Standard Deviation

Hi, peoples,

a quick question...

Trying to apply StdDev in my strategies.(Please, only for those who work/worked on this one).Is it worth it in any variety?Any stat evidence that it should be applied?

Thanks!

 

Standard deviation is by definition a statistical measure... so obviously it would have statistical evidence.

The question would be how to calculate it and whether past standard deviations are reflective for future standard deviations.

It's basically a volatility question... historical vs implied...

 

The question is if a statistical evidence was positive in your backtesting.

 

Positive in what regard? What are you comparing? What are you measuring?

Standard deviation is a statistical measure... and historical volatility is derived from standard deviation/variance... those are facts.

I don't know what you want to do with it....

 

Positive testing results.

Simply put it.Using a strategy with the implemented Standard deviation(in any way you wish) VS Without.

Does it add up?

Hope that`s clear.

 

Standard deviation of what? Daily volume? Temperature in Siberia?
You don't say what your strategy is and you don't say where in that strategy you want to use use standard deviation. So how are the readers supposed to give a comment whether it has a beneficial contribution?

 

Standard deviation of just price itself.

 

Have you considered using Bollinger Bands? That uses standard deviations of the price. Google for opinions about the usefulness of that, is my advice.

 

Thanks, but i`d prefer opinions from the ET members and if someone has utilized any sort of SD in their automated strategies to some success.

 

I use standard deviation of price in some of my automated strategies. So it can work. But I also have plenty of strategies that I created with standard deviation in them that did not work.


So, for me, standard deviation is something to try, but it is not a "must have."