StdDev calculation incorrect?

[slsdoug]

I'm looking at @StdDev.cs and I believe the calculation is incorrect.
This line, in OnBarUpdate():
Value.Set(Math.Sqrt(sum / Math.Min(CurrentBar + 1, Period)));

should be:
Value.Set(Math.Sqrt(sum / (Math.Min(CurrentBar + 1, Period) - 1)));

dougthetrader

[NinjaTrader_CalH]

DougTheTrader,

Thank you for your post.

There are two formulas for calculating Standard Deviation. The first one grabs a random set of values of the population, this is known as sampling, while the other uses a set population size or values that are only interested in. We use the first one from the link below
http://standard-deviation.appspot.com/

Since, we are not grabbing random values in this case, we follow the math logic of square rooting the sum divided by the population size.

Value.Set(Math.Sqrt(sum / Math.Min(CurrentBar + 1, Period)));

Let me know if I can be of further assistance