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Z-score filter should also capture price spikes. #479

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proskurin opened this issue Jan 18, 2021 · 1 comment
Open

Z-score filter should also capture price spikes. #479

proskurin opened this issue Jan 18, 2021 · 1 comment

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@proskurin
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Add parameter to z-score filter functions so that the filter may capture not only price spikes, but also price declines.

For example in the implementation of the z_score_filter, there is a sign bug : the filter only filters occurences where the price is above the threshold (condition formula should be abs(price-mean) > thresstd instead of price > mean + thresstd
@Dhavin
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Dhavin commented Aug 18, 2021

Hello @proskurin, I would like to contribute to this project by solving this issue. Can I?

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@proskurin @Dhavin