Statistics

Descriptive and normalization statistics used as features: accuracy and directional accuracy, positive-return share, tail ratio, rolling/standard z-score, and mean absolute deviation.

accuracy(y_true, y_pred[, sign, axis])	Compute the accuracy of prediction.
directional_accuracy(y_true, y_pred[, axis])	Compute the directional accuracy of a prediction.
percent_positive(X[, axis])	Fraction of strictly positive observations.
tail_ratio(X[, alpha, axis])	Tail ratio of a return series.
z_score(X[, w, kind, axis, dtype])	Compute the Z-score of each X' series.
roll_z_score(X[, w, kind, axis, dtype])	Compute vector of rolling/moving Z-score function.
mad(X[, axis, dtype])	Compute the Mean Absolute Deviation of each X' series.
roll_mad(X[, w, axis, dtype])	Compute rolling Mean Absolut Deviation for each X' series.