gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-21 12:08:05 +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/spearman/Spearman.md
+2 -4
View File
@@ -13,9 +13,7 @@
| **PineScript** | [spearman.pine](spearman.pine) |
- Spearman's ρ (rho) measures the strength and direction of monotonic association between two variables.
- Parameterized by `period` (default 20).
- Output range: Varies (see docs).
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [Correlation](../correlation/Correlation.md), [Kendall](../kendall/Kendall.md) | **Trading note:** Spearman rank correlation; non-parametric, detects monotonic (not just linear) relationships.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
Spearman's ρ (rho) measures the strength and direction of monotonic association between two variables. Unlike Pearson's correlation, which measures linear relationship, Spearman captures any monotonic relationship. A portfolio of stocks whose returns move monotonically together has different risk than one whose components merely share a linear trend. Spearman detects both.
@@ -165,4 +163,4 @@ No external TA library implements Spearman rank correlation. Validation relies o
- Spearman, C. (1904). "The Proof and Measurement of Association between Two Things." *American Journal of Psychology*, 15(1), 72-101.
- Kendall, M. G., & Gibbons, J. D. (1990). *Rank Correlation Methods*. 5th ed. Oxford University Press.
- Croux, C., & Dehon, C. (2010). "Influence Functions of the Spearman and Kendall Correlation Measures." *Statistical Methods & Applications*, 19(4), 497-515.
- Embrechts, P., McNeil, A., & Straumann, D. (2002). "Correlation and Dependence in Risk Management: Properties and Pitfalls." In *Risk Management: Value at Risk and Beyond*, Cambridge University Press.
- Embrechts, P., McNeil, A., & Straumann, D. (2002). "Correlation and Dependence in Risk Management: Properties and Pitfalls." In *Risk Management: Value at Risk and Beyond*, Cambridge University Press.