
        '''
        alias = ('StdDev',)
    
        lines = ('stddev',)
        params = (('period', 20), ('movav', MovAv.Simple), ('safepow', True),)
    
        def __init__(self):
            if len(self.datas) > 1:
                mean = self.data1
            else:
                mean = self.p.movav(self.data, period=self.p.period)
    
            meansq = self.p.movav(pow(self.data, 2), period=self.p.period)
            sqmean = pow(mean, 2)
    
            if self.p.safepow:
                self.lines.stddev = pow(abs(meansq - sqmean), 0.5)
            else:
                self.lines.stddev = pow(meansq - sqmean, 0.5)
    

  • administrators

    @nonamestreet said in Standard deviation calculation is wrong?:

    I cannot create issues on github

    Issue on GitHub were disabled exactly because of reports like this one.

    Understanding that your intentions are well meant, do you have something to sustain your claims?

    Sorry but when I read that you "give the function" ... makes me wonder to which "function" are you actually referring? The backtrader code shown defines no function.



  • @backtrader
    Sorry for the confusion. My understanding is incorrect, thank you for the help!


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