Class CovarianceRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.statistics.pro.CovarianceRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class CovarianceRTIndicator
extends AbstractRTIndicator

Rolling population covariance with O(1) per-tick updates.

Maintains two parallel WindowSeriesStore instances with three accumulators (sumX, sumY, sumXY). On eviction the X callback saves the evicted value, then the Y callback uses it to decrement the cross-term.

Population covariance is computed via:

  Cov(X,Y) = sumXY/n - (sumX/n) * (sumY/n)

Leaner than CorrelationRTIndicator — omits the per-series squared accumulators (sumXSq, sumYSq) needed only for the Pearson r denominator.

Use withSampleCovariance(boolean) to enable Bessel's correction (dividing by n-1 instead of n).

Constructor Summary

Constructors

Constructor	Description
CovarianceRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getMeanX()	Returns the current rolling mean of the X series.
double	getMeanY()	Returns the current rolling mean of the Y series.
int	getPeriods()
boolean	isReady()	Returns whether this indicator has received enough data to produce meaningful values.
void	reset()
double	update(double newValue)	Not supported — covariance requires two inputs.
double	update(double x, double y)	Updates the indicator with a new (x, y) pair and returns the current covariance.
CovarianceRTIndicator	withSampleCovariance(boolean sampleCovariance)	Enables Bessel's correction: divide by n-1 instead of n.

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getId, isHidden, ro, update, update

Constructor Details

CovarianceRTIndicator

public CovarianceRTIndicator(int periods)

Method Details

getPeriods

public int getPeriods()

isReady

public boolean isReady()

Description copied from interface: RTIndicator

Returns whether this indicator has received enough data to produce meaningful values.

During the warmup period, RTIndicator.getValue() may return 0 or a partial estimate that should not be used for trading decisions. Once this method returns true, the indicator's output is statistically valid.

The default implementation returns true for backward compatibility. Indicators with warmup requirements should override this method.

For composite indicators (e.g. Bollinger Bands, MACD), readiness is determined by the slowest internal component.

Returns:

true if the indicator has completed its warmup period

withSampleCovariance

public CovarianceRTIndicator withSampleCovariance(boolean sampleCovariance)

Enables Bessel's correction: divide by n-1 instead of n.

getMeanX

public double getMeanX()

Returns the current rolling mean of the X series.

getMeanY

public double getMeanY()

Returns the current rolling mean of the Y series.

update

public double update(double newValue)

Not supported — covariance requires two inputs. Use update(double, double).

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator

Throws:

UnsupportedOperationException - always

update

public double update(double x,
 double y)

Updates the indicator with a new (x, y) pair and returns the current covariance.

reset

public void reset()

Specified by:

reset in interface Resettable

Overrides:

reset in class AbstractRTIndicator