Rolling summary

2020年5月23日

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.

2020年5月26日

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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

2020年5月26日

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Changed the colors a bit after all

2020年6月7日

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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

2020年6月7日

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The proper name of the thing I've just addes is "Mid-range", fixed

2022年4月3日

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New:
- All data switch;
- OTF functionality.

2022年4月3日

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New:
- Whiskers multiplier (defaults are 1.5 and 3).