META: Kahan Summation (Scripting Exercise)

21 בפבר׳ 2018

I was curious to see what Pine uses to accumulate numbers. It looks like it uses the simple "add em up" approach, rather than a compensated summation. This means that especially for large numbers, there is an inherent error amount.

This script implements the Kahan Summation Algorithm, also known as compensated summation.
en.wikipedia.org/wiki/Kahan_summation_algorithm

This is part 2 of my study into the builtin stdev function. I think this is why it differs so much from the simple two-pass solution.