Statistical Analysis

Here you will find a few statistical tools including a moving median, the Z-score and several measures of statistical dispersion. The indicators are applied to the selected input series and calculated over a sliding window of price bars. Calculations only use a single data point for each price bar. All indicators in this section can also be applied to other indicators.

The interquartile range or midspread is a measure of dispersion of a data set. It is equal to the difference between the [...]
The mean absolute deviation is a measure of dispersion of a set of data points. It can be used in place of the standard [...]
The mean absolute deviation around the median is a measure of dispersion of a set of data points. It can be used in plac [...]
The median absolute deviation around the median is a measure of dispersion of a set of data points. It can be used in pl [...]
The Modified Z-score applies the median calculation instead of the median. Furthermore, the signed number of standard de [...]
The moving median is a central tendency which is calculated over a sliding window of price bars or indicator values. The [...]
NinjaTrader 8 comes with a standard version of the Regression Channel. The library version includes the option of calcul [...]
The standard deviation is a measure of dispersion of a data set around its mean. This indicator calculates the same stan [...]
The standard deviation is a measure of dispersion of a data set around its mean. This indicator uses a similar formula a [...]
The volume weighted mean absolute deviation is a dispersion measure of a set of data points. The volume weighted mean ab [...]
A Z-score or standard score is a numerical measurement of a value’s relationship to the arithemic mean of the data set. [...]