quant-zero/src/utils/maths/variance.ts

Node-Quant is a powerful Node.js package for developing and testing quantitative trading strategies in cryptocurrency markets, offering tools for backtesting and performance analysis.

export function calcVariance(returns: number[]): number {
  const meanReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length
  return (
    returns.reduce((varSum, r) => varSum + Math.pow(r - meanReturn, 2), 0) /
    returns.length
  )
}