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.

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