Calculate outliers in DataSeries for different symbols

Author: ubaldorojas

Creation Date: 6/27/2019 7:14 PM

Wealth Lab » WealthScript (.NET) » Calculate outliers in DataSeries for different symbols

ubaldorojas

6/27/2019 7:14 PM

Guys,

how could I append 2 or more DataSeries from different symbols into one array?
for example:
symbol A
symbol B
symbol C

MyArray = (DataSeries from symbol A, DataSeries from symbol B, DataSeries from symbol C);

Thanks!

Eugene

6/27/2019 7:33 PM

Hi,

Why would you need that? If you clarify maybe we could find a shortcut to get there.

ubaldorojas

6/27/2019 7:39 PM

I want to calculate the outliers of each datapoint of each DataSeries of each symbol

Eugene

6/27/2019 9:55 PM

We're getting closer. Not sure if the idea of putting the OHLC of different symbols into one collection makes sense to me. If their absolute price values are too different (like AMZN and GE), wouldn't this be a comparison of apples to oranges?

At any rate, here's how to find outliers and calculate quartiles in WealthScript:

Interquartile Range (IQR) as indicator of volatility, post #2

Further reading: Interquartile Ranges & Outliers

ubaldorojas

6/27/2019 11:29 PM

Eugene,

the intention is to put the rate of a dataseries respect another dataseries (e.g RSI(Close,20) / RSI(Close,60) ).
It would be in similar tickers from the same commodity that behave similar (Aerospace with aerospace, retailers with retailers, etc); and similar alphas and betas respect to SP500.

finally, I am using Grubbs test to identify outliers.

https://en.wikipedia.org/wiki/Grubbs%27s_test_for_outliers

thanks!