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TECHNICAL / VOLATILITY
TRSD60D
Full Description
These factors and function calculate the Standard Deviation of % moves using the price series fully adjusted for dividends. Note that 'bars' (trading days) are used for the period which can result is different calendar periods in universes made up of different countries due to holiday differences.

PctDev(samples,bars[,offset,min_samples,annualize]): calculates the SD based on your parameters.
TRSD1YD: same as PctDev(251, 1, 0, 0, true)
TRSD30D: same as PctDev(21, 1, 0, 0, true)
TRSD60D: same as PctDev(42, 1, 0, 0, true)
TRSD90D: same as PctDev(63, 1, 0, 0, true)
TRSD3YM: same as PctDev(36, 21, 0, 0, true)
TRSD5YM: same as PctDev(60, 21, 0, 0, true)
TRSD3YD: same as PctDev(753, 1, 0, 0, true)
TRSD5YD: same as PctDev(1254, 1, 0, 0, true)

PctDev() Parameters
samples: number of pct moves
bars: the length in bars for the pct move period
offset: offset in bars
min_samples: min number of samples required, otherwise NA is returned
annualize: when true the SD is annualized

Annualizing SD
We annualize SD by multiplying it by the sqrt(# of periods in the year). For example to annualize monthly SD (approximated with 21 bars) we multiply the SD by sqrt(12). Daily moves are annualized by multiplying the daily SD by sqrt(251).

Example
SD for the past 5 2 day returns for IBM:

Date Close 2-Day Return
07/24/0675.990.67%
07/21/0674.86
07/20/0675.481.64%
07/19/0676.07
07/18/0674.260.94%
07/17/0673.70
07/14/0673.57-2.53%
07/13/0674.24
07/12/0675.48-1.55%
07/11/0676.47
07/10/0676.67


PctDev(5,2) returns 1.78

This is calculated as stdev(0.67,1.64,0.94,-2.53,-1.55) as in the Excel stdev() formula