variance

Parameters

Variance - variance(source, period)

Average squared deviation from mean. Square of standard deviation.

• source (field): Data series
• period (int): Number of periods

Formula

Variance = Σ(x - mean)² / N

stdev = sqrt(variance)
Uses population variance

Examples

// variance expanding (volatility increasing)
x = variance(close, 20); x > x[20];

// low variance environment (consolidation)
variance(close, 20) < 4;

Returns

Non-negative float (squared units)

See Also