Statistical methods based on mean cannot be effective all the time when attributed to financial data since it doesn't usually follow normal distribution, the data can be skewed or/and have extreme values which can be described as outliers.
In order to deal with this problem it is appropriate to use median-based techniques.
The most common one is called five-number summary/box plot, which plots median of the dataset, 25th (Q1) & 75th (Q3) percentiles (the medians of lower & upper parts of the original dataset divided by the original median), and whiskers calculated by taking range between Q1 and Q3, multiplying it by 1.5 and adding it to Q3 and subtracting it from Q1. The values which are outside the whiskers are considered outliers. Default settings of the script correspond to the classic box plot.
Seven-number summary can be also plotted by this script, by turning on 4 additional percentiles/Bowley’s seven-figure summary by turning on first 2 additional percentiles and changing their values to 10 and 90 respectively.
P.S.: Mean can be also turned in just to check the difference.
릴리즈 노트
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Logarithmic calculations are now available Long story short, while using logarithmic scale on your chart/you realize the volatility starts to follow exponential law, "log-space" should be checked.
Wanned to change the color scheme a bit but decided to leave it like that for now
릴리즈 노트
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Changed the colors a bit after all
릴리즈 노트
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Midpoint statistic (disabled by default) was added for research purposes. It's generally advised to use midpoint instead of other central tendency measures when the sample size is too small
릴리즈 노트
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The proper name of the thing I've just addes is "Mid-range", fixed
릴리즈 노트
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New: - All data switch; - OTF functionality.
릴리즈 노트
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New: - Whiskers multiplier (defaults are 1.5 and 3).
I've got smth really important hidden somewhere around, Every1 of u can find it, Every1 of you have a bit more access than Some of u can imagine. The truly curious ones will find the hidden treasure. Whether u will share it with every1/keep it for yourself, it's up to you. I trust The Universe.
cliffordcastle
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@gorx1, What is that which is hidden? Clues? Am ready player1
lukricky
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i know this is one of the best indicators / strategies here in tradingview communnitiy
@lukricky, "non-parametric statistics", invest couple of hours in it now and then harness it's power for all the years ahead. For real, extremely useful in real world, everywhere
lukricky
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@gorx1, for important hidden somewhere around, i guess if it is this one ---> "the volatility starts to follow exponential law" ?
lukricky
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And the ideal setting of the length ( default is 35) for intra day , say 5 mins 15 mins chart
lukricky
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dear Gorx, any ideas if the price action closed above/below the medium quantile (50) in 5 mins chart ? shall we go follow ? or wait until it reaches the limit, say quantile at 97 / 3 ? to me, it is hard to follow quickly if just slightly at the range of 50, but it did happen all the time, a smooth and long trend going
gorx1
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@lukricky, it's a very broad question that really concerns many things, a strategy R&D in essence. But I can advise one useful thing, don't pay so much attention on closes below / above a certain level of interest. Instead, after seeing the first bar that touched a level, wait for the first bar that don't touch this level at all, that's a better way to define bounce/breakout