Library "FunctionADF"
Augmented Dickey-Fuller test (ADF), The ADF test is a statistical method used to assess whether a time series is stationary – meaning its statistical properties (like mean and variance) do not change over time. A time series with a unit root is considered non-stationary and often exhibits non-mean-reverting behavior, which is a key concept in technical analysis.
Reference:
-
- rtmath.net/assets/docs/finmath/html/93a7b7b9-e3c3-4f19-8a57-49c3938d607d.htm
- en.wikipedia.org/wiki/Augmented_Dickey–Fuller_test
adftest(data, n_lag, conf)
: Augmented Dickey-Fuller test for stationarity.
Parameters:
data (array<float>): Data series.
n_lag (int): Maximum lag.
conf (string): Confidence Probability level used to test for critical value, (`90%`, `95%`, `99%`).
Returns: `adf` The test statistic. \
`crit` Critical value for the test statistic at the 10 % levels. \
`nobs` Number of observations used for the ADF regression and calculation of the critical values.
Augmented Dickey-Fuller test (ADF), The ADF test is a statistical method used to assess whether a time series is stationary – meaning its statistical properties (like mean and variance) do not change over time. A time series with a unit root is considered non-stationary and often exhibits non-mean-reverting behavior, which is a key concept in technical analysis.
Reference:
-
- rtmath.net/assets/docs/finmath/html/93a7b7b9-e3c3-4f19-8a57-49c3938d607d.htm
- en.wikipedia.org/wiki/Augmented_Dickey–Fuller_test
adftest(data, n_lag, conf)
: Augmented Dickey-Fuller test for stationarity.
Parameters:
data (array<float>): Data series.
n_lag (int): Maximum lag.
conf (string): Confidence Probability level used to test for critical value, (`90%`, `95%`, `99%`).
Returns: `adf` The test statistic. \
`crit` Critical value for the test statistic at the 10 % levels. \
`nobs` Number of observations used for the ADF regression and calculation of the critical values.
Biblioteca do Pine
Em verdadeiro espírito TradingView, o autor publicou este código Pine como uma biblioteca de código aberto para que outros programadores Pine da nossa comunidade possam reutilizá-lo. Parabéns ao autor! Você pode usar esta biblioteca de forma privada ou em outras publicações de código aberto, mas a reutilização deste código em publicações é regida pelas Regras da Casa.
Aviso legal
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.
Biblioteca do Pine
Em verdadeiro espírito TradingView, o autor publicou este código Pine como uma biblioteca de código aberto para que outros programadores Pine da nossa comunidade possam reutilizá-lo. Parabéns ao autor! Você pode usar esta biblioteca de forma privada ou em outras publicações de código aberto, mas a reutilização deste código em publicações é regida pelas Regras da Casa.
Aviso legal
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.