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Miha Kralj
4dbb093892
- Introduced a new `Sum` class implementing the Kahan-Babuška algorithm for high-precision rolling summation. - Added comprehensive documentation for the `Sum` class, detailing its mathematical foundation, performance profile, and use cases. - Refactored `VarianceIndicator` tests to improve clarity and coverage, including checks for different source types and the ability to change properties. - Enhanced `UsfIndicator` tests to validate initialization, processing of updates, and property changes. - Updated `UsfIndicator` implementation to simplify source handling and improve short name generation. - Modified Qodana configuration to exclude unused auto property accessor warnings.
35 lines
1.3 KiB
Markdown
35 lines
1.3 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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| [SUM](sum/Sum.md) | Rolling Sum | Kahan-Babuška summation for numerical stability. |
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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 | |
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