KurtosisOpt (Function)
DisclaimerThe KurtosisOpt function calculates the Kurtosis of a data set for which all the data points are not available..
Syntax
KurtosisOpt(Price, Length, Mean, SDev)
Returns (Double)
A numeric value containing the Kurtosis of the specified data set. If Length is less than 3, the function returns zero.
Parameters
|
Name |
Type |
Description |
|
Price |
Numeric |
Specifies which bar value (price, function, or formula) to use for the distribution. |
|
Length |
Numeric |
Sets the number of bars used to build the distribution. |
|
Mean |
Numeric |
Sets the average of the period on which KurtosisOpt is being calculated. |
|
SDev |
Numeric |
Sets the standard deviation of the period on which KurtosisOpt is being calculated. |
Remarks
This function should be used in situations where the average and the standard deviation are known and all the data points are not available. If all the data points are available, the Kurtosis function should be used.
Kurtosis characterizes the relative peakedness or flatness of a distribution compared with the normal distribution. Positive Kurtosis indicates a relatively peaked distribution. Negative Kurtosis indicates a relatively flat distribution.
Example
The following expression returns the Kurtosis of the distribution of the closing prices of the last 100 periods, where the average over the last 100 bars was 152.5 and the standard deviation was 5.125.
Value1 = KurtosisOpt(Close, 100, 152.50, 5.125);