z_score¶

Defined in fynance.features.metrics

z_score(X, w=0, kind='s', axis=0, dtype=None)[source]

Compute the Z-score of each X’ series.

Parameters:

Xnp.ndarray[dtype, ndim=1 or 2]

Series of index, prices or returns.

wint, optional

Size of the lagged window of the moving averages, must be positive. If w is None or w=0, then w=X.shape[axis]. Default is None.

kind{‘e’, ‘s’, ‘w’}

If ‘e’ then use exponential moving average, see ema for details.
If ‘s’ (default) then use simple moving average, see sma for details.
If ‘w’ then use weighted moving average, see wma for details.

axis{0, 1}, optional

Axis along wich the computation is done. Default is 0.

dtypenp.dtype, optional

The type of the output array. If dtype is not given, infer the data type from X input.

Returns:

dtype or np.ndarray[dtype, ndim=1]: Value of Z-score for each series.

See also

roll_z_score, mdd, calmar, drawdown, sharpe

Notes

Compute the z-score function for a specific average and standard deviation function such that:

\[z = \frac{X_t - \mu_t}{\sigma_t}\]

Where \(\mu_t\) is the average and \(\sigma_t\) is the standard deviation.

Examples

>>> X = np.array([70, 100, 80, 120, 160, 80]).astype(np.float64)
>>> z_score(X, w=3, kind='e')
-1.0443574118998766
>>> z_score(X, w=3)
-1.224744871391589
>>> z_score(X.reshape([6, 1]), w=3)
array([-1.22474487])