nolantait

Moments

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 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.

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