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MathFinancialAbsoluteRiskMeasures

RicardoSantos Wizard  
MATH statistics financials
16
2
math statistics financials
Library "MathFinancialAbsoluteRiskMeasures"
Financial Absolute Risk Measures.

gain_stdev(sample) Standard deviation of gains in a data sample.
Parameters:
  • sample: float array, data sample.
Returns: float.

loss_stdev(sample) Standard deviation of losses in a data sample.
Parameters:
  • sample: float array, data sample.
Returns: float.

downside_stdev(sample, minimal_acceptable_return) Downside standard deviation in a data sample.
Parameters:
  • sample: float array, data sample.
  • minimal_acceptable_return: float, minimum gain value.
Returns: float.

semi_stdev(sample) Standard deviation of less than average returns in a data sample.
Parameters:
  • sample: float array, data sample.
Returns: float.

gain_loss_ratio(sample) ratio of average gains of average losses in a data sample.
Parameters:
  • sample: float array, data sample.
Returns: float.

compound_risk_score(source, length) Compound Risk Score
Parameters:
  • source: float, input data, default=close.
  • length: int, period of observation, default=12)
Returns: float.
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.

Disclaimer

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