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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/statistics/jb/Jb.md
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| **PineScript** | [jb.pine](jb.pine) |
- The Jarque-Bera test quantifies departure from normality by combining skewness and excess kurtosis into a single chi-squared statistic.
- Parameterized by `period`.
- Output range: Varies (see docs).
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [Kurtosis](../kurtosis/Kurtosis.md), [Skew](../skew/Skew.md) | **Trading note:** Jarque-Bera test; tests if returns are normally distributed. Significant = fat tails present.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
The Jarque-Bera test quantifies departure from normality by combining skewness and excess kurtosis into a single chi-squared statistic. A rolling JB value near zero means the window looks Gaussian. Values exceeding 5.991 (5% significance) reject normality. Financial returns almost always fail this test, which is precisely why the test matters.
@@ -148,4 +146,4 @@ Self-validation:
- Jarque, C. M.; Bera, A. K. (1980). "Efficient tests for normality, homoscedasticity and serial independence of regression residuals." *Economics Letters*, 6(3), 255-259.
- Bowman, K. O.; Shenton, L. R. (1975). "Omnibus test contours for departures from normality based on √b₁ and b₂." *Biometrika*, 62(2), 243-250.
- PineScript reference: `lib/statistics/jb/jb.pine`
- PineScript reference: `lib/statistics/jb/jb.pine`