Moments

1 thg 11, 2021

Library "Moments"

Based on Moments (Mean,Variance,Skewness,Kurtosis) [pig]. Rewritten for Pinescript v5.

logReturns(src) Calculates log returns of a series (e.g log percentage change)
  Parameters:
    src: Source to use for the returns calculation (e.g. close).
  Returns: Log percentage returns of a series

mean(src, length) Calculates the mean of a series using ta.sma
  Parameters:
    src: Source to use for the mean calculation (e.g. close).
    length: Length to use mean calculation (e.g. 14).
  Returns: The sma of the source over the length provided.

variance(src, length) Calculates the variance of a series
  Parameters:
    src: Source to use for the variance calculation (e.g. close).
    length: Length to use for the variance calculation (e.g. 14).
  Returns: The variance of the source over the length provided.

standardDeviation(src, length) Calculates the standard deviation of a series
  Parameters:
    src: Source to use for the standard deviation calculation (e.g. close).
    length: Length to use for the standard deviation calculation (e.g. 14).
  Returns: The standard deviation of the source over the length provided.

skewness(src, length) Calculates the skewness of a series
  Parameters:
    src: Source to use for the skewness calculation (e.g. close).
    length: Length to use for the skewness calculation (e.g. 14).
  Returns: The skewness of the source over the length provided.

kurtosis(src, length) Calculates the kurtosis of a series
  Parameters:
    src: Source to use for the kurtosis calculation (e.g. close).
    length: Length to use for the kurtosis calculation (e.g. 14).
  Returns: The kurtosis of the source over the length provided.

skewnessStandardError(sampleSize) Estimates the standard error of skewness based on sample size
  Parameters:
    sampleSize: The number of samples used for calculating standard error.
  Returns: The standard error estimate for skewness based on the sample size provided.

kurtosisStandardError(sampleSize) Estimates the standard error of kurtosis based on sample size
  Parameters:
    sampleSize: The number of samples used for calculating standard error.
  Returns: The standard error estimate for kurtosis based on the sample size provided.

skewnessCriticalValue(sampleSize) Estimates the critical value of skewness based on sample size
  Parameters:
    sampleSize: The number of samples used for calculating critical value.
  Returns: The critical value estimate for skewness based on the sample size provided.

kurtosisCriticalValue(sampleSize) Estimates the critical value of kurtosis based on sample size
  Parameters:
    sampleSize: The number of samples used for calculating critical value.
  Returns: The critical value estimate for kurtosis based on the sample size provided.