Variance

Rolling population variance — the squared dispersion that standard deviation is the root of. Useful where the squared scale is what the maths wants (portfolio variance, risk budgeting) rather than the price-unit scale a chart wants.

Signature

Variance(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 20, bounds 2–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{Var} = \frac{1}{n}\sum_i (x_i - \bar{x})^2 $$

Population (÷n), matching the platform’s stddev.

Warmup

period bars; 0 until then.

Reading the value

var.value

Example

class VarianceGate(Strategy):
    """Stand aside when dispersion is extreme."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        var = Variance(20, on=self.trade)
        sma = SMA(50, on=self.trade)
        if var.value < 25 and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason="Contained dispersion")
        if var.value > 100 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Dispersion spike")

Notes

• Proven by an assert-via-trade run on SPY daily (matched a strategy-side reference to 1e-3 on every bar; zero alarm trades).
• In squared price units, so thresholds do not transfer between instruments. StdDev ( seeded) is the same information on the price scale.