Add Excess of Kurtosis Curve
jscmal opened this issue · 5 comments
Hi,
several Statistical Features of the "Stylized Facts of Asset Returns" are missing in the Library. In particular: Asset Returns, Kurtosis, Skewness, of a Non-Gaussian Distribution of Asset Returns.
I would like that you could introduce at least the Excess of Kurtosis Curve.
Kurtosis measures the "fatness" of the tails of a distribution. Positive excess kurtosis means that distribution has fatter tails than a normal distribution. Fat tails means there is a higher than normal probability of big positive and negative returns realizations.
When calculating kurtosis, a result of +3.00 indicates the absence of kurtosis (distribution is mesokurtic). For simplicity in its interpretation, some statisticians adjust this result to zero (i.e. kurtosis minus 3 equals zero), and then any reading other than zero is referred to as Excess Kurtosis. Negative numbers indicate a platykurtic distribution; positive numbers indicate a leptokurtic distribution.
Here a video that shows what are Kurtosis and Skewness. Besides, it shows also their Mathematical Formula:
https://www.youtube.com/watch?v=-pb86fuZqr8
I made a Pine Script Function by myself to get this curve on my Trading View Chart, integrating it in several scripts or mine. It becomes relevant to get the Leptokurtic Pivots caused by Outliers (Anomalies) in the market and the Platykurtosis which shows where the risk of trading is low and acceptable.
Please, can you add Excess of Kurtosis into the Lybrary?
Kind regards
G. Aloe
And
Hi,
I want to inform you that in the release 1.1 the Excess of Kurtosis is missing.
Besides, maybe RSI and TSI are not really working properly.
Can you check please?
Thank you
G. Aloe
See discussion on Kurtosis here: #84
It is in 1.1 and I've removed the indicator just after pushing new release out. So, it will not be in the next release.
Besides, maybe RSI and TSI are not really working properly.
It seems they work as intended.
It is in 1.1 and I've removed the indicator just after pushing new release out. So, it will not be in the next release.
Will the Excess of Kurtosis added again in future?
is there any reason that pushed you to remove this tool?
Will the Excess of Kurtosis added again in future?
No.
is there any reason that pushed you to remove this tool?
Yes. As explained in the thread I've linked, one can do such operation on any DataFrame with a simple .kurtosis command.
https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.kurtosis.html