Kolmogorov-Smirnov Test

The Kolmogorov–Smirnov test aims to tell you if the distribution of prices (or log returns) tends to follow a normal distribution or not. You can read about this test on Wikipedia. It seems to be a basic but trusted measure in the quantitative trading world.

When KS-t columns are blue, then it's safe to assume normal distribution. When they are red, the normal distribution assumption is proven wrong by the magnitude of the KS-t value.

In the plotting tab of the script, you can activate another option that displays the probability of the distribution being actually normal. It's values are bounded between 0 and 1, like all probabilities.

This test can be useful when using statistical concepts for trading markets, like standard deviations, z-scores, etc because they all depend on the assumption of prices (or log returns) being normaly distributed.

If you see something wrong, don't hesitate to message me.

Happy trading to all.