Variance

ÿþ//------------------------------------------------------------------

#property copyright   "© mladen, 2019"

#property link        "mladenfx@gmail.com"

#property description "Variance"

//------------------------------------------------------------------

#property strict

#property indicator_separate_window

#property indicator_buffers 1

#property indicator_color1  clrDodgerBlue



input int inpVarPeriod = 14; // Variance period

double val[];



//------------------------------------------------------------------

//

//------------------------------------------------------------------

int OnInit(void)

{

   IndicatorDigits(6);

   string short_name = "Variance("+IntegerToString(inpVarPeriod)+")";

   

      //

      //

      //

      

      SetIndexBuffer(0,val); SetIndexStyle(0,DRAW_LINE); SetIndexLabel(0,short_name);

      IndicatorShortName(short_name);

         iVariance.init(inpVarPeriod);

   return(INIT_SUCCEEDED);

}



//------------------------------------------------------------------

//

//------------------------------------------------------------------

int OnCalculate(const int rates_total,

                const int prev_calculated,

                const datetime &time[],

                const double &open[],

                const double &high[],

                const double &low[],

                const double &close[],

                const long &tick_volume[],

                const long &volume[],

                const int &spread[])

{

   int limit=MathMin(rates_total-prev_calculated+1,rates_total-1);

   

   //

   //

   //

   

   for(int i=limit; i>=0; i--) val[i]=iVariance.calculate(close[i],rates_total-i-1,rates_total);

   return(rates_total);

}



//------------------------------------------------------------------

//

//------------------------------------------------------------------

//

//

//



class CVariance

{

   private :

         int    m_period;

         struct sVarStruct

         {

            double value;

         };

         sVarStruct m_array[];

         int        m_arraySize;

   public :

      CVariance() : m_period(1), m_arraySize(-1) { return; }

     ~CVariance()                                { return; }

     

     //

     //---

     //

     

     void init(int period)

         {

            m_period = (period>1) ? period : 1;

         }

      double calculate(double value, int i, int bars)

         {

            if (m_arraySize<bars) { m_arraySize = ArrayResize(m_array,bars+500); if (m_arraySize<bars) return(0); }

            

            //

            //

            //

            

            m_array[i].value = value;

            double _m=0,_s=0,_oldm=0;

            for (int k=0; k<m_period && i>=k; k++)

            {

               _oldm = _m;

               _m    = _m+(m_array[i-k].value-_m)/(1.0+k);

               _s    = _s+(m_array[i-k].value-_m)*(m_array[i-k].value-_oldm);

            }

            return(_s/(m_period-1));

         }   

};

CVariance iVariance;