eu.verdelhan.ta4j.indicators.statistics.VarianceIndicator Maven / Gradle / Ivy
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/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2016 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.indicators.statistics;
import eu.verdelhan.ta4j.Indicator;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.indicators.CachedIndicator;
import eu.verdelhan.ta4j.indicators.trackers.SMAIndicator;
/**
* Variance indicator.
*
*/
public class VarianceIndicator extends CachedIndicator {
private Indicator indicator;
private int timeFrame;
private SMAIndicator sma;
/**
* Constructor.
* @param indicator the indicator
* @param timeFrame the time frame
*/
public VarianceIndicator(Indicator indicator, int timeFrame) {
super(indicator);
this.indicator = indicator;
this.timeFrame = timeFrame;
sma = new SMAIndicator(indicator, timeFrame);
}
@Override
protected Decimal calculate(int index) {
final int startIndex = Math.max(0, index - timeFrame + 1);
final int numberOfObservations = index - startIndex + 1;
Decimal variance = Decimal.ZERO;
Decimal average = sma.getValue(index);
for (int i = startIndex; i <= index; i++) {
Decimal pow = indicator.getValue(i).minus(average).pow(2);
variance = variance.plus(pow);
}
variance = variance.dividedBy(Decimal.valueOf(numberOfObservations));
return variance;
}
@Override
public String toString() {
return getClass().getSimpleName() + " timeFrame: " + timeFrame;
}
}