Posts made by nonamestreet

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

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)