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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
16a21a5b65
- Introduced Cma class for calculating the Cumulative Moving Average using Welford's algorithm with FMA for precision. - Added methods for batch processing and streaming updates. - Implemented a comprehensive markdown documentation for CMA, covering its mathematical foundation, performance profile, and use cases. - Enhanced existing trend indicators (Bessel, Butter, Htit, Jma, Mama, Ssf, Vidya) with FMA for improved numerical stability and precision. - Updated Adosc to utilize a single-pass algorithm for performance optimization. - Fixed date initialization in benchmarks to ensure UTC consistency.
1.2 KiB
1.2 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 | |
| THEIL | Theil Index | |
| VARIANCE | Variance | |
| ZSCORE | Z-score standardization | |
| ZTEST | Z-Test |