StandardDeviationOfReturnsVolatilityModel

QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel

StandardDeviationOfReturnsVolatilityModel(
    periods: int,
    resolution: Optional[Resolution] = None,
    update_frequency: Optional[timedelta] = None,
)

StandardDeviationOfReturnsVolatilityModel(
    resolution: Resolution,
    update_frequency: Optional[timedelta] = None,
)

Bases: BaseVolatilityModel

Provides an implementation of IVolatilityModel that computes the annualized sample standard deviation of daily returns as the volatility of the security

Initializes a new instance of the StandardDeviationOfReturnsVolatilityModel class

Parameters:

Name	Type	Description	Default
periods	Optional[int]	The max number of samples in the rolling window to be considered for calculating the standard deviation of returns	None
resolution	Optional[Resolution] | Resolution	Resolution of the price data inserted into the rolling window series to calculate standard deviation.	None
update_frequency	Optional[timedelta]	Frequency at which we insert new values into the rolling window for the standard deviation calculation	None

volatility

volatility: float

Gets the volatility of the security as a percentage

subscription_data_config_provider

subscription_data_config_provider: (
    ISubscriptionDataConfigProvider
)

Provides access to registered SubscriptionDataConfig

This codeEntityType is protected.

get_history_requirements

get_history_requirements(
    security: Security, utc_time: Union[datetime, date]
) -> Iterable[HistoryRequest]

Returns history requirements for the volatility model expressed in the form of history request

Parameters:

Name	Type	Description	Default
security	Security	The security of the request	required
utc_time	Union[datetime, date]	The date of the request	required

Returns:

Type	Description
Iterable[HistoryRequest]	History request object list, or empty if no requirements.

update

update(security: Security, data: BaseData) -> None

Updates this model using the new price information in the specified security instance

Parameters:

Name	Type	Description	Default
security	Security	The security to calculate volatility for	required
data	BaseData	Data to update the volatility model with	required

set_subscription_data_config_provider

set_subscription_data_config_provider(
    subscription_data_config_provider: ISubscriptionDataConfigProvider,
) -> None

Sets the ISubscriptionDataConfigProvider instance to use.

Parameters:

Name	Type	Description	Default
subscription_data_config_provider	ISubscriptionDataConfigProvider	Provides access to registered SubscriptionDataConfig	required