Statistics used

Kuants
Kuants
Sep 5, 2018 · 1 min read

Basic Statistics is very useful in developing a trading algorithm. Some of the most widely used functions are as follows

  • Mean
  • Standard Deviation
  • Skewness
  • Correlation

Lets study the functions one by one.

Mean

Simply returns the sum of parameters divided by the number of parameters

Syntax:mean(parameter,n)

Standard Deviation

Gives an idea about the movement in the parameters. Higher the value, more is the combined upward and downward movement

Syntax:std(parameter,n)

Skewness

Gives some information about how unsymmetrical have the values of the parameter have been. A positive value means that more parameters are higher than the mean and vice versa.

Syntax:skew(parameter,n)

Correlation

Gives an idea on how to different parameters are changing their value in synchronization, i.e. a high correlation means that parameters are changes in an almost same way and a negative correlation indicates opposite changes in the parameters.

Syntax:corr(parameter1,parameter2,n)

Algorithmic Trading-Complete Guide by Kuants

A complete guide to the domain of Algorithmic Trading, from basic to sample trading strategies

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Kuants

Invest and forget, let the machines do the work!

Algorithmic Trading-Complete Guide by Kuants

A complete guide to the domain of Algorithmic Trading, from basic to sample trading strategies

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