β campaign index Β· all candidates
15 novel Β· 0 crypto-prior Β· 0 excluded. Each row links its FOSS implementation + license + paper. Empirical orthogonality deferred.
| # | Candidate | FOSS implementation @ license | Paper Β· provenance | Coverage |
|---|---|---|---|---|
| #1 | l_skewness_tau3Robust, parameter-free measure of return/tick-move asymmetry built from linear combinations of order statistics (L-moments) rather than third powers β |
OpenHydrology/lmoments3 GPL-3 (lmoments3); BSD (scipy) |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #2 | l_kurtosis_tau4Robust, parameter-free tail-peakedness measure from L-moments; concords with goodness-of-fit power and resists outliers far better than classical kurt |
OpenHydrology/lmoments3 GPL-3 (lmoments3); BSD (scipy) |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #3 | gini_mean_differenceExpected absolute difference between two independent draws of the within-bar return/spread distribution; a robust, distribution-free scale measure equ |
cran/lmomco GPL-2.0-or-later |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #4 | bowley_quantile_skewnessQuartile-based (Bowley/Galton) skewness coefficient: a bounded, outlier-robust asymmetry measure built from Q1, median, Q3 with fixed quartile positio |
scipy/scipy (quantiles) + ~3 lines; robustats reference impl BSD-3-Clause (scipy) |
DOI:10.2307/2987742 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #5 | moors_octile_kurtosisA robust quantile-based peakedness/tail measure built from octiles, capturing how dispersed the distribution is around the +/-sigma shoulders without |
scipy/scipy BSD-3-Clause |
DOI:10.2307/2348376 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #6 | medcouple_skewnessA robust skewness statistic equal to the median of a kernel of pairwise (above-median, below-median) comparisons; 25% breakdown, bounded influence, sc |
statsmodels/statsmodels BSD-3-Clause |
DOI:10.1198/106186004X12632 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #7 | right_quantile_weight_tailweightA robust right-tail-heaviness descriptor: quartile skewness applied to the upper half of the distribution (above the median), capturing fat-right-tail |
cran/robustbase GPL-3.0 (robustbase); reimplementa |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #8 | kelly_decile_skewnessA robust asymmetry measure reaching further into the tails than Bowley by using the 10th/50th/90th percentiles instead of quartiles, detecting outer-d |
numpy/numpy BSD-3-Clause |
DOI:10.1093/biomet/62.1.101 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #9 | quartile_coeff_dispersion_intervals(Q3 β Q1)/(Q3 + Q1) of the within-bar inter-quote interval distribution β an outlier-robust, scale-free spread index of arrival-gap dispersion that do |
scipy/scipy BSD-3-Clause |
DOI:10.1016/j.csda.2005.05.007 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #99 | groeneveld_meeden_b3_skewnessGroeneveld-Meeden global skewness b3 = (mean - median)/E|X - median| = (mean-median)/MAD-from-median. The mean-median location gap normalized by the m |
scipy/scipy (mean, median, median_abs_deviation primitives) BSD-3-Clause |
DOI:10.2307/2987742 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #100 | hl_pseudomedian_minus_median_gapLocation-shape gap between the Hodges-Lehmann pseudomedian (median of all Walsh pairwise averages (xi+xj)/2) and the ordinary median, normalized by a |
scipy/scipy (median primitive) + numpy Walsh-average constru BSD-3-Clause |
DOI:10.1214/aoms/1177704172 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #101 | bickel_halfsample_mode_skewnessBickel modal skewness = (mean - mode)/scale, where the mode is the robust Half-Sample Mode (HSM): recursively keep the shortest half-interval containi β half-sample-mode structural (dense ticks needed) |
cran/modeest (paulponcet/modeest mirror) hsm() + skewness GPL-3 |
DOI:10.1016/S0167-9473(01)0005 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #102 | left_medcouple_lower_tailweightBrys-Hubert-Struyf Left Medcouple (LMC): the medcouple skewness kernel evaluated on the lower structural half {x <= median}, i.e. LMC = -mc(x[x<=media |
cran/robustbase lmc() GPL-2.0-or-later |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #103 | right_medcouple_upper_tailweightBrys-Hubert-Struyf Right Medcouple (RMC): medcouple kernel on the upper structural half {x >= median}, RMC = mc(x[x>=median]). Robust per-tail kurtosi |
cran/robustbase rmc() GPL-2.0-or-later |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #110 | anderson_darling_a2_vs_gaussian_fit_logretAnderson-Darling goodness-of-fit statistic AΒ² measuring the squared distance between the empirical CDF of the bar's intra-bar mid log-returns and the |
statsmodels/statsmodels (statsmodels.stats.diagnostic.normal_ad β return BSD-3-Clause |
DOI:10.1214/aoms/1177729437 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |