This script is meant to help verify the existence of a seasonal effect in asset returns, using a Z-test. There are three steps: 1. Think of a way to identify a season. The available methods are: by month, by week of the year, by day of the month, by day of the week, by hour of the day, and by minute of the hour. 2. Set the chart to the unit of your season. For...
Library "MathProbabilityDistribution" Probability Distribution Functions. name(idx) Indexed names helper function. Parameters: idx : int, position in the range (0, 6). Returns: string, distribution name. usage: .name(1) Notes: (0) => 'StdNormal' (1) => 'Normal' (2) => 'Skew Normal' (3) => 'Student T' (4) => 'Skew Student T' (5)...
A probability cone is an indicator that forecasts a statistical distribution from a set point in time into the future. Features Forecast a Standard or Laplace distribution. Change the how many bars the cones will lookback and sample in their calculations. Set how many bars to forecast the cones. Let the cones follow price from a set number of bars back. ...
Based on historical data (rather than theory), calculates the probability of a price level being "touched" within a given time frame. A "touch" means that price exceeded that level at some point. The parameters are: - level: the "level" to be touched. it can be a number of points, percentage points, or standard deviations away from the mark price. a positive...
Overview: This version of the Volume-Weighted Average Price (VWAP) indicator features an extended algorithm, which, in addition to volume and price, also incorporates regression analysis. The result is a more responsive, often leading VWAP slope with a degree of statistical predictability built in. Just like with the original VWAP, NEXT Regressive VWAP offers...
Library "FunctionProbabilityDistributionSampling" Methods for probability distribution sampling selection. sample(probabilities) Computes a random selected index from a probability distribution. Parameters: probabilities : float array, probabilities of sample. Returns: int.
Library "FunctionSMCMC" Methods to implement Markov Chain Monte Carlo Simulation (MCMC) markov_chain(weights, actions, target_path, position, last_value) a basic implementation of the markov chain algorithm Parameters: weights : float array, weights of the Markov Chain. actions : float array, actions of the Markov Chain. target_path : float...
Library "Probability" erf(value) Complementary error function Parameters: value : float, value to test. Returns: float ierf_mcgiles(value) Computes the inverse error function using the Mc Giles method, sacrifices accuracy for speed. Parameters: value : float, -1.0 >= _value >= 1.0 range, value to test. Returns: float ierf_double(value) ...
█ OVERVIEW Probability is simply how likely something is to happen. Whenever we’re unsure about the outcome of an event, we can talk about the probabilities of certain outcomes—how likely they are. The best example for understanding probability is flipping a coin, There are two possible outcomes—heads or tails.. In our case, the coin is (Green/Red)...
xGhozt Prophecies - A Forecast on the Future, is an indicator based on past statistics and different dates. The indicator goes back in time and checks all the candles of your selected time frame, and gives you the statistical potential outcome of the next candle. It has been created in order to anticipate potential violent moves from the markets when key dates...
This script attempts to estimate the targets that the current price may reach based on an exponentially weighted volatility model. Overall, with the assumption of normal distribution of log return, which might not always hold true, it calculates the estimated range within which the current candles will close. One, two, and three sigma will give the probability...
This script attempts to give forecasts over the range of the closed price based on the exponentially weighted volatility. Overall, with the assumption of normal distribution of log return, which might not always hold true, it calculates the approximate/ estimated probability that the current candles will close within the plotted shape. One, two, and three sigma...
Probability Distribution Histogram During data exploration it is often useful to plot the distribution of the data one is exploring. This indicator plots the distribution of data between different bins. Essentially, what we do is we look at the min and max of the entire data set to determine its range. When we have the range of the data, we decide how many...
The script is inspired by user NickbarComb, I suggested checking out his Price Convergence script. Basically, this script plots a table containing the probability of the current candle closing either higher or lower based on user-define past period. Hope that it will be helpful.
function to calculate Chebyshev Inequality. wich can be used to compute the probability that we will diverge from what we expect to obtain. reference: - www.omnicalculator.com - github.com - statisticstopics.wordpress.com - en.wikipedia.org
function to retrieve Gini Impurity / Gini Index. reference: - victorzhou.com - en.wikipedia.org
functions for shannon's entropy reference: - en.wiktionary.org - machinelearningmastery.com
displays the distribution of the outcome of a event over the last event. similar to this script: