Variance (Welford)

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

#property copyright   "© mladen, 2019"

#property link        "mladenfx@gmail.com"

#property description "Variance"

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#property indicator_separate_window

#property indicator_buffers 1

#property indicator_plots   1

#property indicator_label1  "Variance"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrDodgerBlue



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input int inpVarPeriod = 14; // Variance period



double val[];



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int OnInit()

{

   SetIndexBuffer(0,val ,INDICATOR_DATA);



      //

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      iVariance.init(inpVarPeriod);

   IndicatorSetString(INDICATOR_SHORTNAME,"Variance ("+(string)inpVarPeriod+")");

   return(INIT_SUCCEEDED);

}

void OnDeinit(const int reason) { return; }



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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 i= prev_calculated-1; if (i<0) i=0; for (; i<rates_total && !_StopFlag; i++) 

   { 

      val[i] = iVariance.calculate(close[i],i,rates_total); 

   }

   return(i);

}



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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; }

     

     //

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     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); }

            

            //

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            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;