/**
* Standard Deviation Indicator
* Measures the amount of variation or dispersion of a set of values
*/
export function calculateStdDev(closes, period = 20) {
if (closes.length < period) {
return {
stdDev: null,
volatility: null,
mean: null,
};
}
// Get the most recent period data
const recentData = closes.slice(-period);
// Calculate mean
const mean = recentData.reduce((sum, value) => sum + value, 0) / period;
// Calculate variance
const variance = recentData.reduce((sum, value) => {
return sum + Math.pow(value - mean, 2);
}, 0) / period;
// Calculate standard deviation
const stdDev = Math.sqrt(variance);
// Determine volatility level
let volatility = null;
const coefficientOfVariation = stdDev / Math.abs(mean);
if (coefficientOfVariation < 0.02)
volatility = 'low';
else if (coefficientOfVariation > 0.05)
volatility = 'high';
else
volatility = 'normal';
return {
stdDev,
volatility,
mean,
};
}
