How to calculate downside standard deviation?
Author: maximgl
Creation Date: 10/27/2019 10:44 PM
profile picture


Given that I have bars, how can I calculate only downside standard deviation, something similar to what is used in Sortino ratio?
Could it be implemented as a combination of existing Indicators or do I have to iterate through all bars to calculate it?
profile picture


Judging by this example of calculation of the downside deviation in Excel, I think you can achieve it by using a combination of existing indicators:

Downside Deviation as a Risk Measure

Please log in to see this code.

There's another formula but I leave it up to you to explore it:

Downside Deviation Calculation (5 Step Process)
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).