gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-24 05:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Merge branch 'dev'

Browse Source
This commit is contained in:
Miha Kralj
2026-03-13 13:47:10 -07:00
parent a8946cfab7 c75135ab14
commit 86a1db286c
404 changed files with 2754 additions and 1763 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/statistics/acf/Acf.md
+2 -4
View File
@@ -13,9 +13,7 @@
| **PineScript** | [acf.pine](acf.pine) |
- The Autocorrelation Function (ACF) measures the correlation of a time series with a lagged copy of itself.
- Parameterized by `period`, `lag` (default 1).
- Output range: Varies (see docs).
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [PACF](../pacf/Pacf.md), [Correlation](../correlation/Correlation.md) | **Trading note:** Autocorrelation function; detects mean-reversion (negative ACF) vs momentum (positive ACF) in returns.
- Validated against mathematical properties and theoretical AR-process expectations.
The Autocorrelation Function (ACF) measures the correlation of a time series with a lagged copy of itself. It is fundamental for identifying repeating patterns, seasonal effects, and determining the order of time series models like ARMA/ARIMA.
@@ -175,4 +173,4 @@ A random walk should have ACF ≈ 0 at all lags. Significant ACF values indicate
- Box, G.E.P., Jenkins, G.M. (1970). *Time Series Analysis: Forecasting and Control*. Holden-Day.
- Hamilton, J.D. (1994). *Time Series Analysis*. Princeton University Press.
- Yule, G.U. (1927). "On a Method of Investigating Periodicities in Disturbed Series." *Philosophical Transactions of the Royal Society*.
- Yule, G.U. (1927). "On a Method of Investigating Periodicities in Disturbed Series." *Philosophical Transactions of the Royal Society*.