Standard Deviation (volatility)

[DaveSkender]

Community discussion about the [rolling] Standard Deviation (volatility) indicator

[DaveSkender]

I was just reading an article “What is the real risk of system trading?” by Perry Kauffman in the September 2022 issue of Technical Analysis of Stocks & Commodities magazine. He presents a definition for “standard financial annualized volatility”. Using daily quotes, here’s how to calculate it:

var yearFactor = Math.Sqrt(252);  // 252 is the number of trading days/year

var results = quotes
  .GetRoc(1)       // daily returns
  .GetStdDev(20)   // he used lookback of 20 days, same as VIX
  .Select(x => {
    x.Date,
    x.StdDev * yearFactor as Volatility
   });

[DaveSkender]

He also discusses other risk management metrics:

• average true range
• maximum drawdown
• risk of ruin
• correlation risk
• value at risk

Sage advice from a respected industry expert.