Library "Moments" Based on Moments (Mean,Variance,Skewness,Kurtosis) . 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...

9

Moments describe the shape features of a distribution. There are four essential Moments: Mean, Variance, Skewness, Kurtosis . The Moments of returns can provide a comprehensive view of the tendency, volatility , and risk of the market . It's important for traders to know these statistical properties of the instrument before trading them. █ OVERVIEW The...

1450

The Garch (General Autoregressive Conditional Heteroskedasticity) model is a non-linear time series model that uses past data to forecast future variance. The Garch (1,1) formula is: Garch = (gamma * Long Run Variance) + (alpha * Squared Lagged Returns) + (beta * Lagged Variance) The gamma, alpha, and beta values are all weights used in the Garch calculations....

184

In Finance, people usually assume the price follows a random walk or more precisely geometric Brownian motion. In 1988, Lo and MacKinlay came up with the variance ratio test to refute the random walk hypothesis and efficient market hypothesis. The variance ratio test is a simple test for market efficiency, autocorrelation, and whether price follows a random walk....

430

Pinescript requires many of its built-in functions to use a simple int as their period length, which entails the period length cannot vary during the script's execution. These functions allow using a series int or series float for their period length, which means it can vary on each bar. The functions shared in this script include: Rolling sum: ...

194

Portfolio Risk Metrics (Part I): beta 'β' The beta coefficient can be interpreted as follows: β =1 exactly as volatile as the market β >1 more volatile than the market β <1>0 less volatile than the market β =0 uncorrelated to the market β <0 negatively correlated to the market excerpt from the Corporate Finance Institute correlation coefficient 'ρxy'...

189

An idea I had today morning so I had to write. It seems to detect trends well. It has three phases like a semaphor, painting the chart bars of green, yellow or red. === Bar Color Meaning === Green: uptrend Yellow: don't care Red: downtrend I think it can be useful! Thanks!

223

Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM. Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.

57

**This indicator can be applied to the ticker of your choice (not just BTC)** Markets are said to be "efficient". An efficient market is by definition unpredictable - no matter the amount of ML, computation, or indicators thrown at it. In particular, in an efficient market, TA will not be of help. An illustration of efficient markets is the WSJ's longstanding...

69

Return the value of a simple moving average with a period within the range min to max such that the variance of the same period is the smallest available. Since the smallest variance is often the one with the smallest period, a penalty setting is introduced, and allows the indicator to return moving averages values with higher periods more often, with higher...

128

These variables can be used in comparison with the implied volatility of options. Variables: Realized Volatility mathematical notation lowercase 'sigma' Realized Variance mathematical notation lowercase 'sigma' squared Realized Beta mathematical notation lowercase 'beta' Timeframes: Yearly = 250 or 365 Quarterly = 50 or 90 Monthly = 20 or...

46

IDEA is to easily spot the length of a calm periods based on OBV. Some says that after a longer OBV-calm (but not supercalm) period up or down rallies are somewhat more likely) METHOD: variance of OBV ADVISE: cannot be used on its own, just with others (RSI, CCI, Coppock, MACD etc.) Period shall be adjusted to the market. PERSONAL: I also use it to evaluate...

40

Provides a user input to determine the amont of "slop" or variance between a target and given price point.

10

Covariance Function as described here: www.investopedia.com can be used for example to calculate Beta:

59