Rolling Statistical Indicators

4 algorithms in Technical Indicators · 4 with asserted arithmetic.

In this family#

1. Rolling Percentile verified

   Reports where the current close sits inside its own trailing window, as the percentage of window values below it plus a configurable share of the values equal to it.

   rollingPercentile(input)
2. Rolling Quantile verified

   Returns the requested quantile of the close over a trailing window, sorting each window and interpolating linearly between the two neighbouring ranks.

   rollingQuantile(input)
3. Rolling Beta verified

   Regresses the asset's simple returns on the benchmark's over a trailing window and returns the slope, using the population covariance and variance of the window.

   rollingBeta(input)
4. Rolling Alpha verified

   Runs the same trailing regression of asset returns on benchmark returns as rolling beta, and returns the intercept, the mean asset return left over after the beta-weighted mean benchmark return is removed.

   rollingAlpha(input)

What they share#

Every topic here is a series-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { rollingPercentile } from "fintech-algorithms/technical-indicators/rolling-statistical-indicators/rolling-percentile";
import { rollingQuantile } from "fintech-algorithms/technical-indicators/rolling-statistical-indicators/rolling-quantile";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Technical Indicators collects 137 algorithms across 9 families. For the concept behind this family rather than the call signatures, see the concept guides.