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feat(statistics): add Variance indicator with O(1) calculation and usage example

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Miha Kralj
2025-12-25 17:18:41 -08:00
parent 9ba89812cd
commit 4ff6dc0ad9
61 changed files with 6069 additions and 99 deletions
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perf/Benchmark.cs
+20
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@@ -382,4 +382,24 @@ public class IndicatorBenchmarks
[BenchmarkCategory("HMA")]
[Benchmark(Description = "Ooples HMA")]
public object Ooples_Hma() => new StockData(_ooplesData).CalculateHullMovingAverage(MovingAvgType.WeightedMovingAverage, Period);
// ==================== SKEW ====================
[BenchmarkCategory("SKEW")]
[Benchmark(Description = "QuanTAlib Skew (Span)")]
public void QuanTAlib_Skew_Span() => Skew.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("SKEW")]
[Benchmark(Description = "QuanTAlib Skew (Batch)")]
public TSeries QuanTAlib_Skew_TSeries() => Skew.Calculate(_closeTseries, Period);
[BenchmarkCategory("SKEW")]
[Benchmark(Description = "QuanTAlib Skew (Streaming)")]
public void QuanTAlib_Skew_Streaming()
{
var skew = new Skew(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = skew.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
}