QuanTAlib/lib/statistics/_list.md

Statistics

Statistical functions and indicators for financial analysis.

Implemented

• Beta - Beta coefficient measuring volatility relative to market
• Corr - Correlation coefficient between two series
• Curvature - Curvature of a time series
• Entropy - Information entropy of a series
• Hurst - Hurst exponent for trend strength
• Kurtosis - Kurtosis measuring tail extremity
• Max - Maximum value over period
• Median - Median value over period
• Min - Minimum value over period
• Mode - Mode (most frequent value)
• Percentile - Percentile rank calculation
• Skew - Skewness measuring distribution asymmetry
• Slope - Linear regression slope
• Stddev - Standard deviation
• Theil - Theil's U statistics for forecast accuracy
• Tsf - Time series forecast
• Variance - Statistical variance
• Zscore - Z-score standardization

Planned

• Cointegration - Test for cointegrated series
• Granger - Granger causality test
• Jarque-Bera - Normality test
• Kendall - Kendall rank correlation
• Spearman - Spearman rank correlation