mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-01 11:17:46 +00:00
Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
41 lines
1.2 KiB
Plaintext
41 lines
1.2 KiB
Plaintext
// The MIT License (MIT)
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Variance, Dispersion or Spread (VARIANCE)", "VARIANCE", overlay=false)
|
|
|
|
//@function variance
|
|
//@param src {series float} Source series.
|
|
//@param len {int} Lookback length. `len` > 0.
|
|
//@returns {series float} Variance of `src` for `len` bars back. Returns 0 if not enough data.
|
|
variance(series float src, int len) =>
|
|
if len <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
var int p = math.max(1, len)
|
|
var array<float> buffer = array.new_float(p, na)
|
|
var int head = 0, var int count = 0
|
|
var float sum = 0.0, var float sumSq = 0.0
|
|
float oldest = array.get(buffer, head)
|
|
if not na(oldest)
|
|
sum -= oldest
|
|
sumSq -= oldest * oldest
|
|
count -= 1
|
|
float val = nz(src)
|
|
sum += val
|
|
sumSq += val * val
|
|
count += 1
|
|
array.set(buffer, head, val)
|
|
head := (head + 1) % p
|
|
count > 1 ? math.max(0.0, (sumSq / count) - math.pow(sum / count, 2)) : 0.0
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(14, "Period", minval=1)
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
variance_value = variance(i_source, i_period)
|
|
|
|
// Plot
|
|
plot(variance_value, "Var", color=color.yellow, linewidth=2)
|