Statistics

Entropy

This indicator attempts to quantify the unpredictability of the data, or equivalently, its average information. It is a rolling entropy calculation.

Sources

wikipedia

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `10`	`None`
`base`	`float`	Logarithmic Base. Default: `2`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Rolling Kurtosis

Calculates a rolling Kurtosis.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Danger

Possible Data Leak

Rolling Mean Absolute Deviation

Calculates a rolling Mean Absolute Deviation (MAD.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Rolling Median

Calculates a rolling Median.

Sources

incrediblecharts

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Rolling Quantile

Calculates a rolling Quantile.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`q`	`float`	The quantile. Default: `0.5`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

NOTICE

Thanks to all those that have sponsored and dontated to the library in the past! Your support has been greatly appreciated!

However, future releases are on definite hold until 100+ donations of $150+ have been received via Buy Me a Coffee.

Help keep this library and application the best in it's class!

Rolling Skew

Calculates a rolling Skew.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Danger

Possible Data Leak

Rolling Standard Deviation

Calculates a rolling Standard Deviation.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`ddof`	`int`	Delta Degrees of Freedom. Default: `1`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Note

TA Lib does not have a ddof parameter.
The divisor used in calculations is: N - ddof, where N is the number of elements. To use ddof, set talib=False.

TD Ameritrade's Think or Swim Standard Deviation All

This indicator returns the standard deviation(s) over all the bars or the last n (length) bars.

Sources

thinkorswim

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	Bars since current/last bar, Series[-1]. Default: `None`	`None`
`stds`	`list`	List of standard deviations in increasing order from the central Linear Regression line. Default: `[1,2,3]`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	7+ columns

Note

TA Lib does not have a ddof parameter.
The divisor used in calculations is: N - ddof, where N is the number of elements. To use ddof, set talib=False.

Danger

Possible Data Leak

Rolling Variance

Calculates a rolling Variance.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`ddof`	`int`	Delta Degrees of Freedom. Default: `1`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Note

TA Lib does not have a ddof parameter.
The divisor used in calculations is: N - ddof, where N is the number of elements. To use ddof, set talib=False.

Rolling Z Score

Calculates a rolling Z Score.

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `30`	`None`
`std`	`float`	Number of deviation standards. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

NOTICE

Thanks to all those that have sponsored and dontated to the library in the past! Your support has been greatly appreciated!

However, future releases are on definite hold until 100+ donations of $150+ have been received via Buy Me a Coffee.

Help keep this library and application the best in it's class!