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Variance (Welford) [Loxx]

The standard deviation is a measure of how much a dataset differs from its mean; it tells us how dispersed the data are. A dataset that’s pretty much clumped around a single point would have a small standard deviation, while a dataset that’s all over the map would have a large standard deviation. You can. use this calculation for other indicators.
Given a sample the standard deviation is defined as the square root of the variance
Here you can find a Welford’s method for computing (single pass method) that avoids errors in some cases (if the variance is small compared to the square of the mean, and computing the difference leads catastrophic cancellation where significant leading digits are eliminated and the result has a large relative error)
Read more here: https://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/
Incliuded
Given a sample the standard deviation is defined as the square root of the variance
Here you can find a Welford’s method for computing (single pass method) that avoids errors in some cases (if the variance is small compared to the square of the mean, and computing the difference leads catastrophic cancellation where significant leading digits are eliminated and the result has a large relative error)
Read more here: https://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/
Incliuded
- Loxx's Expanded Source Types
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Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
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免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。