WHALE ENGINE
Documentation

Standard Deviation (stdev)

[[stdev]] measures how widely its source is dispersed around its mean over a length window. Whenever it is defined, the result is non-negative and expressed in the same unit as the source. A low value means observations remain clustered near their mean; a high value means they lie farther away.

Standard deviation does not show the direction of a move or distinguish deviations above the mean from deviations below it. The biased parameter controls whether the window is treated as the full population or as a sample.

Block declaration

A strategy can contain multiple [[stdev]] blocks. Each block outputs one numeric series representing the standard deviation value.

Examples

Minimal setup

This block computes stdev with a 20-period window. Because source and biased are omitted, the block uses the default values, namely source = "close" and biased = true.

[[stdev]]
id     = "stdev"
length = 20

Standard deviation on the closing price

This block computes the standard deviation of closing prices over the last 20 candles.

[[stdev]]
id     = "stdev"
source = "close"
length = 20

Normalized distance from a moving average

This example uses stdev to express the distance between price and a moving average in standard deviations.

The condition becomes true when the closing price moves more than 1.5 standard deviations above its moving average. The example identifies price extension phases while taking recent volatility into account.

[[ma]]
id     = "baseline"
source = "close"
type   = "ema"
length = 50

[[stdev]]
id     = "volatility"
source = "close"
length = 50

[[condition]]
id            = "price_extension"
condition     = "(close - baseline) / volatility > 1.5"
next_block_id = "..."

Parameters

ParameterDescription
id
 String
 Required		Unique series name.
source
 String
 or Array
 Optional		Input series used for the calculation.
Accepted forms: source = "hl2" or source = ["close", "hl2"].
Each value can be either a standard price source (open, close, high, low, hl2, hlc3, ohlc4, hlcc4, volume) or the id of another indicator.
Default value: "close"
length
 Integer or Range
 Required		Standard deviation window. It must be ≥ 1 when biased = true, and ≥ 2 when biased = false.

Usage:
• Fixed: length = value
• Grid search:
 – length.start = min_value
 – length.stop = max_value
 – length.step = value (optional, default 1)
biased
 Boolean
 Optional		Chooses between population and sample standard deviation. When true, the block uses population stdev (division by N). When false, it uses sample stdev (division by N-1). Default is true.
symbol
 String
 or Array
 Optional		Market symbol(s) used when source only consists of standard prices (open, close, high, low, hl2, hlc3, ohlc4, hlcc4, volume).
Symbols must include the exchange prefix in the EXCHANGE:SYMBOL format (for example "KUCOIN:BTCUSDT").
If source mixes standard prices and indicator ids, symbol is applied only to combinations based on standard prices.
If source contains only indicator ids, symbol is ignored.
If omitted, the block inherits the symbol from [backtest].
For symbol format, arrays, and alignment rules, see Exchanges, Symbols and Timeframes.
timeframe
 String
 or Array
 Optional		Timeframe on which this indicator is computed.
If timeframe is omitted, the computation uses the grid’s main timeframe defined in [backtest].
For accepted formats and timeframe alignment rules, see Exchanges, Symbols and Timeframes.

Available variables

Use the identifiers below directly in your expressions. The stdev block exposes one numeric series, its parameters, and the input metadata.

Assume the block is configured as:

[[stdev]]
id     = "stdev"
length = 20

Then:

VariableDescription
stdev or stdev[0]
Decimal		Current standard deviation value.
stdev[n]
Decimal		Standard deviation value from n candles ago.
stdev.length
Decimal		Window length in use.
stdev.biased
Decimal		Bias flag in use, 1 for population standard deviation and 0 for sample standard deviation.
stdev.source
String		Name of the input series.
stdev.symbol
String		Symbol used (display format).
stdev.timeframe
String		Timeframe used for this block.

Notes

  • When biased = false, the window must contain at least two values because sample standard deviation uses an N-1 divisor.
  • The engine skips na values when building the window and starts producing values only after it has collected enough valid samples.
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