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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.
1.3 KiB
1.3 KiB
Statistics
Statistical analysis tools applied to price/returns.
| Indicator | Full Name | Description |
|---|---|---|
| BETA | Beta Coefficient | |
| BIAS | Bias | |
| COINTEGRATION | Cointegration | |
| CORRELATION | Correlation (Pearson's) | |
| COVARIANCE | Covariance | |
| CMA | Cumulative Moving Average | Running average of ALL values (Welford's algorithm). No window. |
| ENTROPY | Normalized Shannon Entropy | |
| GEOMEAN | Geometric Mean | |
| GRANGER | Granger Causality Test | |
| HARMEAN | Harmonic Mean | |
| HURST | Hurst | |
| IQR | Interquartile Range | |
| JB | Jarque-Bera Test | |
| KENDALL | Kendall Rank Correlation | |
| KURTOSIS | Kurtosis | |
| LINREG | Linear Regression Curve | |
| MEDIAN | Median (Statistical) | |
| MODE | Mode (Most Frequent) | |
| PERCENTILE | Percentile | |
| QUANTILE | Quantile | |
| SKEW | Skewness | |
| SPEARMAN | Spearman Rank Correlation | |
| STDDEV | Standard Deviation | |
| SUM | Rolling Sum | Kahan-Babuška summation for numerical stability. |
| THEIL | Theil Index | |
| VARIANCE | Variance | |
| ZSCORE | Z-score standardization | |
| ZTEST | Z-Test |