mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 03:58:04 +00:00
Miha Kralj
16a21a5b65
- Introduced Cma class for calculating the Cumulative Moving Average using Welford's algorithm with FMA for precision. - Added methods for batch processing and streaming updates. - Implemented a comprehensive markdown documentation for CMA, covering its mathematical foundation, performance profile, and use cases. - Enhanced existing trend indicators (Bessel, Butter, Htit, Jma, Mama, Ssf, Vidya) with FMA for improved numerical stability and precision. - Updated Adosc to utilize a single-pass algorithm for performance optimization. - Fixed date initialization in benchmarks to ensure UTC consistency.
33 lines
1.2 KiB
Markdown
33 lines
1.2 KiB
Markdown
# Statistics
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Statistical analysis tools applied to price/returns.
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| Indicator | Full Name | Description |
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| :--- | :--- | :--- |
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| BETA | Beta Coefficient | |
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| BIAS | Bias | |
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| COINTEGRATION | Cointegration | |
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| CORRELATION | Correlation (Pearson's) | |
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| [COVARIANCE](covariance/Covariance.md) | Covariance | |
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| [CMA](cma/Cma.md) | Cumulative Moving Average | Running average of ALL values (Welford's algorithm). No window. |
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| ENTROPY | Normalized Shannon Entropy | |
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| GEOMEAN | Geometric Mean | |
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| GRANGER | Granger Causality Test | |
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| HARMEAN | Harmonic Mean | |
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| HURST | Hurst | |
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| IQR | Interquartile Range | |
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| JB | Jarque-Bera Test | |
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| KENDALL | Kendall Rank Correlation | |
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| KURTOSIS | Kurtosis | |
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| [LINREG](linreg/LinReg.md) | Linear Regression Curve | |
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| [MEDIAN](median/Median.md) | Median (Statistical) | |
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| MODE | Mode (Most Frequent) | |
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| PERCENTILE | Percentile | |
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| QUANTILE | Quantile | |
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| [SKEW](skew/Skew.md) | Skewness | |
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| SPEARMAN | Spearman Rank Correlation | |
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| [STDDEV](stddev/StdDev.md) | Standard Deviation | |
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| THEIL | Theil Index | |
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| [VARIANCE](variance/Variance.md) | Variance | |
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| ZSCORE | Z-score standardization | |
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| ZTEST | Z-Test | | |