/**
* Standard Deviation Indicator
* Measures the amount of variation or dispersion of a set of values
*/
export interface StdDevData {
stdDev: number | null
volatility: 'low' | 'normal' | 'high' | null
mean: number | null
}
export function calculateStdDev(closes: number[], period: number = 20): StdDevData {
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: 'low' | 'normal' | 'high' | null = 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,
}
}
