Statistics reference
All 16 statistics in AlgoBarsX, each with its parameters, defaults, ranges and an example: stdev, mean, median, variance, percentile, percent_rank, zscore, returns, correlation, covariance and 6 more.
stdev mean median variance percentile percent_rank zscore returns correlation covariance beta skew kurtosis rank autocorrelation hurst
stdev(source = close, length = 20)→ distance of source#
Standard deviation.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
dispersion = stdev(close, 20)strategyindicatoralertlibrarysince 1.0
mean(source = close, length = 20)→ like source#
Mean value.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
avg = mean(close, 20)strategyindicatoralertlibrarysince 1.0
median(source = close, length = 20)→ like source#
Median value.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
mid = median(close, 20)strategyindicatoralertlibrarysince 1.0
variance(source = close, length = 20)→ series<number>#
Variance.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
var_now = variance(close, 20)strategyindicatoralertlibrarysince 1.0
percentile(source = close, length = 100, percent = 50%)→ like source#
Value at a percentile of recent values.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 100 | 1 to 5000 | Number of bars in the calculation. |
percent | percent | 50% | Percentile to return. |
p90 = percentile(close, 100, percent: 90%)strategyindicatoralertlibrarysince 1.0
percent_rank(source = close, length = 100)→ series<number>#
How many of the recent values are below this one, as a percentage from 0 to 100.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 100 | 1 to 5000 | Number of bars in the calculation. |
standing = percent_rank(close, 100)strategyindicatoralertlibrarysince 1.0
zscore(source = close, length = 20)→ series<number>#
Standard score of the current value.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 20 | 1 to 5000 | Number of bars in the calculation. |
z = zscore(close, 20)strategyindicatoralertlibrarysince 1.0
returns(source = close, periods = 1)→ series<number>#
Fractional change between bars.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
periods | int | 1 | 1 to 5000 | Bars between the two values. |
r1 = returns(close)strategyindicatoralertlibrarysince 1.0
correlation(a, b, length = 50)→ series<number>#
Pearson correlation.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
a | series<number> | required | First series. | |
b | series<number> | required | Second series. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
corr = correlation(close_of(EURUSD), close_of(GBPUSD), 50)strategyindicatoralertlibrarysince 1.0
covariance(a, b, length = 50)→ series<number>#
Covariance.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
a | series<number> | required | First series. | |
b | series<number> | required | Second series. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
cov_now = covariance(returns(close_of(EURUSD)), returns(close_of(GBPUSD)), 50)strategyindicatoralertlibrarysince 1.0
beta(asset, benchmark, length = 100)→ series<number>#
Beta of an asset against a benchmark.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
asset | series<number> | required | Asset returns. | |
benchmark | series<number> | required | Benchmark returns. | |
length | int | 100 | 1 to 5000 | Number of bars in the calculation. |
b = beta(returns(close_of(EURUSD)), returns(close_of(GBPUSD)), 100)strategyindicatoralertlibrarysince 1.0
skew(source = close, length = 50)→ series<number>#
Skewness.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
asymmetry = skew(returns(close), 50)strategyindicatoralertlibrarysince 1.0
kurtosis(source = close, length = 50)→ series<number>#
Excess kurtosis.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
tails = kurtosis(returns(close), 50)strategyindicatoralertlibrarysince 1.0
rank(source = close, length = 50)→ series<number>#
Rank of the current value among recent values.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
position_rank = rank(close, 50)strategyindicatoralertlibrarysince 1.0
autocorrelation(source = close, length = 50, lag = 1)→ series<number>#
Autocorrelation at a lag.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 50 | 1 to 5000 | Number of bars in the calculation. |
lag | int | 1 | 1 to 500 | Bars of lag. |
ac = autocorrelation(returns(close), 50, lag: 1)strategyindicatoralertlibrarysince 1.0
hurst(source = close, length = 100)→ series<number>#
Hurst exponent, on returns rather than prices. Prices trend by construction, so hurst(close, n) reads high for a random walk, a trend and a mean-reverting market alike and cannot tell them apart; hurst(returns(close), n) can.
Parameters
| Name | Type | Default | Range | What it is |
|---|---|---|---|---|
source | series<number> | close | Series to calculate from. | |
length | int | 100 | 1 to 5000 | Number of bars in the calculation. |
persistence = hurst(returns(close), 100)strategyindicatoralertlibrarysince 1.0