Class Statistics

Collection of statistical indicators

Inheritance

object

Statistics

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.SimulatorV2.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class Statistics

Methods

Correlation(TimeSeriesFloat, TimeSeriesFloat, int)

Calculate Pearson Correlation Coefficient. https://en.wikipedia.org/wiki/Pearson_correlation_coefficient

Declaration

public static TimeSeriesFloat Correlation(this TimeSeriesFloat series, TimeSeriesFloat other, int n)

Parameters

Type	Name	Description
TimeSeriesFloat	series	this time series
TimeSeriesFloat	other	other time series
int	n	number of bars

Returns

Type	Description
TimeSeriesFloat	correlation coefficient time series

Covariance(TimeSeriesFloat, TimeSeriesFloat, int)

Calculate Covariance. https://en.wikipedia.org/wiki/Covariance

Declaration

public static TimeSeriesFloat Covariance(this TimeSeriesFloat series, TimeSeriesFloat other, int n)

Parameters

Type	Name	Description
TimeSeriesFloat	series	this time series
TimeSeriesFloat	other	other time series
int	n	number of bars

Returns

Type	Description
TimeSeriesFloat	covariance time series

StandardDeviation(TimeSeriesFloat, int)

Calculate historical standard deviation.

Declaration

public static TimeSeriesFloat StandardDeviation(this TimeSeriesFloat series, int n = 10)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series
int	n	length of calculation window

Returns

Type	Description
TimeSeriesFloat	standard deviation time series

Variance(TimeSeriesFloat, int)

Calculate historical variance deviation.

Declaration

public static TimeSeriesFloat Variance(this TimeSeriesFloat series, int n = 10)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series
int	n	length of calculation window

Returns

Type	Description
TimeSeriesFloat	variance time series

ZScore(TimeSeriesFloat, int)

Calculate z-score of time series.

Declaration

public static TimeSeriesFloat ZScore(this TimeSeriesFloat series, int period)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series
int	period	period for statistics

Returns

Type	Description
TimeSeriesFloat	z-score time series