stats

16 mai 2024

Library "stats"
stats

factorial(x)
  factorial
  Parameters:
    x (int)

standardize(x, length, lengthSmooth)
  standardize
description Moving Standardization of a time series.
  Parameters:
    x (float)
    length (int)
    lengthSmooth (int)

dnorm(x, mean, sd)
  dnorm
description Approximation for Normal Density Function.
  Parameters:
    x (float)
    mean (float)
    sd (float)

pnorm(x, mean, sd, log)
  pnorm
description Approximation for Normal Cumulative Distribution Function.
  Parameters:
    x (float)
    mean (float)
    sd (float)
    log (bool)

ewma(x, length, tau_hl)
  ewma
description Exponentially Weighted Moving Average.
  Parameters:
    x (float)
    length (int)
    tau_hl (float)

ewm_sd(x, length, tau_hl)
  Exponentially Weighted Moving Standard Deviation.
  Parameters:
    x (float)
    length (int)
    tau_hl (float)

ewm_scoring(x, length, tau_hl)
  ewm_scoring
description Exponentially Weighted Moving Standardization:
  Parameters:
    x (float)
    length (int)
    tau_hl (float)

16 mai 2024

Notes de version

v2

Removed:
ewma(x, length, tau_hl)
  ewma
description Exponentially Weighted Moving Average.

ewm_sd(x, length, tau_hl)
  Exponentially Weighted Moving Standard Deviation.

ewm_scoring(x, length, tau_hl)
  ewm_scoring
description Exponentially Weighted Moving Standardization:

16 mai 2024

Notes de version

v3

Added:
rationalQuadratic(_src, _lookback, _relativeWeight, startAtBar)
  Rational Quadratic Kernel - An infinite sum of Gaussian Kernels of different length scales.
description from trader jdehorty KernelFunctions v2
  Parameters:
    _src (float): <float series> The source series.
    _lookback (simple int): <simple int> The number of bars used for the estimation. This is a sliding value that represents the most recent historical bars.
    _relativeWeight (simple float): <simple float> Relative weighting of time frames. Smaller values resut in a more stretched out curve and larger values will result in a more wiggly curve. As this value approaches zero, the longer time frames will exert more influence on the estimation. As this value approaches infinity, the behavior of the Rational Quadratic Kernel will become identical to the Gaussian kernel.
    startAtBar (simple int)
  Returns: yhat <float series> The estimated values according to the Rational Quadratic Kernel.

discreteFourierTransform(source, length, smoothing)
  Discrete Fourier transform
description from trader jdehorty
  Parameters:
    source (float): time series
    length (int)
    smoothing (simple int)
  Returns: a touple [dft, dfts] i.e. [Discrete Fourier Transform, Smoothed Discrete Fourier Transform]