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Technical Studies Reference


Dispersion

This study calculates a Dispersion (Variance) over a number of bars specified by the Length Input.

Let \(X\) be a random variable denoting the Input Data, and let \(X_i\) be the value of the Input Data at Index \(i\). Let the Input Length be denoted as \(n\). Then we denote the Variance at Index \(t\) for the given Inputs as \(Var_t(X,n)\), and we compute it in terms of a Simple Moving Average for \(t \geq n - 1\) as follows.

\(\displaystyle{Var_t(X,n) = \frac{1}{n}\sum_{i = t - n + 1}^t (X_i - SMA_t(X,n))^2}\)

Spreadsheet

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Dispersion.25.scss


*Last modified Monday, 26th September, 2022.