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Implement ZTEST: One-Sample t-Test Statistic with validation tests

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- Added Ztest class to compute the one-sample t-statistic using sample standard deviation with Bessel correction.
- Implemented validation tests for Ztest to ensure accuracy against manual calculations and PineScript.
- Updated documentation for Ztest, detailing its mathematical foundation, performance profile, and common pitfalls.
- Adjusted NDepend badges to reflect changes in code metrics after implementation.
- Updated missing indicators report to reflect the completion of statistical indicators, including ZTEST.
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Miha Kralj
2026-02-16 16:54:36 -08:00
parent 09ffd31a40
commit b3a64f18fa
73 changed files with 13041 additions and 88 deletions
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docs/indicators.md
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@@ -217,13 +217,23 @@ Mathematical and statistical computations on price series.
| [**HARMEAN**](../lib/statistics/harmean/Harmean.md) | Harmonic Mean | Rolling harmonic mean via reciprocal-sum approach |
| [**HURST**](../lib/statistics/hurst/Hurst.md) | Hurst Exponent | Long-range dependence via Rescaled Range (R/S) analysis |
| [**IQR**](../lib/statistics/iqr/Iqr.md) | Interquartile Range | Robust dispersion measure (Q3 - Q1) |
| [**JB**](../lib/statistics/jb/Jb.md) | Jarque-Bera Test | Normality test combining skewness and kurtosis |
| [**KENDALL**](../lib/statistics/kendall/Kendall.md) | Kendall Tau-a | Rank-based ordinal association [-1, +1] |
| [**GRANGER**](../lib/statistics/granger/Granger.md) | Granger Causality | F-statistic testing if X helps predict Y |
| [**LINREG**](../lib/statistics/linreg/LinReg.md) | Linear Regression | Best-fit line |
| [**MEDIAN**](../lib/statistics/median/Median.md) | Rolling Median | 50th percentile |
| [**MODE**](../lib/statistics/mode/Mode.md) | Mode | Most frequent value in rolling window |
| [**KURTOSIS**](../lib/statistics/kurtosis/Kurtosis.md) | Kurtosis | Fourth-moment excess kurtosis (sample/population) |
| [**PERCENTILE**](../lib/statistics/percentile/Percentile.md) | Percentile | Value at given percentile via linear interpolation (PERCENTILE.INC) |
| [**QUANTILE**](../lib/statistics/quantile/Quantile.md) | Quantile | Value at given quantile (0–1) via linear interpolation |
| [**SKEW**](../lib/statistics/skew/Skew.md) | Skewness | Distribution asymmetry |
| [**SPEARMAN**](../lib/statistics/spearman/Spearman.md) | Spearman Rank Correlation | Pearson on ranks; monotonic association [-1, +1] |
| [**STDDEV**](../lib/statistics/stddev/StdDev.md) | Standard Deviation | Dispersion measure |
| [**SUM**](../lib/statistics/sum/Sum.md) | Rolling Sum | Windowed sum |
| [**THEIL**](../lib/statistics/theil/Theil.md) | Theil T Index | Information-theoretic inequality/concentration measure |
| [**VARIANCE**](../lib/statistics/variance/Variance.md) | Variance | Squared deviation |
| [**ZSCORE**](../lib/statistics/zscore/Zscore.md) | Z-Score | Population standard deviations from rolling mean |
| [**ZTEST**](../lib/statistics/ztest/Ztest.md) | Z-Test | One-sample t-statistic against hypothesized mean |
### Forecasts