mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-09 06:27:45 +00:00
Miha Kralj
43 lines
3.5 KiB
Markdown
43 lines
3.5 KiB
Markdown
# Statistics
|
|
|
|
> "All models are wrong, but some are useful." — George Box
|
|
|
|
Statistical tools applied to price and returns. These indicators quantify relationships, measure dispersion, test hypotheses. Unlike momentum or trend indicators, statistics describe the data itself.
|
|
|
|
| Indicator | Full Name | Description |
|
|
| :--- | :--- | :--- |
|
|
| [BETA](lib/statistics/beta/Beta.md) | Beta Coefficient | Asset volatility relative to market. β=1 means market-matched risk. |
|
|
| BIAS | Bias | Percentage deviation from moving average. Measures overextension. |
|
|
| [CMA](lib/statistics/cma/Cma.md) | Cumulative Moving Average | Running average of all values. Welford's algorithm. No window. |
|
|
| COINTEGRATION | Cointegration | Tests if series share long-term equilibrium. Pairs trading foundation. |
|
|
| CORRELATION | Correlation | Linear relationship between two variables. Range: -1 to +1. |
|
|
| [COVARIANCE](lib/statistics/covariance/Covariance.md) | Covariance | Joint variability of two random variables. Building block for β. |
|
|
| CUMMEAN | Cumulative Mean | Cumulative mean from series start. Ignores NaN values. |
|
|
| ENTROPY | Shannon Entropy | Measures uncertainty/randomness. Higher entropy = less predictable. |
|
|
| GEOMEAN | Geometric Mean | nth root of product. Use for growth rates and ratios. |
|
|
| GRANGER | Granger Causality | Tests if one series helps predict another. Not true causality. |
|
|
| HARMEAN | Harmonic Mean | Reciprocal of arithmetic mean of reciprocals. For rates/ratios. |
|
|
| HURST | Hurst Exponent | Long-term memory. H>0.5: trending. H<0.5: mean-reverting. |
|
|
| IQR | Interquartile Range | P75 - P25. Robust dispersion measure. |
|
|
| JB | Jarque-Bera Test | Normality test using skewness and kurtosis. |
|
|
| KENDALL | Kendall Rank Correlation | Ordinal association. Robust to outliers. |
|
|
| KURTOSIS | Kurtosis | Tail heaviness. High kurtosis = fat tails = more extreme events. |
|
|
| [LINREG](lib/statistics/linreg/LinReg.md) | Linear Regression | Least squares fit. Outputs slope, intercept, R². |
|
|
| [MEDIAN](lib/statistics/median/Median.md) | Median | Middle value in sorted window. Robust to outliers. |
|
|
| MODE | Mode | Most frequent value. Use for categorical or discrete data. |
|
|
| PERCENTILE | Percentile | Value below which given percentage of observations fall. |
|
|
| QUANTILE | Quantile | Divides distribution into equal probability intervals. |
|
|
| [SKEW](lib/statistics/skew/Skew.md) | Skewness | Distribution asymmetry. Positive: right tail. Negative: left tail. |
|
|
| SPEARMAN | Spearman Rank Correlation | Pearson on ranks. Measures monotonic relationship. |
|
|
| [STDDEV](lib/statistics/stddev/StdDev.md) | Standard Deviation | Square root of variance. Same units as data. |
|
|
| [SUM](lib/statistics/sum/Sum.md) | Rolling Sum | Kahan-Babuška summation. Numerically stable. |
|
|
| THEIL | Theil Index | Inequality measure. Decomposable into within/between group. |
|
|
| [VARIANCE](lib/statistics/variance/Variance.md) | Variance | Average squared deviation from mean. Units are squared. |
|
|
| ZSCORE | Z-Score | Standard deviations from mean. Normalizes different scales. |
|
|
| ZTEST | Z-Test | Hypothesis test comparing sample mean to population mean. |
|
|
| ACF | Autocorrelation Function | Measures correlation between observations at different time lags. |
|
|
| PACF | Partial Autocorrelation | Correlation at lag k without intermediate correlations. |
|
|
| POLYFIT | Polynomial Fitting | Fits polynomial curve to data points. |
|
|
| TSF | Time Series Forecast | Predicts future values based on past data. |
|
|
| WAVG | Weighted Average | Average where each value has weight determining relative importance. |
|