ewmStd

Syntax

ewmStd(X, [com], [span], [halfLife], [alpha], [minPeriods=0], [adjust=true], [ignoreNA=false], [bias=false])

Details

Calculate exponentially weighted moving standard deviation.

Exactly one of the parameters com, span, halfLife and alpha must be specified.

Arguments

X is a numeric vector.

com (optional) is a non-negative floating number and specifies decay in terms of center of mass. alpha=1/(1+com) where alpha is the decay factor.

span (optional) is a positive floating number larger than 1 and specifies decay in terms of span. alpha=2/(span+1).

halfLife (optional) is a positive floating number and specifies decay in terms of half-life. alpha=1-exp(log(0.5)/halfLife).

alpha (optional) is a floating number between 0 and 1 and directly specifies decay.

minPeriods (optional) is an integer indicating the minimum number of observations in window required to have a value (otherwise result is NULL). The default value is 0.

adjust (optional) is a Boolean value. The default value is true.
  • If adjust=true, the weights are (1-alpha)^(n-1), (1-alpha)^(n-2), …, 1-alpha, 1 divided by their sum.

  • If adjust=false, the weights are (1-alpha)^(n-1), (1-alpha)^(n-2)*alpha, (1-alpha)^(n-3)*alpha^2,…, (1-alpha)*alpha, alpha.

ignoreNA (optional) is a Boolean value indicating whether to ignore missing values. The defaut value is false.

other (optional) is a numeric vector of the same length as X.

bias (optional) is a Boolean value indicating whether the result is biased. The default value is false, meaning the bias is corrected.

Examples

a=[0,1,2,int(),4]
ewmStd(X=a,com=0.5);
// output
[,0.707107,0.919866,0.919866,1.720513]

ewmStd(X=a,com=0.5,ignoreNA=true);
// output
[,0.707107,0.919866,0.919866,1.679057]

n = 20
colNames = `time`sym`qty`price
colTypes = [TIME,SYMBOL,INT,DOUBLE]
t1 = table(n:0, colNames, colTypes)
insert into t1 values(09:30:00.001,`AAPL,100,56.5)
insert into t1 values(09:30:00.001,`AAPL,200,30.5)
insert into t1 values(09:30:00.001,`DELL,150,35.5)
insert into t1 values(09:30:00.001,`DELL,170,60.5)
insert into t1 values(09:30:00.001,`DELL,130,40.5)
b=[2,4,3,6,5]
ewmStd(X=t1,com=0.5);
time sym qty price
09:30:00.001 AAPL
09:30:00.001 AAPL 70.7107 18.3848
09:30:00.001 DELL 39.2232 9.2487
09:30:00.001 DELL 23.271 17.2418
09:30:00.001 DELL 27.466 12.6944