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gorx1
26 מאי 2020 12:21

Rolling deviations 

Palladium FuturesNYMEX

תיאור

Sometimes the market data follows normal distribution, in these cases it is more appropriate to utilize mean-based statistical techniques. This script plots the special case of seven-number summary with 1st, 2nd & 3rd standard deviations below and above the mean.

It also has "Log-space" switch which should be checked while using logarithmic scale.

The next version with minor visual improvs might arrive soon

הערות שחרור

4th & 5th standard deviations and median were added for experimental purposes & saving space

הערות שחרור

Mid-range statistic was added for research purposes (disabled by default).
תגובות
gorx1
@UncPoWPoW, yeah, I'm seeing only a handful of samples when it does. But things might be different when we take pairs or other composite instruments
עוד