PINE LIBRARY
Moments
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.
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.
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 a publication is governed by House rules.
Disclaimer
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