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austinsense's avatar
austinsense
Impactful Individual
10 years ago
Solved

Problem with STDEV

I was working with a client to calculate Value at Risk over a rolling window of time - this requires calculating the standard deviation over the period which I figured would work just great - here's ...
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Greg_Deckler's avatar
Greg_Deckler
Community Champion
10 years ago

Curious what happens if you use STDEVX.P with your FILTER instead of wrapping your STDEV.P inside a CALCULATE.

  • austinsense's avatar
    austinsense
    Impactful Individual
    10 years ago

    Same result, I tried it both ways

    • rgupta18's avatar
      rgupta18
      Helper I
      5 years ago

      austinsense What is the calc. behind the VAR (averageprice and days) below:

      // Standard Deviation Formula over a 10 Day Rolling Window (From Scratch)
      :=
VAR averageprice = [AVG Price Change Last 10 Days]
VAR days = [COUNT Days]
RETURN
    SQRT (
        DIVIDE ( SUMX (
                            FILTER (ALL ( Data ),
                                          Data[Date] > ( MAX ( 'Date'[Date] ) - 11 )
                                          && Data[Date] < MAX ( 'Date'[Date] )
                            ),
                     ( Data[Prices Change $] - averageprice ) ^ 2 ),
            days
        )
) 

       I am running into issue as well when using the STDDEVX.S formula .