chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// This indicator computes the n-period population variance.
+    /// </summary>
+    public class Variance : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
+    {
+        private decimal _rollingSum;
+        private decimal _rollingSumOfSquares;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Variance"/> class using the specified period.
+        /// </summary> 
+        /// <param name="period">The period of the indicator</param>
+        public Variance(int period)
+            : this($"VAR({period})", period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Variance"/> class using the specified name and period.
+        /// </summary> 
+        /// <param name="name">The name of this indicator</param>
+        /// <param name="period">The period of the indicator</param>
+        public Variance(string name, int period)
+            : base(name, period)
+        {
+        }
+
+        /// <summary>
+        /// Required period, in data points, for the indicator to be ready and fully initialized.
+        /// </summary>
+        public int WarmUpPeriod => Period;
+
+        /// <summary>
+        /// Computes the next value of this indicator from the given state
+        /// </summary>
+        /// <param name="input">The input given to the indicator</param>
+        /// <param name="window">The window for the input history</param>
+        /// <returns>A new value for this indicator</returns>
+        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+        {
+            _rollingSum += input.Value;
+            _rollingSumOfSquares += input.Value * input.Value;
+
+            if (Samples < 2)
+                return 0m;
+
+            var n = Math.Min(Period, Samples);
+            var meanValue1 = _rollingSum / n;
+            var meanValue2 = _rollingSumOfSquares / n;
+
+            if (n == Period)
+            {
+                var removedValue = window[Period - 1];
+                _rollingSum -= removedValue.Value;
+                _rollingSumOfSquares -= removedValue.Value * removedValue.Value;
+            }
+
+            // Ensure non-negative variance
+            return Math.Max(0m, meanValue2 - meanValue1 * meanValue1);
+        }
+
+        /// <summary>
+        /// Resets this indicator to its initial state
+        /// </summary>
+        public override void Reset()
+        {
+            _rollingSum = 0;
+            _rollingSumOfSquares = 0;
+            base.Reset();
+        }
+    }
+}