PINE LIBRARY
MathFinancialAbsoluteRiskMeasures
Library "MathFinancialAbsoluteRiskMeasures"
Financial Absolute Risk Measures.
gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:
Returns: float.
loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:
Returns: float.
downside_stdev(sample, minimal_acceptable_return) Downside standard deviation in a data sample.
Parameters:
Returns: float.
semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:
Returns: float.
gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:
Returns: float.
compound_risk_score(source, length) Compound Risk Score
Parameters:
Returns: float.
Financial Absolute Risk Measures.
gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:
- sample: float array, data sample.
Returns: float.
loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:
- sample: float array, data sample.
Returns: float.
downside_stdev(sample, minimal_acceptable_return) Downside standard deviation in a data sample.
Parameters:
- sample: float array, data sample.
- minimal_acceptable_return: float, minimum gain value.
Returns: float.
semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:
- sample: float array, data sample.
Returns: float.
gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:
- sample: float array, data sample.
Returns: float.
compound_risk_score(source, length) Compound Risk Score
Parameters:
- source: float, input data, default=close.
- length: int, period of observation, default=12)
Returns: float.
Pine library
In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Pine library
In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.