Class VarianceRTIndicator

java.lang.Object

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

com.wualabs.qtsurfer.engine.indicators.core.AbstractWindowSeriesRTIndicator

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

All Implemented Interfaces:

Resettable, RTIndicator

public class VarianceRTIndicator
extends AbstractWindowSeriesRTIndicator

Rolling variance with O(1) per-tick updates using a single window.

Maintains dual accumulators (sum and sumSq) over a single window. On eviction both accumulators are decremented, eliminating the need for a separate SMA object and its duplicate window.

Variance is computed via the algebraic identity:

  Var(X) = E(X²) - E(X)²  =  sumSq/n - (sum/n)²

Population variance by default (standard for trading indicators). Use withSampleVariance(boolean) to enable Bessel's correction.

Produces identical results to VarianceRTIndicator (when both use the same variance type) with a single window instead of two.

Constructor Summary

Constructors

Constructor	Description
VarianceRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getMean()	Returns the current rolling mean (sum / n).
protected void	onEvict(double evicted)	Called when the window evicts the oldest value.
protected void	onReset()	Called after window is cleared.
double	update(double newValue)
VarianceRTIndicator	withSampleVariance(boolean sampleVariance)

Methods inherited from class AbstractWindowSeriesRTIndicator

getPeriods, isReady, reset, window, windowSize

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

VarianceRTIndicator

public VarianceRTIndicator(int periods)

Method Details

onEvict

protected void onEvict(double evicted)

Description copied from class: AbstractWindowSeriesRTIndicator

Called when the window evicts the oldest value. Override to update accumulators.

Overrides:

onEvict in class AbstractWindowSeriesRTIndicator

onReset

protected void onReset()

Description copied from class: AbstractWindowSeriesRTIndicator

Called after window is cleared. Override to zero accumulators.

Overrides:

onReset in class AbstractWindowSeriesRTIndicator

getMean

public double getMean()

Returns the current rolling mean (sum / n). Useful for composing indicators (e.g. Z-Score) without duplicating state.

withSampleVariance

public VarianceRTIndicator withSampleVariance(boolean sampleVariance)

update

public double update(double newValue)

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator