QuanTAlib/lib/numerics/_index.md

Numerics

"Price is raw signal. Transform exposes hidden structure. Derivative reveals momentum. Normalization enables comparison. Mathematics is lens, not oracle."

Basic mathematical transforms and utility functions for time series. These building blocks convert raw price data into forms suitable for analysis, comparison, and downstream indicator consumption.

Implementation Status

Indicator	Full Name	Status	Description
ACCEL	Acceleration	✓	Momentum change; second derivative of price.
BETADIST	Beta Distribution	≡	Continuous probability distribution defined on interval [0, 1]
BINOMDIST	Binomial Distribution	≡	Discrete probability distribution of successes in n independent trials
CHANGE	Percentage Change	✓	Relative price movement over lookback period.
CWT	Continuous Wavelet Transform	≡	Analyzes time series data across different frequency scales continuously
DIFF	Difference	≡	Calculates the simple difference between current and previous values
DWT	Discrete Wavelet Transform	≡	Analyzes time series data across different frequency scales at discrete intervals
EXPDIST	Exponential Distribution	≡	Continuous probability distribution describing time between events
EXPTRANS	Exponential Transform	✓	e^x transform for log-space conversion reversal.
FDIST	F-Distribution	≡	Continuous probability distribution ratio of two chi-squared distributions
FFT	Fast Fourier Transform	≡	Efficient algorithm for computing the discrete Fourier transform and its inverse
GAMMADIST	Gamma Distribution	≡	Continuous probability distribution generalizing exponential and chi-squared
HIGHEST	Rolling Maximum	✓	Maximum value over lookback window.
IFFT	Inverse Fast Fourier Transform	≡	Efficient algorithm for computing the inverse discrete Fourier transform
JERK	Jerk	✓	Rate of acceleration; third derivative of price.
LINEARTRANS	Linear Transform	✓	y = ax + b scaling transformation.
LOGNORMDIST	Log-normal Distribution	≡	Continuous probability distribution of a variable whose log is normally distributed
LOGTRANS	Logarithmic Transform	✓	Natural log for percentage-based analysis.
LOWEST	Rolling Minimum	✓	Minimum value over lookback window.
MIDPOINT	Midrange	✓	(Highest + Lowest) / 2 over lookback window.
NORMALIZE	Min-Max Normalization	✓	Scale to [0,1] range using rolling min/max.
NORMDIST	Normal Distribution	≡	Gaussian bell-shaped probability distribution
POISSONDIST	Poisson Distribution	≡	Discrete probability distribution expressing events in fixed time interval
RELU	Rectified Linear Unit	✓	max(0, x); neural network activation function.
SIGMOID	Logistic Function	✓	1/(1+e^-x); bounded [0,1] transform.
SLOPE	Rate of Change	✓	First derivative; velocity of price movement.
SQRTTRANS	Square Root Transform	✓	Variance-stabilizing transformation.
TDIST	Student's t-Distribution	≡	Continuous probability distribution when estimating mean of normally distributed population
WEIBULLDIST	Weibull Distribution	≡	Continuous probability distribution useful in reliability and survival analysis