Z-score filter should also capture price spikes.
proskurin opened this issue · 1 comments
proskurin commented
Add parameter to z-score filter functions so that the filter may capture not only price spikes, but also price declines.
For example in the implementation of the z_score_filter, there is a sign bug : the filter only filters occurences where the price is above the threshold (condition formula should be abs(price-mean) > thresstd instead of price > mean + thresstd
Dhavin commented
Hello @proskurin, I would like to contribute to this project by solving this issue. Can I?