mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 05:48:06 +00:00
v0.8.6: update indicator docs, ndepend tooling, ALMA refactor, gitignore cleanup
This commit is contained in:
@@ -13,9 +13,7 @@
|
||||
| **PineScript** | [trim.pine](trim.pine) |
|
||||
|
||||
- The Trimmed Mean Moving Average computes a rolling average after discarding a configurable percentage of the most extreme values from each tail of ...
|
||||
- Parameterized by `period`, `trimpct` (default 10.0).
|
||||
- Output range: Varies (see docs).
|
||||
- Requires `period` bars of warmup before first valid output (IsHot = true).
|
||||
- **Similar:** [Wins](../wins/Wins.md), [Median](../median/Median.md) | **Trading note:** Trimmed mean; excludes extreme percentiles. Robust average for volatile data.
|
||||
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
|
||||
|
||||
The Trimmed Mean Moving Average computes a rolling average after discarding a configurable percentage of the most extreme values from each tail of the sorted lookback window. By removing the lowest and highest `trimPct%` of observations, TRIM eliminates the influence of outliers while retaining more information than a pure median. At `trimPct = 0` it degenerates to the SMA; at `trimPct = 50` it becomes the median. The default 10% trim provides a robust central tendency estimator that resists spike contamination with minimal loss of responsiveness, requiring $O(N \log N)$ for the sort plus $O(N)$ for the summation per bar.
|
||||
@@ -127,4 +125,4 @@ No whole-path SIMD; sort blocks vectorization. Batch is a loop of independent so
|
||||
- Tukey, J.W. "Exploratory Data Analysis." Addison-Wesley, 1977.
|
||||
- Huber, P.J. & Ronchetti, E. "Robust Statistics." 2nd edition, Wiley, 2009.
|
||||
- Wilcox, R.R. "Fundamentals of Modern Statistical Methods." 2nd edition, Springer, 2010.
|
||||
- Bryan, M. & Cecchetti, S. "Measuring Core Inflation." In Monetary Policy, NBER, 1994.
|
||||
- Bryan, M. & Cecchetti, S. "Measuring Core Inflation." In Monetary Policy, NBER, 1994.
|
||||
Reference in New Issue
Block a user