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Annualized Standard Deviation

EFMoody
EFMoody ✭
in Other StockCharts Questions
I am doing some historical research on a number of indexes. What I need is the Annual SD over 1 and 5 years. The charts are not a problem but how can I get an annual SD using the indicator? Do I do the charts 'monthly'? Then what do I put in for the parameter? And what is it in the final chart that I do to get the annual SD?

Can this even be done? Any help/insight will be greatly appreciated. Even just someone who knows it can't be done. I have checked extensively with other sites and their history usually does not go back 20 years. Any thoughts on anything else.
EF Moody
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Comments

  • markd
    markd mod
    edited January 2017
    Here's a link to the Chart School article on the STDDEV indicator as Stockcharts calculates it:

    https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:standard_deviation_volatility

    As I read the article, the annual SD for a particular *calendar* year would be the SD value on the last trading day of the year for daily and monthly time frames. For the weekly time frame, it would probably have to be the last day of the week that is the end of a week in that year. That would normally be Friday, unless it is a holiday. For instance, if the year ended on a Wednesday, you would use the previous Friday, because the final week is not a complete week.

    The parameter for SD for the monthly time frame would 12, for weekly 52 and daily 251 (chart school says 250; take your pick).

    So, on your monthly chart above, to get the the SD for calendar 2016 you would set the chart date to December 30, 2016 and get the SD reading.

    The other readings on the chart reflect the volatility for the 12 months up to (and including) that bar. So, for instance, October 2016's value is the SD for the period November 2015 to October 2016.

    I'm not sure what is meant by annual volatility over 5 years - maybe it means get the range of 1 year volatility (STDDEV(12) on the monthly chart, or some other time frame) over 5 years and take the high and low readings.

    If this is an assignment, it's possible the data needs to be presented in a table. In that case, you can download past data to Excel using the link under the chart. Then you would use the Excel function to create the table. You'll have to figure out how to do that on your own.

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