Moving Standard Deviation (MSTD)

The moving standard deviation is a measure of market volatility. It makes no predictions of market direction, but it may serve as a confirming indicator. You specify the number of periods to use, and the study computes the standard deviation of prices from the moving average of the prices.

Parameters:

• Period (20) - the number of bars, or interval, used to calculate the study.

Computation

1. Calculate the moving average. The formula is:
   

   

   • Pn the price you pay for the nth interval
   • n the number of periods you select

2. Subtract the moving average from each of the individual data points used in the moving average calculation. This gives you a list of deviations from the average. Square each deviation and add them all together. Divide this sum by the number of periods you selected.
   
3. Take the square root of d. This gives you the standard deviation.