QuanTAlib/lib/statistics/_index.md

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
ACF	Autocorrelation Function	Correlation of time series with lagged copy. For ARMA model identification.
BETA	Beta Coefficient	Asset volatility relative to market. β=1 means market-matched risk.
BIAS	Bias	Percentage deviation from moving average. Measures overextension.
CMA	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	Covariance	Joint variability of two random variables. Building block for β.
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	Linear Regression	Least squares fit. Outputs slope, intercept, R².
MEDIAN	Median	Middle value in sorted window. Robust to outliers.
MODE	Mode	Most frequent value. Use for categorical or discrete data.
PACF	Partial Autocorrelation Function	Direct correlation at lag k after removing intermediate effects. For AR model identification.
PERCENTILE	Percentile	Value below which given percentage of observations fall.
QUANTILE	Quantile	Divides distribution into equal probability intervals.
SKEW	Skewness	Distribution asymmetry. Positive: right tail. Negative: left tail.
SPEARMAN	Spearman Rank Correlation	Pearson on ranks. Measures monotonic relationship.
STDDEV	Standard Deviation	Square root of variance. Same units as data.
SUM	Rolling Sum	Kahan-Babuška summation. Numerically stable.
THEIL	Theil Index	Inequality measure. Decomposable into within/between group.
VARIANCE	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.