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Category
Multi-Bar Functions
Description
Exponential Standard Deviation
Syntax
ESD(expr, count)
Parameters
expr - data series formula
count - lookback period
Notes
This function calculates a standard deviation of values as an exponential series using a constant weighting factor represented as a bar count.
As in the EMA function, count is converted to a weight factor using the formula factor = 2 / (count + 1).
This factor is then used to calculate two intermediate series for an array of values.
An EMA is calculated in place of the mean in a typical StdDev calculation.
The average of the squared differences between each value and the mean (i.e. the standard deviation) is also calculated as an EMA using the same weight factor.
This function supports ultra-fast one-pass calculation when used in the Data Section with a non-variable count.
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